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Post-LIBOR Settle Update

US EURODLR FUTURES

Lead quarterly EDZ1 holding steady after latest 3M LIBOR set' +0.00962 to 0.13450% (+0.00125 total last wk); Whites through Reds modestly higher, Greens-Golds weaker:

  • Dec 21 steady at 99.810
  • Mar 22 +0.010 at 99.765
  • Jun 22 +0.010 at 99.610
  • Sep 22 +0.010 at 99.435
  • Red Pack (Dec 22-Sep 23) +0.005 to +0.010
  • Green Pack (Dec 23-Sep 24) -0.015 to steady
  • Blue Pack (Dec 24-Sep 25) -0.025 to -0.02
  • Gold Pack (Dec 25-Sep 26) -0.025 to -0.02

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