FUTURES IMPLIED ‘SPOT’ TERM RATES
DERIVED FROM 1-MONTH SOFR FUTURES
1-Mo: 0.64060
3-Mo: 0.43922
DERIVED FROM 3-MONTH SOFR FUTURES
6-Mo: 0.32874
1-Yr:   0.29038

ICE-SETTLED LIBOR
1-Month Libor Set        0.81140      +.08650      (99.18860)
3-Month Libor Set        0.78410      +.08000      (99.21590)

6-Month Libor Set        0.76960      +.03430       (99.23040)
1-Year    Libor Set         0.79210      +.04860      (98.20790)

curves03.10.20