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Long End Under Pressure

US EURODLR FUTURES

Long end of strip underperforming steady to marginally higher levels at points in Whites-Reds, heavy volume session with Massive 59,660 EDH1 Block buy at 99.83, 8k 2Y bundles Blocked -0.0025. Lead quarterly EDH1 holds steady after the bell, bouncing after 3M LIBOR set -0.00650 to 0.20500% (-0.01025/wk) -- just off record Low 0.20488% from 11/20/20.

  • Mar 21 steady at 99.825
  • Jun 21 +0.005 at 99.840
  • Sep 21 +0.005 at 99.830
  • Dec 21 steady at 99.790
  • Red Pack (Mar 22-Dec 22) -0.01 to +0.005
  • Green Pack (Mar 23-Dec 23) -0.03 to -0.015
  • Blue Pack (Mar 24-Dec 24) -0.045 to -0.03
  • Gold Pack (Mar 25-Dec 25) -0.055 to -0.045

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