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Post-LIBOR Settle Update: Reflecting Higher for Longer

US EURODLR FUTURES

Lead quarterly EDU2 gains slightly, +0.010 to 96.605 even after latest 3M LIBOR set' climbs +0.01757 to new 14Y high: 3.09971% (+0.03014/wk).

  • Mild consolidation amid ongoing debate over breadth of hikes from the Fed and ECB next month, while US sees return of ADP private employ data w/ new methodology this morning ahead Fri's Aug NFP (+300k est).
  • That said, market pricing appears to support "higher for longer" as balance of Whites (EDZ2-EDM3) trade +0.010 to -0.020, Reds through Greens (EDU3-EDM5) -0.020-0.035, Blues through Golds (EDU5-EDM7) -0.035-0.050, Greens outperforming.
  • Current inversion pricing: Mar'23/Jun'23 -0.020; calendar spds: EDZ2/EDZ3 at -0.315, EDH3/EDH4 at -0.565. Inversion flattens out in Gold Sep'27/Dec'27 trading +0.010.
  • Tuesday's option roundup: Better overall volumes, mixed trade as underlying rates see-saw on volatile first half, short end buffeted by renewed speculation over 75bps hike in September as hawkish ECB policy talk filters through US markets.

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