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Mirroring Tsy Futures Curve

US EURODLR FUTURES CLOSE

Futures trading steady/weaker in the short end to modestly firmer out the strip, little off session highs. Lead quarterly holding steady since 3M LIBOR set +0.00438 to 0.22013% (-0.00075 last wk). Currently:

  • Dec 20 steady at 99.755
  • Mar 21 -0.005 at 99.790
  • Jun 21 steady at 99.800
  • Sep 21 -0.005 at 99.800
  • Red Pack (Dec 21-Sep 22) +0.005 to +0.015
  • Green Pack (Dec 22-Sep 23) +0.015 to +0.025
  • Blue Pack (Dec 23-Sep 24) +0.025 to +0.030
  • Gold Pack (Dec 24-Sep 25) +0.030 to +0.035

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