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EUR LIBOR FIX - 21-09-2021

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JPY LIBOR FIX - 21-09-2021

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GBP LIBOR FIX - 21-09-2021

US EURODLR FUTURES

Post-LIBOR Settle Update

US

USD LIBOR FIX - 21-09-2021

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Updated forecast summary compared to avg increase for prior year and same time in 2020. TIPS 0.14Y; US Gov inflation-linked 0.23Y. Note, MBS extension nearly doubled from 0.08Y preliminary to 0.15.

SECURITYEstimate1Y Avg IncrLast Year
US Tsys0.080.090.09
Agencies0.090.040.05
Credit0.060.120.08
Govt/Credit0.070.10.08
MBS0.150.070.06
Aggregate0.090.090.08
Long Gov/Cr0.070.090.07
Iterm Credit0.070.10.08
Interm Gov0.080.080.08
Interm Gov/Cr0.080.090.08
High Yield0.090.110.1