FUTURES IMPLIED ‘SPOT’ TERM RATES
1-Mo: 0.08382
3-Mo: 0.09050
6-Mo: 0.07947
1-Yr: 0.08867
ICE-SETTLED LIBOR
1-Month Libor Set 0.94660 +01810 (99.05340)
3-Month Libor Set 1.21560 +.01150 (98.78440)
6-Month Libor Set 0.93740 -.05690 (99.06260)
1-Year Libor Set 0.93350 +.00000 (99.07750)