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Post-LIBOR Settle Update:


Lead quarterly Dec'22 (EDZ2) remains under pressure at 94.84 (-.035) after latest 3M LIBOR set' climbs +0.04700 to new 14Y high of 4.32457% (+0.13086/wk).

  • Short end pricing 75bp hike at Nov FOMC stable, with another 75bp in Dec near fully priced in. That said, FI markets all bounced off lower levels last few minutes amid focus on UK politics and future of PM Liz Truss.
  • At the moment, the balance of Whites (EDH3-EDU3) trade -0.025, Reds (EDZ3-EDU4) -0.020 to +0.005, Greens through Golds (EDZ4-EDU7) +0.005-0.105.
  • Current inversions: Mar'23/Jun'23 -0.050; Dec'22/Red Dec'23 at -0.245, Mar'23/Red Mar'24 at -0.590, Jun'23/Red Jun'24 at -0.745. Inversion flattens out in Blues w/ EDH6-EDU6 flat at 96.05.
  • Recent option flow has been mixed, little added or unwound in existing low delta/rate hike hedges, modest/sporadic upside call buying for a reversal noted.

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