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POST-LIBOR Settle Update

US EURODLR FUTURES

Lead quarterly EDH2 holding decent gain/late overnight high after latest 3M LIBOR set' -0.00937 to 0.21438% (-0.00350/wk). Whites-Greens narrowly outpacing long end of strip. Note Green Dec'24 flat to Blue Mar'25, progressively dis-inverted vs. longer expirys. Latest levels:

  • Mar 22 +0.015 at 99.640
  • Jun 22 +0.020 at 99.390
  • Sep 22 +0.020 at 99.180
  • Dec 22 +0.015 at 98.940
  • Red Pack (Mar 23-Dec 23) +0.015 to +0.015
  • Green Pack (Mar 24-Dec 24) +0.010 to +0.015
  • Blue Pack (Mar 25-Dec 25) +0.005 to +0.010
  • Gold Pack (Mar 26-Dec 26) +0.005 to +0.010

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