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Post-LIBOR Settle Update

US EURODLR FUTURES

Lead quarterly EDH2 back to steady after latest 3M LIBOR hedge rebounds +0.00837 to 0.21975% (+0.00713/wk), levels holding weaker out the strip on light volume:

  • Mar 22 steady at 99.630
  • Jun 22 -0.005 at 99.390
  • Sep 22 -0.005 at 99.185
  • Dec 22 -0.010 at 98.950
  • Red Pack (Mar 23-Dec 23) -0.015 to -0.01
  • Green Pack (Mar 24-Dec 24) -0.015 to -0.01
  • Blue Pack (Mar 25-Dec 25) -0.02 to -0.015
  • Gold Pack (Mar 26-Dec 26) -0.02 to -0.01

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