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)

curves03.12.20