SOFR FUTURES IMPLIED ‘SPOT’ TERM RATES

1-Mo: 0.04248
3-Mo: 0.05488
6-Mo: 0.05264
1-Yr:  0.06218

ICE-SETTLED LIBOR

1-Month Libor Set        0.99288                +.00838      (99.00712)
3-Month Libor Set        1.45050                +.01712      (98.54950)

6-Month Libor Set        1.17525                +.08350       (98.81475)
1-Year    Libor Set         0.99750                 -.01650       (99.00250)

curves03.31.20