FUTURES IMPLIED ‘SPOT’ TERM RATES
DERIVED FROM 1-MONTH SOFR FUTURES
1-Mo: 0.16940
3-Mo: 0.11511
DERIVED FROM 3-MONTH SOFR FUTURES
6-Mo: 0.10428
1-Yr: 0.12442
ICE-SETTLED LIBOR
1-Month Libor Set 0.92363 +15075 (99.17637)
3-Month Libor Set 1.19513 +.07938 (99.80487)
6-Month Libor Set 0.97950 +.02750 (99.02050)
1-Year Libor Set 0.92200 +.03262 (99.07800)