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Post LIBOR Settle Update

US EURODLR FUTURES

Trade steady to mostly weaker, lead quarterly blipped higher briefly after 3M LIBOR gapped -0.01562 to 0.22563% (+0.00125/wk), back to steady in the short end now:

  • Mar 21 steady at 99.815
  • Jun 21 -0.005 at 99.820
  • Sep 21 steady at 99.815
  • Dec 21 -0.005 at 99.770
  • Red Pack (Mar 22-Dec 22) -0.005 to steady
  • Green Pack (Mar 23-Dec 23) -0.015 to steady
  • Blue Pack (Mar 24-Dec 24) -0.025 to -0.015
  • Gold Pack (Mar 25-Dec 25) -0.02

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