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Post-LIBOR Settle Update: Dec Step-Down Steady

US EURODLR FUTURES

Lead quarterly Dec'22 (EDZ2) trades +0.050 at 94.99 (94.885 pre-CPI last Thu) after latest 3M LIBOR set' climbs +0.00585 to 4.64971% (+0.04357/wk) - matches last Thu's new 14Y high set.

  • Fed funds implied hike for Dec'22 steady at 50.9bp, Feb'23 cumulative 86.0bp to 4.708%, terminal 4.89% in May'23/Jun'23 (5.08% pre-CPI).
  • Balance of Whites (EDH3-EDU3) currently +0.035-0.060, Reds through Golds (EDZ3-EDU7) currently +0.065-0.090, Blues-Golds outperforming. Deferred spds:
    • Mar'23/Jun'23 -0.015
    • Jun'23/Sep'23 -0.265 vs. -0.240 early Mon;
    • Dec'22/Red Dec'23 at -0.400 vs. -0.345,
    • Mar'23/Red Mar'24 at -0.905 vs. -0.870,
    • Jun'23/Red Jun'24 at new cycle low of -1.170 vs. -1.135 prior.
    • Inversion flattens out in early Blues: EDZ5-EDH6 both 96.575.
  • Mixed trade on moderate volumes Monday, Treasury options seeing better flow centered on upside 10Y call buying as underlying futures climb off weaker opening levels. Markets not quite committed to last Thu's softer CPI with some speculative call buyers look to catch the highs in yields.
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