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Post-LIBOR Settle Update

US EURODLR FUTURES

Lead quarterly EDH2 slips back to overnight low after latest 3M LIBOR set' +0.00687 to 0.21600% (-0.00875 total last wk). Whites-Reds outperforming balance of strip.

  • Mar 22 -0.010 at 99.635
  • Jun 22 steady at 99.390
  • Sep 22 +0.005 at 99.170
  • Dec 22 steady at 98.910
  • Red Pack (Mar 23-Dec 23) steady to +0.005
  • Green Pack (Mar 24-Dec 24) -0.01 to -0.005
  • Blue Pack (Mar 25-Dec 25) -0.01 to -0.005
  • Gold Pack (Mar 26-Dec 26) -0.01 to -0.005

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