FUTURES IMPLIED ‘SPOT’ TERM RATES
DERIVED FROM 1-MONTH SOFR FUTURES
1-Mo: 1.55684
3-Mo: 1.50517
DERIVED FROM 3-MONTH SOFR FUTURES
6-Mo: 1.38247
1-Yr:   1.23261

ICE-SETTLED LIBOR
1-Month Libor Set        1.60388      -.00925       (98.39612)
3-Month Libor Set        1.61325      -.02438       (98.38675)

6-Month Libor Set        1.59025      -.03838       (98.40975)
1-Year    Libor Set        1.61013       -.03562       (98.38987)

 

SOFR+ Forward Curves 02262016