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Post LIBOR Settle Update

US EURODLR FUTURES

Trading marginally bid across the strip, short end leading, lead quarterly EDU0 holds mild bid after latest 3M LIBOR set' -0.0051 to 0.2409% (-0.0091/wk). Latest levels:

  • Sep 20 +0.007 at 99.765
  • Dec 20 +0.015 at 99.705
  • Mar 21 +0.010 at 99.780
  • Jun 21 +0.010 at 99.790
  • Red Pack (Sep 21-Jun 22) +0.005 to +0.010
  • Green Pack (Sep 22-Jun 23) +0.005 to +0.010
  • Blue Pack (Sep 23-Jun 24) +0.005 to +0.010
  • Gold Pack (Sep 24-Jun 25) +0.005

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