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Post-LIBOR Settle Update, 3M New High Again

US EURODLR FUTURES

Lead quarterly EDH2 trading mildly higher (+0.010 to 99.405) after latest 3M LIBOR set' surged +0.02343 to 0.36243% -- the highest level since May 27, 2020 after gaining +0.02243 last week.

Despite the benchmark surge -- short end rates recovering some ground after last Friday's post-employment data rout w/ 3M futures trading 0.005-0.015 higher from Whites (EDH2-EDZ2) through Gold (EDH6-EDZ6)
Mar'22 futures finished -0.085 lower Fri with the balance of Whites -0.135-0.160 as a result of Jan employ's stellar gain of +467k jobs and up-revision totals for November and December of +709k weighed heavily on rates (and equities briefly) as markets rushed to reprice more aggressive rate hikes from the Fed for 2022 and spill-over to 2023.

Price discovery: 25bp or 50bp hike in March? Current pricing assigning 50% chance of 50bp hike as participants debate whether the Fed will move that quickly to address rising inflation. Former Tsy Sec Summers weekend headlines: the Fed could hike at "All Seven Meetings by Yr-End .. potential for an outsize rate hike," Bbg.

Policy uncertainty/inflection point remains Green Dec'24 (97.855) inverted vs. Blue Mar'25 and Jun'25, steady to mildly higher vs. balance of strip (+0.000-0.010).

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