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Post-LIBOR Settle Update: 3M Drop, Dec 75Bp Hike Cools

US EURODLR FUTURES

Lead quarterly Dec'22 (EDZ2) trading steady at 94.92 after latest 3M LIBOR set' falls -0.03157 to 4.32686% from last Fri's 14Y high of 4.35843% (+0.16472 total last wk).

  • Short end still pricing in 75bp hike at Nov FOMC stable, while another 75bp in Dec receding after Fri's WSJ article from Nick Timiraos suggesting some Fed "officials are more eager to calibrate their rate setting to reduce the risk of overtightening followed by SF Fed Daly stating Fed needs to start considering a slowing the pace of interest rate hikes in order to avoid tightening monetary policy too much.
  • Balance of Whites (EDH3-EDU3) trade +0.020-0.040, Reds through Golds (EDZ3-EDU7) +0.050-0.070, Golds underperforming.
  • Current inversions: Mar'23/Jun'23 -0.040; Dec'22/Red Dec'23 at -0.285, Mar'23/Red Mar'24 at -0.575. Inversion flattens out in Blue Dec'25-Blue Mar'26 trading 96.050.

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