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Post-LIBOR Settle Update

US EURODLR FUTURES
Lead quarterly holding steady after latest 3M LIBOR set' -0.00600 to 0.23843% (+0.00229/wk), levels steady to mildly weaker out to Blues (EDH5-EDZ5), Golds (EDH6-EDZ6) outperforming.
  • Some large short end buying noted late Tuesday ahead today's Dec CPI data (0.4% MoM vs. 0.8% prior) assuming a "hot" inflation read already priced in, option accts looking for a bounce as well with pick-up in low delta call buying.
  • Otherwise, markets gradually getting accustomed to the thought of four .25bp hikes this year, balance sheet run-off, start of QT later in year.
  • Green Dec'24 flat through Jun'25 at 98.00, just above inversion vs. Sep'25 (97.995).

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