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Post-LIBOR Settle Update: 3M Benchmark Recedes

US EURODLR FUTURES

Lead quarterly EDU2 off lows, trades -0.0025 at 96.66 after latest 3M LIBOR set' falls -0.02629 to 2.95771% (+0.03614/wk).

  • Balance of Whites through Reds (EDZ2-EDM4) trade -0.025-0.035, Greens through Golds (EDU4-EDM7) -0.040 to -0.075, long end of strip underperforming.
  • Meanwhile, current inversion pricing: Mar'23/Jun'23 -0.070 (Dec'22/Mar'23 steady at +0.020); calendar spds: EDZ2/EDZ3 at -0.425, EDH3/EDH4 at -0.615. Inversion flattens out in Blues Mar'26/Jun'26 trading flat at 97.265.
  • Light volumes persisted Thursday, but early trade favored upside calls amid carry-over support for underlying futures after Wed's July FOMC minutes cooled 75bp hike speculation. Salient trade included 10,000 TYU 121.5/123/124.5 call flys (expire next week Friday), and 10,000 Dec Eurodollar 96.50 calls at 10.0 vs. 96.105/0.25%.

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