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Post-LIBOR Settle Update, 3M

US EURODLR FUTURES

Adding to Thu's steep sell-off, lead quarterly EDH2 remains under pressure at 99.255 (-0.025) after latest 3M LIBOR set' surges +0.11157 higher to 0.50643% -- highest lvl since May 4, 2020, after climbing +0.16743 on the week.

  • Post-CPI rush to price in higher/faster rate hikes: lead quarterly had been reluctant to price in more than appr 50% chance of 50bp hike at the next FOMC on March 16, now fully priced in after higher than forecasted Jan CPI of 0.6%.
  • Hawkish comments from StL Fed Bullard and Richmond Fed Barkin further underscoring moves that priced in 150bp hikes by year end.
  • Paradigm shift on policy uncertainty: inversion has moved from Green Dec'24 to Red Sep'23 with Greens-Golds (EDH4-EDZ6) trading 0.025-0.075 higher this morning -- recovering a portion of Thu's move.
  • Red Sep'23 futures at 97.65 trading 0.005 to 0.150 inverted vs. Greens now.
  • Suspect there will be a parade of unscheduled Fed speakers in the day ahead as market pricing paints Fed into a corner over rate hikes as inflation spikes.
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