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Post-LIBOR Settle Update: Dec Step-Down Pricing Steady

US EURODLR FUTURES

Lead quarterly Dec'22 (EDZ2) trades +0.0075 at 95.00 after latest 3M LIBOR set'

climbs +0.02458 to new 14Y high of 4.67429% (+0.06815/wk).

  • Dec step-down expectations steady as Fed funds implied hike for Dec'22 at 49.8bp, Feb'23 cumulative 84.5bp to 4.700%, terminal 4.905% in Jun'23 (5.08% pre-CPI).
  • Balance of Whites (EDH3-EDU3) steady to -0.010 in Sep'23 contract, Reds through Golds (EDZ3-EDU7) currently +0.005-0.030, Reds outperforming. Deferred spds:
    • Mar'23/Jun'23 +0.010
    • Jun'23/Sep'23 -0.255 vs. -0.265 early Tue;
    • Dec'22/Red Dec'23 at -0.4225 vs. -0.400,
    • Mar'23/Red Mar'24 at -0.980 vs. -0.905,
    • Jun'23/Red Jun'24 at new cycle low of -1.295 vs. -1.170 prior.
    • Inversion flattens out in late Greens/early Blues: EDU5-EDZ5 around 96.595-.60.
  • Variety of trades made up for modest overall option volumes Tuesday, better put volumes in SOFR options on net with early buys evaporating as underlying climbed post-PPI; Tsy options saw better call interest overall.

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