SOFR FUTURES IMPLIED ‘SPOT’ TERM RATES

1-Mo: 0.04620
3-Mo: 0.05401
6-Mo: 0.05315
1-Yr:  0.06513

ICE-SETTLED LIBOR

1-Month Libor Set        0.94088                -.01825       (99.05912)
3-Month Libor Set        1.37463                +.10763      (98.62537)

6-Month Libor Set        1.05763                -.01000       (99.04237)
1-Year    Libor Set         0.97275                -.01475       (99.02725)

curves03.26.20