SOFR FUTURES IMPLIED ‘SPOT’ TERM RATES
1-Mo: 0.04507
3-Mo: 0.06788
6-Mo: 0.07239
1-Yr: 0.08219
ICE-SETTLED LIBOR
1-Month Libor Set 0.8635 -.05775 (99.13650)
3-Month Libor Set 1.31988 -.03250 (98.68012)
6-Month Libor Set 1.22450 -.01375 (98.22550)
1-Year Libor Set 1.04475 +.00212 (98.95525)
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