FUTURES IMPLIED ‘SPOT’ TERM RATES
DERIVED FROM 1-MONTH SOFR FUTURES
1-Mo: 0.38657
3-Mo: 0.24568
DERIVED FROM 3-MONTH SOFR FUTURES
6-Mo: 0.17746
1-Yr: 0.16105
ICE-SETTLED LIBOR
1-Month Libor Set 0.80010 +.09550 (99.19990)
3-Month Libor Set 0.84310 +.10260 (99.15690)
6-Month Libor Set 0.82140 +.04750 (99.17860)
1-Year Libor Set 0.82160 +.06180 (98.17840)