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Post-LIBOR Settle Update, 3M Extends Gain

US EURODLR FUTURES

Lead quarterly EDH2 inches back to steady at 99.415 following latest 3M LIBOR set' +0.00386 to 0.36629% -- highest lvl since May 27, 2020 after gaining +0.02729 for the week so far.

  • Lead quarterly holds ground. Either markets expected a higher 3M LIBOR set' this morning or they are unwilling to price in higher probability of more than a 25bps hike in March. Perhaps a little both with the lead quarterly already pricing in appr 50% chance of 50bp hike at the next FOMC on March 16.
  • Out the strip: futures trading weaker in balance of Whites (EDM2-EDZ2, -0.010-0.020) through Golds (EDH6-EDZ6, -0.035-0.040), unwinding Monday's gains and adding to Fri's post Jan employment triggered sell-off.
  • 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.
  • Getting comfortable with tighter policy over the medium term? Policy uncertainty/inflection point remains Green Dec'24 (97.830) currently steady vs. Blue Mar'25 and Jun'25, mildly higher vs. balance of strip (+0.000-0.010).

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