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Post LIBOR Settle Update

US EURODLR FUTURES

Lead quarterly EDZ1 holds bid after latest 3M LIBOR set' steady at 0.13225% (+0.00838/wk), leads volume w/over 150k, large selling into support w/-50k at 99.82 (+0.010) earlier. Levels modestly higher out the strip:

  • Dec 21 +0.010 at 99.820
  • Mar 22 +0.005 at 99.850
  • Jun 22 +0.005 at 99.805
  • Sep 22 -0.005 at 99.680
  • Red Pack (Dec 22-Sep 23) steady to +0.015
  • Green Pack (Dec 23-Sep 24) +0.020 to +0.025
  • Blue Pack (Dec 24-Sep 25) +0.015 to +0.020
  • Gold Pack (Dec 25-Sep 26) +0.005 to +0.015

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