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Post-LIBOR Settle Update: 3M Benchmark Gains

US EURODLR FUTURES

Lead quarterly Dec'22 (EDZ2) near overnight low, trades 95.16 (-0.030) after latest 3M LIBOR set' climbs +0.01043 to new 14Y high of 3.91914% (+0.15400 total last wk).

  • Pricing in increased odds of 75bp hikes in Nov while the balance of Whites (EDH3-EDU3) trade -0.025-0.010, Reds through Golds (EDZ3-EDU7) -0.005-0.020, Reds-Greens outperforming slightly.
  • Current inversions: Mar'23/Jun'23 -0.030; Dec'22/Red Dec'23 at -0.195, Mar'23/Red Mar'24 at -0.460, Jun'23/Red Jun'24 at -0.615. Inversion flattens out with Blue Dec'25/Mar'26 both trading 96.17.
  • Limited trade volumes this morning due to Columbus Day bank holiday (trading floor closed, Globex open) may see carry-over low delta put trade hedging downside rate hike position risk, paper +5,000 Dec 95.12/95.37 put spds earlier.

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