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Post-LIBOR Settle Update: 3M Benchmark Resumes Climb


Lead quarterly Dec'22 (EDZ2) at 94.905 (+.010) after latest 3M LIBOR set' climbs +0.03286 to new 14Y high of 4.22657% (+0.28814 total last wk).

  • Short end pricing 75bp hike at Nov FOMC stable, Dec closer to 75bp after Thu's jump in CPI. Balance of Whites (EDH3-EDU3) from +0.045-0.075, Reds through Golds (EDZ3-EDU7) +0.075-0.085 higher.
  • Current inversions: Mar'23/Jun'23 -0.070; Dec'22/Red Dec'23 at -0.320, Mar'23/Red Mar'24 at -0.665, Jun'23/Red Jun'24 at -0.810. Inversion flattens out with Blue Mar'26/Jun'26 both trading 96.235.
  • Option focus, prior to last Fri's underlying sell-off, option trade was primarily two-way with unwinds apparent. Put selling evaporated as futures continued to price in increased chances of 75bp hikes at both the November and December.

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