Post-LIBOR Settle Update

Lead quarterly EDH2 climbed +0.010 at 99.2925 even after latest 3M LIBOR set' gains +0.01014 to 0.46871%, down -0.03772 for the week now.

• Balance of Whites (EDM2-EDZ2) +0.025-0.005, outpacing weaker Reds (EDH3-EDZ3, -0.010-0.015) through Golds (EDH6-EDZ6, 0.050-0.060).
• Decent two-way trade in Whites in lead up to the fix, markets likely anticipating a higher settle given the bounce in EDH2, after the 3M benchmark gapped -0.04786 lower Monday.
• Scaling back 50bp March hike: Markets tempering liftoff expectations for March/balance of the year after StL Fed Bullard doubled down in his Monday morning CNBC interview:
• Bullard reiterated stance on higher/faster rate hikes to address growing inflation but has little additional support from others. Bullard would like to see 100bp in hikes by July, Fed not moving fast enough. Bullard Wants balance sheet run-off in second quarter. On supply chain drag, Bullard said a feed-back loop may last into 2023.
• Inversion: Policy uncertainty moves out to Green March (EDH4: 97.67, -0.020) from Red Sep'23 and Dec'23 yesterday, EDH4 currently -0.060 vs. EDM4.