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3M LIBOR New All-Time Low

US EURODLR FUTURES

Despite the new low settle in 3M LIBOR (-0.00287 to 0.18863%, -0.00512/wk vs. prior on 2/05/21: 0.19088%), lead quarterly EDH1 trades little weaker but outperforming broad weakness out the strip:

  • Mar 21 -0.0025 at 99.833
  • Jun 21 steady at 99.840
  • Sep 21 -0.005 at 99.825
  • Dec 21 -0.005 at 99.785
  • Red Pack (Mar 22-Dec 22) -0.015 to -0.005
  • Green Pack (Mar 23-Dec 23) -0.025 to -0.055
  • Blue Pack (Mar 24-Dec 24) -0.07 to -0.10
  • Gold Pack (Mar 25-Dec 25) -0.10 to -0.105

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