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Post-LIBOR Settle Update: Leaning Towards Dec Step-Down

US EURODLR FUTURES

Lead quarterly Dec'22 (EDZ2) climbs to 94.935 (+0.045) after latest 3M LIBOR set' slipped -0.00058 to 4.45971% (+0.02014/wk).

  • A 75bp hike at Wed's FOMC fully priced, market leaning toward 50bp "step-down" in Dec as data cools (reminder, latest employment report covering Oct out this Friday).
  • Balance of Whites (EDH3-EDU3) trade +0.060-0.100, Reds (EDZ3-EDU4) +0.120-0.145, Greens through Golds (EDZ4-EDU7) +0.140-0.155.
  • Deferred calendar spds inching back toward last Fri's cycle lows: Mar'23/Jun'23 -0.060 vs. -0.080; Dec'22/Red Dec'23 at -0.385 vs. -0.415, Mar'23/Red Mar'24 at -0.775 vs. -0.725. Inversion flattens out in front half of Blues.
  • Monday FI option trade: Decent volumes on mixed wing trade Monday, as accts rethink hawkish/dovish messaging: post-ECB and pre-Fed and BoE later in week.

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