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Post LIBOR Settle Update


Lead quarterly EDU1 holds mildly higher after 3M LIBOR set' +0.00425 to 0.13288% (-0.00925 total last wk). Levels modestly higher out the strip:

  • Sep 21 +0.005 at 99.875
  • Dec 21 steady at 99.805
  • Mar 22 steady at 99.815
  • Jun 22 +0.005 at 99.760
  • Red Pack (Sep 22-Jun 23) +0.005 to +0.010
  • Green Pack (Sep 23-Jun 24) +0.005 to +0.010
  • Blue Pack (Sep 24-Jun 25) +0.010 to +0.015
  • Gold Pack (Sep 25-Jun 26) +0.020

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