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Post-LIBOR Settle Update, 3M Bounce, Fed Speak Resumes


Lead quarterly EDM2 holding modest gain +0.020 at 98.585 after latest 3M LIBOR settle climbs +0.00614 to 0.93400% (+0.10800/wk) -- off Wed's highest level since mid-April, 2020 of 0.94814%.

  • Balance of Whites (EDU2-EDH3) trade +0.025-0.030, while Reds through Golds (EDM3-EDH7) trading +0.035-0.065 higher, Greens and Blues (EDM4-EDH6) outperforming.
  • Carry-over rebound after massive initial sell-off post FOMC when EDZ2-EDH3 gapped as much as -0.23 lower and Tsy 5s10s curve inverted to -1.823 briefly as markets adjusted to median projections (1.9% FF end of '22, 2.8% FF end of '23).
  • Fed out of media blackout, several scheduled speakers on tap, but expect pop-up appearances, headlines, essays (StL Fed Bullard recently, see 0614ET bullet) and/or rebuttals:
    • Fed Gov Waller interview on CNBC at 0830ET
    • MN Fed Kashkari on capital, energy sectors at 1200ET
    • Richmond Fed Barkin economic outlook at 1320ET
    • Fed Gov Bowman, Fed listens event: Helping Youth Thrive at 1400ET
  • Uncertainty over pricing in forward policy: longer expirys continue to outperform w/ first price inversion still between Red Sep'23 (97.285) and Red Dec'23 (97.33). Inversion extends through Greens (EDM4-EDH5) while Blues trade flat around 99.770-.775.

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