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Post-LIBOR Settle Update

US EURODLR FUTURES

Lead quarterly EDH2 holding modest gain after another higher 3M LIBOR set' +0.00372 to 0.25886% (+0.01757/wk) -- highest since August 2020. Red-Greens underperforming mostly steady levels in Blues-Golds. Green Dec'24 futures remain inverted vs. Blue pack (EDH5EDZ5):

  • Mar 22 +0.005 at 99.545
  • Jun 22 steady at 99.215
  • Sep 22 -0.010 at 98.945
  • Dec 22 -0.010 at 98.675
  • 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) -0.005 to steady
  • Gold Pack (Mar 26-Dec 26) steady to +0.005

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