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Post-LIBOR Settle Update,

US EURODLR FUTURES

Lead quarterly EDH2 gains slightly, +0.005 to 99.355 after latest 3M LIBOR set' recedes -0.00143 to 0.47957%, benchmark down -0.02686 total for the week.

  • Balance of Whites (EDM2-EDZ2) through Reds (EDH3-EDZ3) trading steady to +/-0.005, Greens (ED4-EDZ4) through Golds (EDH6-EDZ6) firmer by +0.010.
  • Market pricing liftoff -- leaning back towards 25bp rather than 50 bp hike at the next FOMC annc on March 16 after more aggressive levels priced in Monday.
  • Fed speakers do NOT include StL Fed Bullard today:
    • 1045ET: Chicago Fed Evans, Fed Gov Waller, Booth policy forum, NY
    • 1100ET: NY Fed Williams, eco outlook, w/ text/Q&A, NY City Univ
    • 1330ET: Fed Gov Brainard, digital currency, Booth forum, text/Q&A
  • Policy uncertainty: Green March'24 at 97.795 still trading 0.045 over Red Dec'23.
  • Option trade: call volume continues to rise: total March volume near 39k, open interest +19,821; May calls near 50k, OI +23,862; Jun calls 62k, OI +10,831 according to CME prelim data.

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