FUTURES IMPLIED ‘SPOT’ TERM RATES
DERIVED FROM 1-MONTH SOFR FUTURES
1-Mo: 1.1128%
3-Mo: 0.9620%
DERIVED FROM 3-MONTH SOFR FUTURES
6-Mo: 0.8271%
1-Yr: 0.7090%
ICE-SETTLED LIBOR
1-Month Libor Set 1.3768 +.0210 (98.6232)
3-Month Libor Set 1.3143 +.0605 (98.6857)
6-Month Libor Set 1.2520 +.0536 (98.7480)
1-Year Libor Set 1.2456 +.0918 (98.7544)