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Sharply Lower, Long End Leads On Heavy Volumes

US EURODLR FUTURES

Mirroring Tsy futures, Eurodollar futures sharply lower across the strip, short end outperforming. Lead quarterly held steady much of day since 3M LIBOR set -0.00088 to new all-time low of 0.20500% (-0.00275 net last wk).

  • Dec 20 -0.005 at 99.765
  • Mar 21 -0.010 at 99.790
  • Jun 21 -0.015 at 99.785
  • Sep 21 -0.020 at 99.780
  • Red Pack (Dec 21-Sep 22) -0.045 to -0.02
  • Green Pack (Dec 22-Sep 23) -0.085 to -0.05
  • Blue Pack (Dec 23-Sep 24) -0.145 to -0.095
  • Gold Pack (Dec 24-Sep 25) -0.18 to -0.15

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