SOFR FUTURES IMPLIED ‘SPOT’ TERM RATES

1-Mo: 0.04507
3-Mo: 0.06788
6-Mo: 0.07239
1-Yr:  0.08219

ICE-SETTLED LIBOR

1-Month Libor Set        0.8635                  -.05775       (99.13650)
3-Month Libor Set        1.31988                -.03250       (98.68012)

6-Month Libor Set        1.22450                -.01375       (98.22550)
1-Year    Libor Set        1.04475                 +.00212      (98.
95525)

curves04.07.20