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)
[pdf-embedder url=”https://fixedincomegroup.com/wp/wp-content/uploads/2020/02/SOFR-Forward-Curves-02262016.pdf” title=”SOFR+ Forward Curves 02262016″]