FUTURES IMPLIED ‘SPOT’ TERM RATES
DERIVED FROM 1-MONTH SOFR FUTURES
1-Mo: 1.0353%
3-Mo: 0.8287%
DERIVED FROM 3-MONTH SOFR FUTURES
6-Mo: 0.6850%
1-Yr: 0.5786%
ICE-SETTLED LIBOR
1-Month Libor Set 1.01625 -.3605 (98.9838)
3-Month Libor Set 1.00063 -.3136 (98.9994)
6-Month Libor Set 1.98888 -.2631 (98.0111)
1-Year Libor Set 1.96750 -.2781 (98.0325)