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Post-LIBOR Settle Update: New 3M High, Fed Terminal Climbs

US EURODLR FUTURES

Lead quarterly Dec'22 (EDZ2) extends overnight low to 95.00 (-0.015) after latest 3M LIBOR set' climbs +0.02700 to new 14Y high of 4.69186% (+0.05872 total last wk).

  • Dec step-down expectations steady as Fed funds implied hike for Dec'22 holds at 50.9bp, Feb'23 cumulative 87.9bp (+1.2bp) to 4.749%, terminal back over 5% at 5.05% in Jun'23 (5.08% pre-CPI) even after Atl Fed Bostic said Saturday the Fed might raise interest rates more than anticipated to combat high inflation but officials can slow the pace of tightening next month.
  • Balance of Whites through Golds (EDH3-EDU7) currently -0.010-0.025, Blues underperforming. Current deferred spds update:
    • Jun'23/Sep'23 -0.185;
    • Dec'22/Red Dec'23 at -0.145,
    • Mar'23/Red Mar'24 at -0.800,
    • Jun'23/Red Jun'24 at -1.175
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