ONE-MONTH SOFR - MARGINS

Ratio Side Start Period End Period Maintenance
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1

1

1
A

B

B

A
06/2021

07/2021

08/2021

09/2021
06/2021

07/2021

08/2021

09/2021
160 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1
A

B
06/2021

07/2021
06/2021

07/2021
160 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

2

1
A

B

A
06/2021

07/2021

08/2021
06/2021

07/2021

08/2021
160 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1
A

B
06/2021

08/2021
06/2021

08/2021
160 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1

1

1
A

B

B

A
06/2021

08/2021

10/2021

12/2021
06/2021

08/2021

10/2021

06/2022
160 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

2

1
A

B

A
06/2021

08/2021

10/2021
06/2021

08/2021

10/2021
160 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

2

1
A

B

A
06/2021

09/2021

12/2021
06/2021

09/2021

06/2022
160 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1
A

B
06/2021

09/2021
06/2021

09/2021
160 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1
A

B
06/2021

10/2021
06/2021

10/2021
160 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1
A

B
06/2021

11/2021
06/2021

11/2021
160 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1
A

B
06/2021

12/2021
06/2021

06/2022
160 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

2

1
A

B

A
07/2021

08/2021

09/2021
07/2021

08/2021

09/2021
100 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1
A

B
07/2021

08/2021
07/2021

08/2021
100 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1

1

1
A

B

B

A
07/2021

08/2021

09/2021

10/2021
07/2021

08/2021

09/2021

10/2021
120 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

2

1
A

B

A
07/2021

09/2021

11/2021
07/2021

09/2021

11/2021
100 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1
A

B
07/2021

09/2021
07/2021

09/2021
120 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1
A

B
07/2021

10/2021
07/2021

10/2021
120 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1
A

B
07/2021

11/2021
07/2021

11/2021
120 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1
A

B
07/2021

12/2021
07/2021

06/2022
120 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

2

1
A

B

A
08/2021

09/2021

10/2021
08/2021

09/2021

10/2021
75 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1

1

1
A

B

B

A
08/2021

09/2021

10/2021

11/2021
08/2021

09/2021

10/2021

11/2021
90 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1
A

B
08/2021

09/2021
08/2021

09/2021
75 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1
A

B
08/2021

10/2021
08/2021

10/2021
100 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

2

1
A

B

A
08/2021

10/2021

12/2021
08/2021

10/2021

06/2022
75 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1
A

B
08/2021

11/2021
08/2021

11/2021
100 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1
A

B
08/2021

12/2021
08/2021

06/2022
100 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1
A

B
09/2021

10/2021
09/2021

10/2021
75 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1

1

1
A

B

B

A
09/2021

10/2021

11/2021

12/2021
09/2021

10/2021

11/2021

06/2022
90 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

2

1
A

B

A
09/2021

10/2021

11/2021
09/2021

10/2021

11/2021
75 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1
A

B
09/2021

11/2021
09/2021

11/2021
75 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1
A

B
09/2021

12/2021
09/2021

06/2022
100 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

2

1
A

B

A
10/2021

11/2021

12/2021
10/2021

11/2021

06/2022
75 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1
A

B
10/2021

11/2021
10/2021

11/2021
75 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1
A

B
10/2021

12/2021
10/2021

06/2022
75 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1
A

B
11/2021

12/2021
11/2021

06/2022
75 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1
B

A
12/2021

12/2021
06/2022

06/2022
120 USD