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Post-LIBOR Settle Update: Short End Gains

US EURODLR FUTURES

Lead quarterly Dec'22 (EDZ2) climbs to 95.025 (+0.0175) after latest 3M LIBOR set' gains +0.00685 to new 14Y high of 4.69871% (+0.03385/wk).

  • Dec step-down expectations steady as Fed funds implied hike for Dec'22 holds at 53.1bp, Feb'23 cumulative 90.8bp (-1bp) to 4.755%, terminal back at 5.035% in Jun'23 (5.08% pre-CPI).Balance of Whites (EDH3-EDU3) +0.030-0.045, Reds through Golds (EDZ3-EDU7) currently +0.055-0.045, Reds outperforming. Current deferred spds update:
    • Jun'23/Sep'23 -0.175 (-0.185 early Mon);
    • Dec'22/Red Dec'23 at -0.170 (-0.145 early Mon),
    • Mar'23/Red Mar'24 at -0.810 (-0.800 early Mon),
    • Jun'23/Red Jun'24 at -1.185 (-1.175 early Mon
  • Derivatives roundup: Monday's FI option trade decidedly call-centered as underlying futures traded strong in the first half (more due to oil production increase rumors than anything mon-pol related), turning pared around noon as futures reversed as Saudis denied headlines re: production.

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