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Post-LIBOR Settle Update

US EURODLR FUTURES

Lead quarterly EDZ1 declines slightly after latest 3M LIBOR set: +0.00437 to 0.16400% (+0.01125/wk), levels running progressively higher out the strip -- overnight highs:

  • Dec 21 -0.0025 at 99.790
  • Mar 22 +0.010 at 99.765
  • Jun 22 +0.025 at 99.605
  • Sep 22 +0.035 at 99.380
  • Red Pack (Dec 22-Sep 23) +0.035 to +0.070
  • Green Pack (Dec 23-Sep 24) +0.060 to +0.065
  • Blue Pack (Dec 24-Sep 25) +0.060 to +0.075
  • Gold Pack (Dec 25-Sep 26) +0.070 to +0.075

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