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

US EURODLR FUTURES
Lead quarterly EDH2 remains under pressure (-0.035 at 99.50) after latest 3M LIBOR set' surged +0.02143 to 0.29900% (+0.04129/wk) -- Highest level since May 2020.
  • Done and dusted: 25bp hike fully priced into March while June more than halfway to pricing in 50bp as a result of Wed's hawkish hold from the FOMC.
  • Chairman Powell conceded liftoff will "soon be appropriate" as economic activity continues to expand at a robust pace and "inflation remains well above our longer run goal of 2%."
  • Balance of Whites through Reds (EDH3-EDZ3) under heavy pressure as markets extend rate hikes through end of 2023 and into early 2024 where Greens (EDZ4-EDZ4) are trading mixed.
  • That said, Blues (EDH5-EDZ5) trading higher with Golds (EDH6-EDZ6), Green Dec'24 remains inverted vs. Blues as policy uncertainty remains.
  • Active accts continued to add to downside/rate hike positioning.
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