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Post-LIBOR Settle Update: 3M At Sep 2019 Lvl

US EURODLR FUTURES

Very light volumes w/ cash Tsy mkt and equity exchanges closed for Juneteenth holiday, abbreviated Globex session with futures close at 1300ET.

  • No overnight LIBOR settle while lead quarterly EDU2 trading -0.015 at 96.63 after latest 3M LIBOR set' climbs to highest level since Sep 2019 at 2.12343%, +0.02757 after gaining +0.35115 total last wk.
  • Balance of Whites through Reds (EDZ2-EDM4) trades -0.070-0.020 as prospect for 75bp hikes prices in, Greens (EDM4-EDH5) from -0.015 to +0.005, Blues through Golds (EDU5-EDM7) +0.005-0.015.
  • Low mkt measure of confidence in Fed managing a soft landing/avoiding recession reflected in inverted futures pricing moving to latter half of Whites w/ Mar'23 currently trading 95.935 vs. Jun'23 at 96.01. Inversion starts to flatten out (dis-invert) around Blue Mar'26/Jun'26 trading 96.785.

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