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Post LIBOR Settle Update, Sep'20 Expires

US EURODLR FUTURES

Trading steady to mixed, long end of strip marginally higher, EDZ0 takes lead quarterly (EDU0 expires 99.76275 after latest 3M LIBOR set' -0.01313 to 0.23727%, +0.0024 last wk). Latest levels:

  • Dec 20 -0.005 at 99.705
  • Mar 21 -0.010 at 99.795
  • Jun 21 -0.005 at 99.820
  • Sep 21 -0.005 at 99.820
  • Red Pack (Dec 21-Sep 22) -0.01 to -0.005
  • Green Pack (Dec 22-Sep 23) -0.005 to steady
  • Blue Pack (Dec 23-Sep 24) steady
  • Gold Pack (Dec 24-Sep 25) steady to +0.005

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