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Post-LIBOR Settle Update

US EURODLR FUTURES

Lead quarterly EDZ1 holds weaker after latest 3M LIBOR set' +0.00138 to 0.17463% (-0.00075/wk), still adjusting to Fed Chair Powell's faster taper comments out the strip: Reds-Greens leading overnight sell-off:

  • Dec 21 -0.005 at 99.793
  • Mar 22 -0.025 at 99.695
  • Jun 22 -0.040 at 99.510
  • Sep 22 -0.070 at 99.270
  • Red Pack (Dec 22-Sep 23) -0.115 to -0.085
  • Green Pack (Dec 23-Sep 24) -0.11 to -0.085
  • Blue Pack (Dec 24-Sep 25) -0.08 to -0.055
  • Gold Pack (Dec 25-Sep 26) -0.055 to -0.035

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