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 0.72490 -.13780 (99.27510)
3-Month Libor Set 0.76810 -.12790 (99.23190)
6-Month Libor Set 0.73540 -.14450 (99.26460)
1-Year Libor Set 0.74350 -.10210 (98.25650)