FUTURES IMPLIED ‘SPOT’ TERM RATES
DERIVED FROM 1-MONTH SOFR FUTURES
1-Mo: 1.56935
3-Mo: 1.52837
DERIVED FROM 3-MONTH SOFR FUTURES
6-Mo: 1.41816
1-Yr: 1.27332
ICE-SETTLED LIBOR
1-Month Libor Set 1.61613 -.01067 (98.38387)
3-Month Libor Set 1.64663 -.03267 (98.35337)
6-Month Libor Set 1.62763 -.04717 (98.37237)
1-Year Libor Set 1.63475 -.09388 (98.36525)
Forward Curves