FUTURES IMPLIED ‘SPOT’ TERM RATES

1-Mo: 0.05500
3-Mo: 0.06832
6-Mo: 0.06470
1-Yr:  0.08424

ICE-SETTLED LIBOR

1-Month Libor Set        0.95913                -.04013       (99.04087)
3-Month Libor Set        1.26700                +.03462      (98.73300)

6-Month Libor Set        1.06763                +.08550       (99.03237)
1-Year    Libor Set         0.9875                   +.03075      (99.01350)

Curves03.25.20