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Post-LIBOR Settle Update

US EURODLR FUTURES

Lead quarterly EDU1 holding steady after 3M LIBOR set unch at 0.13425% (+0.00562 total last wk). Levels running progressively higher out the strip -- mirroring Bond lead rally in Tsys.

  • Sep 21 steady at 99.875
  • Dec 21 steady at 99.820
  • Mar 22 +0.005 at 99.830
  • Jun 22 +0.010 at 99.775
  • Red Pack (Sep 22-Jun 23) +0.015 to +0.035
  • Green Pack (Sep 23-Jun 24) +0.045 to +0.065
  • Blue Pack (Sep 24-Jun 25) +0.070 to +0.080
  • Gold Pack (Sep 25-Jun 26) +0.080 to +0.085

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