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Post-LIBOR Settle Update

US EURODLR FUTURES

Lead quarterly EDU1 after latest 3M LIBOR set steady at 0.14600% (+0.01112/wk), levels running steady to mildly weaker out the strip:

  • Sep 21 -0.005 at 99.850
  • Dec 21 steady at 99.785
  • Mar 22 steady at 99.785
  • Jun 22 steady at 99.710
  • Red Pack (Sep 22-Jun 23) -0.015 to -0.005
  • Green Pack (Sep 23-Jun 24) -0.015 to -0.01
  • Blue Pack (Sep 24-Jun 25) -0.01 to -0.005
  • Gold Pack (Sep 25-Jun 26) -0.005 to steady

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