FUTURES IMPLIED ‘SPOT’ TERM RATES
DERIVED FROM 1-MONTH SOFR FUTURES
1-Mo: 0.16940
3-Mo: 0.14160
DERIVED FROM 3-MONTH SOFR FUTURES
6-Mo: 0.11634
1-Yr: 0.13578
ICE-SETTLED LIBOR
1-Month Libor Set 0.79375 +.04375 (99.20625)
3-Month Libor Set 1.11575 +.06385 (98.88425)
6-Month Libor Set 0.95200 +.03900 (99.04800)
1-Year Libor Set 0.88938 +.02758 (99.11062)