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Post 3M LIBOR Settle Update


Lead quarterly EDH1 holds marginal bid after small 3M LIBOR bounce from last Fri's all-time low (+0.00025 to 0.17550%; -0.01850 net last wk). Levels continue to weaken out the strip, off overnight lows. Red-Greens leading volumes.

  • Mar 21 +0.0025 at 99.845
  • Jun 21 -0.005 at 99.850
  • Sep 21 steady at 99.835
  • Dec 21 -0.005 at 99.785
  • Red Pack (Mar 22-Dec 22) +/-0.005
  • Green Pack (Mar 23-Dec 23) -0.04 to -0.02
  • Blue Pack (Mar 24-Dec 24) -0.065 to -0.05
  • Gold Pack (Mar 25-Dec 25) -0.06 to -0.05

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