FUTURES IMPLIED ‘SPOT’ TERM RATES
1-Mo: 0.05063
3-Mo: 0.06286
6-Mo: 0.05826
1-Yr: 0.07315
ICE-SETTLED LIBOR
1-Month Libor Set 0.92488 -.02170 (99.07512)
3-Month Libor Set 1.23238 +.01680 (98.78440)
6-Month Libor Set 0.98213 +.00890 (99.01787)
1-Year Libor Set 0.95675 +.01940 (99.04325)