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Post LIBOR Settle Update

US EURODLR FUTURES

Under pressure across the strip, long end underperforming after overnight spike in Tsys yields on back of Nikkei report the BoJ will widen 10Y JGB yield band at Fri's policy annc. Lead quarterly pares loss slightly after 3M LIBOR set -0.00300 to 0.18663% (-0.00287/wk). Currently

  • Jun 21 -0.005 at 99.835
  • Sep 21 -0.005 at 99.815
  • Dec 21 -0.015 at 99.750
  • Mar 22 -0.010 at 99.790
  • Red Pack (Jun 22-Mar 23) -0.035 to -0.01
  • Green Pack (Jun 23-Mar 24) -0.06 to -0.035
  • Blue Pack (Jun 24-Mar 25) -0.105 to -0.07
  • Gold Pack (Jun 25-Mar 26) -0.11 to -0.105

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