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Short End Support Evaporates

US EURODLR FUTURES CLOSE

Weaker in the short end to mildly higher out the strip, marginal bid in lead quarterly EDZ0 (after 3M LIBOR set' -0.00213 to 0.22325%, -0.02495 last wk) evaporated late (notably around time >50,000 FFX sold at 99.925, taking out the bid). Latest lvls:

  • Dec 20 -0.005 at 99.730
  • Mar 21 steady at 99.795
  • Jun 21 -0.005 at 99.80
  • Sep 21 +0.005 at 99.805
  • Red Pack (Dec 21-Sep 22) +0.005 to +0.010
  • Green Pack (Dec 22-Sep 23) +0.010 to +0.015
  • Blue Pack (Dec 23-Sep 24) +0.010 to +0.015
  • Gold Pack (Dec 24-Sep 25) +0.015 to +0.030

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