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Post-LIBOR Settle Update

US EURODLR FUTURES

Lead quarterly EDU1 dips after latest 3M LIBOR settles +0.00275 to 0.12725% (+0.00300/wk), levels running modestly higher out the strip:

  • Sep 21 -0.005 at 99.870
  • Dec 21 +0.005 at 99.825
  • Mar 22 +0.005 at 99.850
  • Jun 22 +0.005 at 99.810
  • Red Pack (Sep 22-Jun 23) +0.005 to +0.020
  • Green Pack (Sep 23-Jun 24) +0.025 to +0.030
  • Blue Pack (Sep 24-Jun 25) +0.035 to +0.040
  • Gold Pack (Sep 25-Jun 26) +0.035 to +0.040

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