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Post-LIBOR Settle Update: New 3M High Set, Carry-Over Sales

US EURODLR FUTURES
Lead quarterly EDU2 trades -0.020 at 96.62, just above overnight low after latest 3M LIBOR set' climbs +0.02529 to new 3+ year high of 2.83229%, +0.04400 total for wk.
  • Carry-over pressure in rates after Tuesday's trifecta of Fed speakers (Daly, Mester, Evans) reminded markets inflation is too high and 75bp hike in Sep not off the table. Balance of Whites (EDZ2-EDM3) trades -0.015-0.035, Reds through Blues (EDU3-EDM6) trade -0.035-0.040, Golds (EDU6-EDM7) -0.050-0.055.
  • SF Fed Pres Daly stating the Fed's "work is far from done, so we are still resolute and completely united on achieving price stability"; Chicago Fed Evans: "Fifty is a reasonable assessment, but 75 could also be okay" for Sep FOMC; Cleveland Fed Mester: prices are only cooling down "if you squint" and in some pockets.
  • Front end inversion extends: Dec'22/Mar'23 at -0.170. Most inverted calendar spds/off lows: EDZ2/EDZ3 at -0.605 vs. -0.725 early Tue, EDH3/EDH4 at -0.065 vs. -0.710. Inversion starts to flatten out in Blue Sep'25/Dec'25 trading steady.

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