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Post LIBOR Settle Update

US EURODLR FUTURES

Lead quarterly sees additional selling after 3M LIBOR climbs +0.01350 to 0.14725% (+0.01238/wk), overall volumes still rather modest: EDU1 only 42k so far. Levels running modestly weaker out the strip:

  • Sep 21 -0.010 at 99.860
  • Dec 21 -0.005 at 99.790
  • Mar 22 -0.005 at 99.790
  • Jun 22 steady at 99.730
  • Red Pack (Sep 22-Jun 23) -0.01 to -0.005
  • Green Pack (Sep 23-Jun 24) -0.015 to -0.01
  • Blue Pack (Sep 24-Jun 25) -0.015 to -0.01
  • Gold Pack (Sep 25-Jun 26) -0.01 to -0.005

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