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Post-LIBOR Settle Update: 3M Revisits Late 2018 / 2008 Lvls

US EURODLR FUTURES

Lead quarterly EDU2 trades -0.015 at 96.595 after latest 3M LIBOR set' climbs +0.01300 to 2.80586% (+0.03957/wk) - highest level since Dec 31, 2018 (in turn - near highest level since late 2008).

  • Consensus hike expectations 75bp (Wells Fargo and Nomura calling for 100bp hike today) with focus on guidance for Sep meeting where expectations have cooled slightly to 50bp hike.
  • Balance of Whites (EDZ2-EDM3) trades -0.030-0.040, Reds through Golds (EDU3-EDM7) -0.010-0.020.
  • Front end inversion: Dec'22/Mar'23 at -0.175. Most inverted calendar spds: EDZ2/EDZ3 at -0.705, EDH3/EDH4 at -0.655. Inversion starts to flatten out in Green Jun'25 vs. Blue Sep trading flat.
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