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Post-LIBOR Settle Update

US EURODLR FUTURES

Lead quarterly EDH2 gained slightly after latest 3M LIBOR set' -0.00462 to 0.21138% (-0.00125/wk), levels running steady to mostly weaker out the strip on light volumes (EDZ2 leads with only 25k). Green Dec'24 now flat vs. EDH5-EDM5 after trading inverted out to EDM6 last week. Currently:

  • Mar 22 +0.005 at 99.635
  • Jun 22 -0.005 at 99.385
  • Sep 22 steady at 99.185
  • Dec 22 steady at 98.950
  • Red Pack (Mar 23-Dec 23) -0.01 to -0.005
  • Green Pack (Mar 24-Dec 24) -0.01 to -0.005
  • Blue Pack (Mar 25-Dec 25) -0.01
  • Gold Pack (Mar 26-Dec 26) -0.01 to steady

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