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Post-LIBOR Settle Update, 3M Highest Since August 2020

US EURODLR FUTURES
Lead quarterly EDH2 trading weaker at 99.55 (-0.020) but well off early overnight low of 99.525 -- top end of overnight range after 3M LIBOR set climbs +0.00600 to 0.25400% (+0.01271/wk) -- highest level since August 26, 2020 (0.25588%).
  • Heavy volumes in Whites (EDH2-EDZ2) as futures fully pricing in .25bp rate hike at March 16 FOMC, trading weaker out the strip as they adjust to three additional quarterly hikes by year end.
  • Confidence over policy ebbs out the curve: Green Dec'24 at 97.92 (-0.060) remains inverted vs. Blues (EDH5-EDZ5) large trading flat around 97.92 (-0.060) while EDZ5 trading at 97.915 (-0.055).

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