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Post-LIBOR Settle Update, 1Y High for 3M

US EURODLR FUTURES

Lead quarterly EDH2 holding steady after latest 3M LIBOR set' +0.00957 to 0.22557% (+0.01644/wk), highest settle for 3M since Jan'21. Near 20,000 serial Jan'22 futures sold after the settle from 99.795 to 99.7925. Levels firmer out the strip:

  • Mar 22 steady at 99.640
  • Jun 22 +0.005 at 99.410
  • Sep 22 +0.005 at 99.20
  • Dec 22 +0.010 at 98.955
  • Red Pack (Mar 23-Dec 23) +0.010 to +0.015
  • Green Pack (Mar 24-Dec 24) +0.010 to +0.015
  • Blue Pack (Mar 25-Dec 25) +0.015 to +0.020
  • Gold Pack (Mar 26-Dec 26) +0.020 to +0.025

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