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Post-LIBOR Settle Update: 3M Benchmark Bounce, Off Wed High


Lead quarterly EDU2 +0.015 at 96.650, off overnight high after latest 3M LIBOR set' rebounds +0.01643 to 2.92157% (+0.05486/wk) - just off Wednesday's 14-year high of 2.92271%.

  • Paring gains, balance of Whites (EDZ2-EDM3) trade +0.020-0.030, Reds through Golds (EDU3-EDM7) steady to +0.015, Reds lagging.
  • Inversions gradually climbing off lows following Wed's flat July CPI, Thu's lower than exp PPI: Dec'22/Mar'23 at -0.015 vs. -0.095 wk ago; calendar spds: EDZ2/EDZ3 at -0.525 vs. -0.715 last Fri, EDH3/EDH4 at -0.695 vs. -0.820 last Fri. Inversion flattens out in Blues Dec'25/Mar'26 trading flat at 97.34.
  • Modest option volumes noted Thursday despite the wide range in underlying futures, curves bear steepening with carry-over weakness in the long end. Salient trade did appear to be bullish with selling of SOFR puts and scale buyer of September 10Y call flys.

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