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Post LIBOR Settle Update

US EURODLR FUTURES

Lead quarterly EDU1 holding steady after 3M LIBOR set +0.00400 to 0.13825% (+0.00400/wk), levels running moderately higher out the strip:

  • Sep 21 steady at 99.865
  • Dec 21 -0.005 at 99.805
  • Mar 22 -0.005 at 99.820
  • Jun 22 steady at 99.775
  • Red Pack (Sep 22-Jun 23) +0.005 to +0.030
  • Green Pack (Sep 23-Jun 24) +0.030 to +0.040
  • Blue Pack (Sep 24-Jun 25) +0.035 to +0.040
  • Gold Pack (Sep 25-Jun 26) +0.025 to +0.035

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