FUTURES IMPLIED ‘SPOT’ TERM RATES
DERIVED FROM 1-MONTH SOFR FUTURES
1-Mo: 0.56531
3-Mo: 0.36578
DERIVED FROM 3-MONTH SOFR FUTURES
6-Mo: 0.25531
1-Yr: 0.22281
ICE-SETTLED LIBOR
1-Month Libor Set 0.79660 -.01480 (99.29340)
3-Month Libor Set 0.77250 -.01160 (99.22750)
6-Month Libor Set 0.74400 -.02560 (99.25600)
1-Year Libor Set 0.74650 -.04560 (98.25350)