FUTURES IMPLIED ‘SPOT’ TERM RATES
DERIVED FROM 1-MONTH SOFR FUTURES
1-Mo: 0.34633
3-Mo: 0.22693
DERIVED FROM 3-MONTH SOFR FUTURES
6-Mo: 0.16575
1-Yr: 0.14467
ICE-SETTLED LIBOR
1-Month Libor Set 0.70460 -.09200 (99.29540)
3-Month Libor Set 0.74050 -.03200 (99.25950)
6-Month Libor Set 0.77390 -.00610 (99.22670
1-Year Libor Set 0.75980 +.01320 (98.24020)