FUTURES IMPLIED ‘SPOT’ TERM RATES
DERIVED FROM 1-MONTH SOFR FUTURES
1-Mo: 1.46574
3-Mo: 1.34065
DERIVED FROM 3-MONTH SOFR FUTURES
6-Mo: 1.16656
1-Yr: 0.98794
ICE-SETTLED LIBOR
1-Month Libor Set 1.51530 -.06580 (98.48470)
3-Month Libor Set 1.46280 -.11760 (98.53720)
6-Month Libor Set 1.53325 -.13510 (98.46675)
1-Year Libor Set 1.38150 -.15580 (98.61850)