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Post-LIBOR Settle Update

US EURODLR FUTURES

Lead quarterly holds mildly weaker after latest 3M LIBOR set' +0.00138 to 0.13588% (+0.01100/wk); levels trading mildly weaker to steady out the strip:

  • Dec 21 -0.005 at 99.810
  • Mar 22 steady at 99.780
  • Jun 22 -0.010 at 99.615
  • Sep 22 -0.020 at 99.435
  • Red Pack (Dec 22-Sep 23) -0.015 to -0.01
  • Green Pack (Dec 23-Sep 24) -0.015 to -0.01
  • Blue Pack (Dec 24-Sep 25) -0.02 to -0.01
  • Gold Pack (Dec 25-Sep 26) -0.01 to steady

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