FUTURES IMPLIED ‘SPOT’ TERM RATES
DERIVED FROM 1-MONTH SOFR FUTURES
1-Mo: 0.87056
3-Mo: 0.61581
DERIVED FROM 3-MONTH SOFR FUTURES
6-Mo: 0.45775
1-Yr: 0.35343
ICE-SETTLED LIBOR
1-Month Libor Set 0.86263 -.14250 (99.51530)
3-Month Libor Set 0.89600 -.10913 (99.10400)
6-Month Libor Set 0.87988 -.94750 (99.12012)
1-Year Libor Set 0.84563 -.98620 (98.15437)