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)

curves03.19.20