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Post-LIBOR Settle Update

US EURODLR FUTURES

Lead quarterly EDH2 holds weaker levels after latest 3M LIBOR set +0.00475 to 0.21567% (+0.01738/wk). Levels trading steady to weaker mildly weaker out the strip:

  • Mar 22 -0.010 at 99.680
  • Jun 22 -0.020 at 99.470
  • Sep 22 -0.020 at 99.255
  • Dec-22 -0.015 at 98.985
  • Red Pack (Mar 22-Dec 23) -0.015 to -0.005
  • Green Pack (Mar 23-Dec 24) -0.005 to steady
  • Blue Pack (Mar 24-Dec 25) -0.005 to -0.005
  • Gold Pack (Mar 25-Dec 26) -0.015 to -0.005

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