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Post-LIBOR Settle Update

US EURODLR FUTURES

Lead quarterly EDM2 trading higher: 98.440 (+0.025) after latest 3M LIBOR settle falls -0.03914 to 0.96686%, -0.01600 total on week now after climbing to 1.00600% Tuesday -- highest since April 2020.

  • Balance of Whites (EDU2-EDH3) trade +0.010-0.020 higher as market pricing in multiple rate hikes for 2022 cools (203bp from 220bp on Monday).
  • Reds (EDM3-EDH4) +0.015 to steady while Greens through Golds (EDM4-EDH7) trading -0.005-0.015 lower.
  • Uncertainty over pricing in forward policy and/or confidence in Fed managing a soft landing remains evident as longer expirys continue to outperform. First price inversion holding at Red Jun'23 (96.80) vs. Red Sep'23 (96.805). Inversion flattens out in Golds (EDM6-EDH7) strip trading around 97.525.

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