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Post-LIBOR Settle Update

US EURODLR FUTURES

Lead quarterly EDZ1 gains after latest 3M LIBOR set' -0.00525 to 0.13975% (+0.00750/wk), levels running moderately higher out the strip, light volume ahead ADP employ data at 0815ET.

  • Dec 21 +0.015 at 99.790
  • Mar 22 +0.015 at 99.765
  • Jun 22 +0.010 at 99.605
  • Sep 22 +0.010 at 99.415
  • Red Pack (Dec 22-Sep 23) +0.015 to +0.020
  • Green Pack (Dec 23-Sep 24) +0.020 to +0.025
  • Blue Pack (Dec 24-Sep 25) +0.010 to +0.015
  • Gold Pack (Dec 25-Sep 26) +0.010 to +0.015

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