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Post-LIBOR Settle Update, 3M Gaps Higher, Reds Underperform

US EURODLR FUTURES

Lead quarterly EDH2 extends sell-off/new overnight lows at 99.3275 (-0.0325) after latest 3M LIBOR set' surged +0.0240 to 0.48786%, benchmark up +0.0829 total for the week.

  • Balance of Whites (EDM2-EDZ2, -0.050-0.095) through Golds (EDH6-EDZ6, -0.010-0.015) extends sell-off, Reds (EDH3-EDZ3) underperforming: -0.080-0.100.
  • Market pricing liftoff -- debate over 25bp or 50bp on March 16 resumes, leaning back towards 25bp rather than 50bp hike while Reds adjust lower/pricing in additional hikes in 2023.
  • Policy uncertainty: Red Sep'23-Dec'23 at 97.685 trading trading inverted vs. Green Mar'24 by 0.060.

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