FUTURES IMPLIED ‘SPOT’ TERM RATES
DERIVED FROM 1-MONTH SOFR FUTURES
1-Mo: 0.56531
3-Mo: 0.36578
DERIVED FROM 3-MONTH SOFR FUTURES
6-Mo: 0.25531
1-Yr:   0.22281

ICE-SETTLED LIBOR
1-Month Libor Set        0.79660      -.01480       (99.29340)
3-Month Libor Set        0.77250      -.01160       (99.22750)
6-Month Libor Set        0.74400      -.02560       (99.25600)
1-Year    Libor Set        0.74650       -.04560       (98.25350)

curves03.11.20