FUTURES IMPLIED ‘SPOT’ TERM RATES
DERIVED FROM 1-MONTH SOFR FUTURES
1-Mo: 0.64060
3-Mo: 0.43922
DERIVED FROM 3-MONTH SOFR FUTURES
6-Mo: 0.32874
1-Yr: 0.29038
ICE-SETTLED LIBOR
1-Month Libor Set 0.81140 +.08650 (99.18860)
3-Month Libor Set 0.78410 +.08000 (99.21590)
6-Month Libor Set 0.76960 +.03430 (99.23040)
1-Year Libor Set 0.79210 +.04860 (98.20790)