SOFR FUTURES IMPLIED ‘SPOT’ TERM RATES

1-Mo: 0.04860
3-Mo: 0.05760
6-Mo: 0.06014
1-Yr:  0.06778

ICE-SETTLED LIBOR

1-Month Libor Set        1.01625                +.02337      (98.08375)
3-Month Libor Set        1.43650                -.01400       (98.56350)

6-Month Libor Set        1.19525                +.02000       (98.80475)
1-Year    Libor Set        1.00238                +.00488      (98.99
762)

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