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Post-LIBOR Settle Update, 3M Gains

US EURODLR FUTURES

Lead quarterly EDH2 trading weaker after initially trades steady to +0.005 at 99.505, after latest 3M LIBOR set' climbs +0.00443 to 0.31500%, -0.00157 net for week (highest levels since May 2020 last Friday: 0.31657%, +0.05886 total last wk).
BoE rate hike (+.25bp to .5) weighing on FI markets in general -- 4 out of nine members voted for .5bps hike.

  • Whites (EDH2-EDZ2) through Reds (EDH3-EDZ3) trading firmer vs. modestly lower Greens (EDH4-EDZ4) through Golds (EDH6-EDZ6)
  • Whites still pricing in nearly to 125bps in rate hikes by year end (EDZ2 98.54), but more more aggressive rate hike estimates take a step back
  • On the right path? Policy uncertainty/inflection point eases: Green Dec'24 (98.025) off inversion, trading even to Blue Mar'25 and gaining ground vs. balance of strip (+0.005-0.035)
  • Option accounts continue to buy puts outright and on spd targeting rate hikes in June, Sep and Dec 2022-2023.

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