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Post LIBOR Settle Update, New All-Time Low 3M

US EURODLR FUTURES

Futures gapped lower on heels of Pfizer headline (vaccine prevents 90% of infection in large study), lead quarterly EDZ0 back to steady after 3M LIBOR set -0.00088 to new all-time low of 0.20500% (-0.00275/wk).

  • Dec 20 steady at 99.770
  • Mar 21 -0.005 at 99.795
  • Jun 21 -0.005 at 99.795
  • Sep 21 -0.010 at 99.790
  • Red Pack (Dec 21-Sep 22) -0.015 to -0.01
  • Green Pack (Dec 22-Sep 23) -0.025 to -0.015
  • Blue Pack (Dec 23-Sep 24) -0.045 to -0.03
  • Gold Pack (Dec 24-Sep 25) -0.065 to -0.045

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