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Post-LIBOR Settle Update: Lead Quarterly Slips


Lead quarterly Dec'22 (EDZ2) slips 0.0075 to 95.2175 after latest 3M LIBOR set' climbs +0.01629 to 4.76900% (+0.03586/wk).

  • Fed funds implied hike for Dec'22 at 53.4bp (52.9bp earlier), Feb'23 cumulative 91.4bp to 4.737%, Mar'23 108.4bp to 4.908%, terminal at 4.97% in Jun'23.
  • Balance of Eurodollar Whites (EDH3-EDU3) +0.010-0.030, Reds-Greens (EDZ3-EDU5) +0.035-0.050, Blues-Golds (EDZ5-EDU7) +0.035-0.040.
  • Current deferred spds update: off Thu close' inverted lows
    • Jun'23/Sep'23: currently -0.150 vs. -0.135
    • Dec'22/Red Dec'23: -0.065 vs. -0.025
    • Mar'23/Red Mar'24: -0.880 vs. -0.845
    • Jun'23/Red Jun'24: -1.335 vs. -1.300
  • Monday options summary: Session trade remained mixed, moderate volumes amid slightly better upside call hedging on the day. Gist of trade leading up to the final FOMC policy announcement for 2022: While market is pricing in 50bp hike in Dec and another in February, major accts well positioned for larger than expected rate hike in early 2023. Rate hike positioning through mid-2023. Things get opaque in late 2023, but Fed pundits forecasting less inflation late next year.

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