Implied SOFR +Ameribor Settles 7/9/20 and Libor Settles 7/10/20

ICE-SETTLED LIBOR 07/10/2020

1-Month Libor Set        0.17538   -.00287    (99.82462)

3-Month Libor Set        0.26813   +.00188   (99.73197)

6-Month Libor Set        0.34538   -.00312    (99.65462)

1-Year  Libor Set          0.48013   -.00400    (99.51987)