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Post-LIBOR Settle Update: 3M Benchmark 16Y High

US EURODLR FUTURES

Lead quarterly Mar'23 (EDH3) -0.0125 at 94.91 after 3M LIBOR set' climbs +0.01271 to new 16 year high of 4.92214% (+0.00685/wk).

  • Fed funds implied hike for Mar'23 at 28.9bp, May'23 cumulative 52.7bp to 5.111%, Jun'23 68.1bp to 5.265%, terminal at 5.31% in Aug'23.
  • Balance of Eurodollar Whites (EDM3-EDZ3) -0.015-0.045, Reds (EDH4-EDZ4) -0.060-0.080, Greens through Golds (EDH5-EDZ7) -0.070-0.080.
  • Current deferred spds vs. prior settles:
    • Jun'23/Sep'23: +0.090 vs. +0.080
    • Mar'23/Red Mar'24: -0.185 vs. -0.2375
    • Jun'23/Red Jun'24: -1.015 vs. -1.070

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