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Post LIBOR Settle Update

US EURODLR FUTURES

Lead quarterly EDZ1 actually gained slightly after latest 3M LIBOR set +0.00188 to 0.12388% (+0.00813/wk), otherwise levels running weaker out the strip:

  • Dec 21 +0.005 at 99.820
  • Mar 22 steady at 99.850
  • Jun 22 +0.005 at 99.815
  • Sep 22 steady at 99.720
  • Red Pack (Dec 22-Sep 23) -0.005 to steady
  • Green Pack (Dec 23-Sep 24) -0.015 to -0.005
  • Blue Pack (Dec 24-Sep 25) -0.015 to -0.01
  • Gold Pack (Dec 25-Sep 26) -0.015 to -0.01

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