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Post-LIBOR Settle Update

US EURODLR FUTURES

Lead quarterly EDH2 holds weaker level after latest 3M LIBOR set climbs +0.00175 to 0.21600% (+0.00338/wk) -- highest level since Jan 26. Levels weaker, near overnight lows out the strip, EDZ4 inverted vs. EDU5. Light volumes ahead Christmas holiday.

  • Mar 22 -0.010 at 99.635
  • Jun 22 -0.015 at 99.40
  • Sep 22 -0.020 at 99.205
  • Dec 22 -0.020 at 98.985
  • Red Pack (Mar 23-Dec 23) -0.03 to -0.025
  • Green Pack (Mar 24-Dec 24) -0.025 to -0.015
  • Blue Pack (Mar 25-Dec 25) -0.015 to -0.01
  • Gold Pack (Mar 26-Dec 26) -0.03 to -0.02

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