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Post-LIBOR Settle Update

US EURODLR FUTURES
  • Lead quarterly Eurodollar futures EDM3 currently trade steady at 94.88 after 3M LIBOR settled +0.03586 to 4.99843% (-0.13971/wk).
  • The balance of the Eurodollar Whites (EDU3-EDH4) currently trade -0.055-0.070 while the balance of the strip trades progressively higher.
  • Fed funds implied hike for Mar'23 at 19.0bp, May'23 cumulative 35.1bp to 4.928%, Jun'23 24.4bp to 4.821%.
  • This week's rate-cut pricing around mid-year, tied to collapse in share prices for several regional banks, has pushed out to year end after consortium of 11 banks pledged $50B in deposits to support First Republic Bank late Thursday.
  • Implied cut for Nov'23 at -29.4bp to 4.283%, Dec'24 cumulative of -39.3 to 4.185%; peak Fed terminal rate at 4.920% in May'23.
  • Thursday Option roundup: Early two way trade with slightly better upside call structure buying faded ahead midday, overall volumes remained light. Low delta put buying picked up in the second half as underlying rates sold off on improved risk appetite as large banks looked at options to aid ailing First Republic Bank (FRC).
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