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Post LIBOR Settle Update

US EURODLR FUTURES

Steady to mixed, short end outperforming, lead quarterly EDZ0 gaining after latest 3M LIBOR set' -0.01325 to 0.22025% (+0.01572 last wk). Latest levels:

  • Dec 20 +0.010 at 99.765
  • Mar 21 +0.005 at 99.805
  • Jun 21 +0.005 at 99.810
  • Sep 21 +0.005 at 99.810
  • Red Pack (Dec 21-Sep 22) steady to +0.005
  • Green Pack (Dec 22-Sep 23) -0.005 to steady
  • Blue Pack (Dec 23-Sep 24) -0.01 to -0.005
  • Gold Pack (Dec 24-Sep 25) -0.02 to -0.01

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