SOFR + Libor Settles 03/20/20

by | Mar 20, 2020 | Select STIR Rates | 0 comments

SOFR FUTURES IMPLIED ‘SPOT’ TERM RATES

1-Mo: 0.09871
3-Mo: 0.10478
6-Mo: 0.09401
1-Yr:  0.11098

ICE-SETTLED LIBOR

1-Month Libor Set        0.92850                +00490       (99.07150)
3-Month Libor Set        1.20413                +.00900      (98.79587)
6-Month Libor Set        0.97950                +.01475       (99.02050)
1-Year    Libor Set         0.93350                 +.01150      (99.07750)

curves03.20.20