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Post-LIBOR Settle Update

US EURODLR FUTURES

Lead quarterly EDZ1 holds steady after latest 3M LIBOR settle +0.00237 to 0.19000% (+0.01225 total last wk), levels trading weaker -- near overnight lows out the strip:

  • Dec 21 steady at 99.798
  • Mar 22 -0.020 at 99.695
  • Jun 22 -0.035 at 99.505
  • Sep 22 -0.040 at 99.275
  • Red Pack (Dec 22-Sep 23) -0.06 to -0.05
  • Green Pack (Dec 23-Sep 24) -0.055 to -0.05
  • Blue Pack (Dec 24-Sep 25) -0.075 to -0.060
  • Gold Pack (Dec 25-Sep 26) -0.075 to -0.080

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