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Post-LIBOR Settle Update, Another New 3M High

US EURODLR FUTURES

Lead quarterly EDH2 dips slightly after latest 3M LIBOR set climbed to new 1Y high: +0.00614 to 0.24443% (+0.00829/wk). Balance of Whites-Greens holding weaker as market continues to price in more rate hikes, faster normalization.
Apparently most dealers have shifted expectations to four .25bp hikes in 2022 now, faster balance sheet drawdown, quantitative tightening in second half. Blues-Golds firmer, off highs:

  • Mar 22 -0.005 at 99.585
  • Jun 22 -0.005 at 99.295
  • Sep 22 -0.010 at 99.045
  • Dec 22 -0.015 at 98.765
  • Red Pack (Mar 23-Dec 23) -0.025 to -0.02
  • Green Pack (Mar 24-Dec 24) -0.015 to +0.005
  • Blue Pack (Mar 25-Dec 25) +0.010 to +0.025
  • Gold Pack (Mar 26-Dec 26) +0.025 to +0.030
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