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Post-LIBOR Settle Update

US EURODLR FUTURES

Lead quarterly EDU1 holds mildly lower after 3M LIBOR set -0.00025 to 0.12450% (+0.00562/wk), levels modestly firmer out the strip.

  • Sep 21 -0.005 at 99.865
  • Dec 21 +0.005 at 99.820
  • Mar 22 steady at 99.830
  • Jun 22 +0.002 at 99.882
  • Red Pack (Sep 22-Jun 23) steady to +0.010
  • Green Pack (Sep 23-Jun 24) +0.010 to +0.020
  • Blue Pack (Sep 24-Jun 25) +0.020
  • Gold Pack (Sep 25-Jun 26) +0.020 to +0.025

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