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Post-LIBOR Settle Update, New 1Y High for 3M Benchmark

US EURODLR FUTURES

Lead quarterly holding higher level despite 3M LIBOR climbing to highest level since mid-Jan'21: +0.00485 to 0.23614% (+0.02701/wk), scaling back rate hike expectations for March (over 80%) ahead this morning's key Dec employ data (+447 est vs. +210k last year).

  • Mar 22 +0.015 at 99.610
  • Jun 22 +0.020 at 99.325
  • Sep 22 +0.015 at 99.090
  • Dec 22 +0.015 at 98.835
  • Red Pack (Mar 23-Dec 23) -0.005 to +0.005
  • Green Pack (Mar 24-Dec 24) -0.005 to steady
  • Blue Pack (Mar 25-Dec 25) -0.01 to -0.005
  • Gold Pack (Mar 26-Dec 26) -0.005 to -0.005

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