FUTURES IMPLIED ‘SPOT’ TERM RATES
1-Mo: 0.05500
3-Mo: 0.06832
6-Mo: 0.06470
1-Yr: 0.08424
ICE-SETTLED LIBOR
1-Month Libor Set 0.95913 -.04013 (99.04087)
3-Month Libor Set 1.26700 +.03462 (98.73300)
6-Month Libor Set 1.06763 +.08550 (99.03237)
1-Year Libor Set 0.9875 +.03075 (99.01350)