A rate of return computed as the difference between the spot interest rate and the interest rate for the forward or futures delivery date. For example, if the current U.S. dollar deposit Rate is 1% for value spot and 1.5% for value in one year's time, the implied rate is the difference of 0.5%. This term structure also indicates that the market expects future borrowing rates to be higher in one year than they are now.
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Federal Home Loan Mortgage Corporation (Freddie Mac)
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