Post-LIBOR Settle Update: Following Weaker EGBs Lead

Lead quarterly EDU2 just off recent lows, currently -0.030 at 96.6225 after latest 3M LIBOR set' rebounds 0.02200 to 2.97971%, just below last Thu's 14Y high of 2.98400% after climbing +0.03614 total last wk.

• Short end tracking weaker EGBs, balance of Whites through Reds (EDZ2-EDM4) trade -0.065-0.010, Greens through Golds (EDU4-EDM7) steady to +0.015, Greens marginally outperforming.
• Meanwhile, current inversion pricing: Mar'23/Jun'23 -0.075 (Dec'22/Mar'23 steady at +0.020); calendar spds: EDZ2/EDZ3 at -0.425, EDH3/EDH4 at -0.620. Inversion flattens out in Blues Mar'26/Jun'26 trading flat, legs at 97.22.
• Robust put trade returned Friday as underlying rates traded lower following a spike in German PPI overnight (+5.3%, +37.2% YoY due to surge in energy prices). Meanwhile Richmond Fed Barkin reiterated the Fed's focus on reducing inflation, even in the face of potential recession. Salient trade:
• SOFR Options: -5,000 SFRZ2 97.25/97.50/97.75 call flys, 0.5 ref 96.44; Block, 5,000 SFRZ2 96.37/96.62/96.75/97.00 put condors, 5.5; 3,000 SFRH3 95.81/96.00/96.18 put flys; 21,400 short Aug SOFR 96.00 puts, 2.5 ref 96.595
• Eurodollar Options: 42,250 Dec 98.75/99.00 put spds, 25.0; 4,500 Green Sep 96.25 puts; +4,000 Blue Dec 97.62/97.87 put spds, 18.75 vs. 97.225/0.09% legged