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

US EURODLR FUTURES

Lead quarterly holds weaker after latest 3M LIBOR set' +0.00572 to 0.23129% (+0.02216/wk) highest since Jan 14 2021; levels weaker out the strip/off overnight lows, pricing in higher rates continues after Wed's more hawkish than expected FOMC minutes:

  • Mar 22 -0.005 at 99.605
  • Jun 22 -0.010 at 99.335
  • Sep 22 -0.010 at 99.105
  • Dec 22 -0.010 at 98.850
  • Red Pack (Mar 23-Dec 23) -0.025 to -0.02
  • Green Pack (Mar 24-Dec 24) -0.03 to -0.025
  • Blue Pack (Mar 25-Dec 25) -0.04 to -0.035
  • Gold Pack (Mar 26-Dec 26) -0.045 to -0.04

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