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Post LIBOR Settle Update

US EURODLR FUTURES

Trading progressively higher across the strip, little change in lead quarterly EDH1 after 3M LIBOR set -0.00025 to 0.18388% (-0.00150/wk).

  • Mar 21 +0.002 at 99.820
  • Jun 21 +0.005 at 99.840
  • Sep 21 +0.005 at 99.820
  • Dec 21 +0.010 at 99.770
  • Red Pack (Mar 22-Dec 22) +0.005 to +0.020
  • Green Pack (Mar 23-Dec 23) +0.030 to +0.055
  • Blue Pack (Mar 24-Dec 24) +0.060 to +0.075
  • Gold Pack (Mar 25-Dec 25) +0.065 to +0.075

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