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Post-LIBOR Settle Update: 3M Firmly Above 4.0%

US EURODLR FUTURES

Lead quarterly Dec'22 (EDZ2) slips to 95.09 (-0.020) after latest 3M LIBOR set' climbs +0.06828 to new 14Y high of 4.07914% (+0.17357/wk).

  • Short end pretty comfortable pricing in 75bp hike at Nov FOMC, while the balance of Whites (EDH3-EDU3) -0.010-0.020 lower, Reds (EDZ3-EDU4) +/-0.015, Greens through Golds (EDZ4-EDU7) +0.015-0.005 higher.
  • Current inversions: Mar'23/Jun'23 -0.050; Dec'22/Red Dec'23 at -0.315, Mar'23/Red Mar'24 at -0.545, Jun'23/Red Jun'24 at -0.675. Inversion flattens out with Blue Dec'25/Mar'26 both trading 96.195.
  • Recent option flow has been more two-way as hedging for a hike above 75bps in November deemed unlikely (so far), waiting on this morning's CPI for direction.

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