FUTURES IMPLIED ‘SPOT’ TERM RATES
DERIVED FROM 1-MONTH SOFR FUTURES
1-Mo: 0.19098
3-Mo: 0.13160
DERIVED FROM 3-MONTH SOFR FUTURES
6-Mo: 0.10209
1-Yr: 0.10413
ICE-SETTLED LIBOR
1-Month Libor Set 0.61160 -.18850 (99.38840)
3-Month Libor Set 0.88940 +.04620 (99.11060)
6-Month Libor Set 0.84380 +.22400 (99.15620)
1-Year Libor Set 0.81940 -.00220 (98.18060)