FUTURES IMPLIED ‘SPOT’ TERM RATES
DERIVED FROM 1-MONTH SOFR FUTURES
1-Mo: 1.27%
3-Mo: 1.08%
DERIVED FROM 3-MONTH SOFR FUTURES
6-Mo: 0.90884%
1-Yr: 0.81669%
ICE-SETTLED LIBOR
1-Month Libor Set 1.3558 -.1519 (98.6442)
3-Month Libor Set 1.2538 -.2090 (98.7462)
6-Month Libor Set 1.1984 -.1989 (98.8016)
1-Year Libor Set 1.1539 -.2276 (98.8461)
SOFR + Libor Settles 3.2.20