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Post-LIBOR Settle Update, First Decline Since Feb 28


Lead quarterly EDM2 moving higher again (+0.070 at 98.55) after 3M LIBOR settle recedes -0.02028 to 0.92786% -- still up +0.10186 for the week.
LIBOR 3M benchmark off Wed's highest level since mid-April, 2020 -- first decline since February 28.

  • Balance of Whites (EDU2-EDH3) trade +0.025-0.035, while Reds through Golds (EDM3-EDH7) trading +0.035-0.085 higher, long end of strip outperforming.
  • Continued rebound after massive initial sell-off post FOMC: EDZ2-EDH3 down as much as -0.23 at one point (5s10s inverted to -1.823 briefly) as markets adjusted to median projections (1.9% FF end of '22, 2.8% FF end of '23) triggering fast round of selling in rates and equities -- ahead of Chairman Powell's press conf.
  • Rates bounced off lows as presser had a calming effect as Chair Powell stuck to the script of price stability, easing accommodation and balance sheet reduction in coming meetings.
  • Uncertainty over pricing in forward policy: longer expirys continue to outperform w/ first price inversion still between Red Sep'23 (97.29) and Red Dec'23 (97.335).
  • "Rather than being forward looking, our central bank is now being pushed around by news headlines," one Fed watcher said, "the yield curve is telling you something that news headlines aren't."
  • "The financial machine is going to have an awfully hard time making money as funding rates exceed the yield on longer dated assets."

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