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Post-LIBOR Settle Update, 3M Dip

US EURODLR FUTURES
Lead quarterly EDH2 remains under pressure (-0.020 at 99.465), off 99.45 overnight low after latest 3M LIBOR set' -0.00771 lower to 0.30886% (+0.05886 total last wk) -- after climbing to highest levels since May 2020 last week.
  • Whites through Reds (EDH2-EDZ3) coming under renewed pressure, EDM2-EDZ2 now -0.050 lower, but still off overnight lows.
  • Back to pricing in more than 100bps hikes in 2022. MN Fed Kashkari (dove) helped cool more aggressive rate hike estimates early last Friday -- But Atlanta Fed Bostic (also dove) told Financial Times Saturday that 50bps possible in March has turned up the heat again.
  • Hawkish tone starts to cool in early 2024, Eurodollar Greens (EDH4-EDZ5) trading firmer, Blues-Golds (EDH5-EDZ6) outperforming.
  • Policy uncertainty/inflection point remains Green Dec'24 (97.910) inverted vs. most of the Blues (EDH5-EDU5) -- 0.005 over Blue Dec'25.
  • Expect option accounts to resume adding to downside insurance/rate hike positions in Whites-Reds as markets price in size and pace of policy.
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