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Post-LIBOR Settle Update, 3M Bounce, Risk-Off Pauses


Lead quarterly EDH2 trades weaker/near middle overnight range -- dipped slightly to 99.345 (-0.022) after latest 3M LIBOR settlement climbed +0.01128 to 0.52214%, now only -0.00086 lower for week.

  • FI reversing portion of risk-off support over last two sessions while geopol risk remains: Russia war in Ukraine enters seventh day, second round of peace talks expected today. EU proceeds with ban on seven Russian bank access to SWIFT
  • Bank Otkritie, Novikombank, Promsvyazbank, Bank Rossiya, Sovcombank, Vnesheconombank (VEB), VTB Bank -- a potential threat to US$ standing, CS Zoltan Pozsar posited.
  • A lot of chatter that Russia ground war may derail hawkish policy Tuesday -- massive short covering in Whites has subsided, however, after probability of NO HIKE at March 16 FOMC climbed to low teens yesterday.
  • Whites-Reds (EDH2-EDZ3) +0.38-0.47 Mon-Tue currently trading 0.095-0.120 lower. Red Dec'23 at 97.98 remains inverted vs. Green Mar'24 by 0.070.

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