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Post LIBOR Settle Update, New Record 3M Benchmark Low

US EURODLR FUTURES

Holding largely steady to marginally mixed across the strip, lead quarterly EDZ0 bounced after 3M LIBOR set -0.00775 to new record low of 0.20488% (-0.01712/wk); prior record low of 0.20500% on 11/9/20. Update:

  • Dec 20 +0.002 at 99.755
  • Mar 21 steady at 99.785
  • Jun 21 +0.005 at 99.795
  • Sep 21 +0.005 at 99.790
  • Red Pack (Dec 21-Sep 22) steady to +0.005
  • Green Pack (Dec 22-Sep 23) steady
  • Blue Pack (Dec 23-Sep 24) -0.005 to steady
  • Gold Pack (Dec 24-Sep 25) -0.005 to steady

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