Monday, 3 January 2022

USD Rate Futures: LIBOR still dominates!

The end of year numbers indicate that LIBOR is still by far the dominant short term interest rate (STIR) futures (at CME).

Over the last week of 2021, which is supposed to be the last week of LIBOR we have LIBOR 3M 79.1%, SOFR 3M 13.1%; EFFR 1M 6.2%, SOFR 1M 1.0% and BYSBY 3M 0.6%

Early trends for the first business day of 2022 indicate a 2022 start similar to the 2021 end.