FUTURES IMPLIED ‘SPOT’ TERM RATES
DERIVED FROM 1-MONTH SOFR FUTURES
1-Mo: 0.9759%
3-Mo: 0.7204%
DERIVED FROM 3-MONTH SOFR FUTURES
6-Mo: 0.5501%
1-Yr: 0.4347%
ICE-SETTLED LIBOR
1-Month Libor Set 1.00513 -.0111 (98.9949)
3-Month Libor Set 0.99888 -.0018 (99.0011)
6-Month Libor Set 0.97463 -.0143 (99.0253)
1-Year Libor Set 0.94425 -.0233 (99.0558)
[pdf-embedder url=”https://fixedincomegroup.com/wp/wp-content/uploads/2020/03/SOFR-Libor-Settles-3.5.20.pdf” title=”SOFR + Libor Settles 3.5.20″]