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2023 Inversion Trimmed

US EURODLR FUTURES
  • EDZ2 trades -0.02 as it holds its decline after the 3-month Libor fixing jumped 5.9bps.
  • Slightly smaller changes through the rest of the white pack with a more sizeable cheapening in red pack (led by EDM4 -0.07).
  • The moves see moderately less inversion: the terminal is still in the M3, currently at 5.33% and EDM3/EDZ3 moving from -0.495 at close to -0.46, with the pace of implied cuts accelerating in 2024 with EDZ3/EDZ4 at -1.21, unchanged from yesterday.

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