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Post LIBOR Settle Update

US EURODLR FUTURES

Lead quarterly slips lower after 3M LIBOR set climbs +0.00363 to 0.12538% (+0.00763/wk), levels running steady/mixed out the strip:

  • Sep 21 -0.005 at 99.875
  • Dec 21 -0.005 at 99.830
  • Mar 22 steady at 99.855
  • Jun 22 -0.005 at 99.810
  • Red Pack (Sep 22-Jun 23) -0.005 to +0.005
  • Green Pack (Sep 23-Jun 24) steady to +0.005
  • Blue Pack (Sep 24-Jun 25) -0.005 to steady
  • Gold Pack (Sep 25-Jun 26) steady to +0.010

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