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Post LIBOR Settle Update

US EURODLR FUTURES

Trading modestly weaker, Blues-Golds (EDH4-EDZ5) underperforming. Little delay in Whites, lead quarterly ticking lower after 3M LIBOR set +0.00925 to 0.23375% (+0.00937/wk).

  • Mar 21 -0.005 at 99.810
  • Jun 21 -0.005 at 99.815
  • Sep 21 -0.005 at 99.805
  • Dec 21 -0.005 at 99.765
  • Red Pack (Mar 22-Dec 22) -0.01 to -0.005
  • Green Pack (Mar 23-Dec 23) -0.03 to -0.015
  • Blue Pack (Mar 24-Dec 24) -0.045 to -0.035
  • Gold Pack (Mar 25-Dec 25) -0.045 to -0.04

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