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Post-LIBOR Settle Update

US EURODLR FUTURES
Lead quarterly EDH2 holding mildly weaker after latest 3M LIBOR set' +0.00215 to 0.24129% (+0.00515/wk).
  • Levels weaker out the strip on decent volumes, Reds (EDH3-EDZ3) leading sell-off as they adjust to inflation driven tighter policy talk (3-4 hikes this year, likely starting in March) from the Fed this week. Fed enters media blackout this evening through Jan 27, day after FOMC.
  • Green Dec'24 has extended inversion slightly vs. Blues (EDH5-EDZ5) as market confidence over policy guidance wanes. Chicago Fed Pres Evans said late Thu that monetary policy is "not well positioned for inflation". Current levels:
    • Mar 22 -0.005 at 99.585
    • Jun 22 -0.010 at 99.290
    • Sep 22 -0.025 at 99.035
    • Dec 22 -0.035 at 98.760
    • Red Pack (Mar 23-Dec 23) -0.055 to -0.045
    • Green Pack (Mar 24-Dec 24) -0.04 to -0.03
    • Blue Pack (Mar 25-Dec 25) -0.03 to -0.025
    • Gold Pack (Mar 26-Dec 26) -0.025 to -0.02

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