FUTURES IMPLIED ‘SPOT’ TERM RATES
DERIVED FROM 1-MONTH SOFR FUTURES
1-Mo: 1.53581
3-Mo: 1.44585
DERIVED FROM 3-MONTH SOFR FUTURES
6-Mo: 1.28522
1-Yr: 1.11860
ICE-SETTLED LIBOR
1-Month Libor Set 1.58113 -.02225 (98.41887)
3-Month Libor Set 1.58038 -.03287 (98.41962)
6-Month Libor Set 1.53325 -.05700 (98.46675)
1-Year Libor Set 1.53725 -.07288 (98.46275)