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Futures trade mostly higher, long end of strip outperforming, levels near session highs. Large Block: 10,000 old Green pack (EDZ2-EDU3) at +0.0075 in early trade likely swap related. Short end hold steady, 3M LIBOR settled -0.00225 to 0.22338% (-0.00100/wk). Latest levels:
- Mar 21 steady at 99.820
- Jun 21 steady at 99.825
- Sep 21 steady at 99.815
- Dec 21 +0.005 at 99.785
- Red Pack (Mar 22-Dec 22) +0.005 to +0.010
- Green Pack (Mar 23-Dec 23) +0.015 to +0.035
- Blue Pack (Mar 24-Dec 24) +0.040 to +0.055
- Gold Pack (Mar 25-Dec 25) +0.050 to +0.055