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Post-LIBOR Settle Update


Lead quarterly EDZ1 inches lower after latest 3M LIBOR set' +0.00563 to 0.16963% (+0.01125 total last wk); levels running moderately weaker out the strip, near low end overnight range:

  • Dec 21 -0.0075 at 99.7775
  • Mar 22 -0.015 at 99.720
  • Jun 22 -0.030 at 99.520
  • Sep 22 -0.035 at 99.285
  • Red Pack (Dec 22-Sep 23) -0.055 to -0.045
  • Green Pack (Dec 23-Sep 24) -0.06 to -0.055
  • Blue Pack (Dec 24-Sep 25) -0.055 to -0.05
  • Gold Pack (Dec 25-Sep 26) -0.055 to -0.045

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