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Post-LIBOR Settle Update: 3M Benchmark inches High

US EURODLR FUTURES

Lead quarterly Mar'23 (EDH3) holds -0.005 at 94.955 after 3M LIBOR set' gained +0.00286 to 4.79757% (+0.00514/wk).

  • Fed funds implied hike for Feb'23 steady at 27.7bp, Mar'23 cumulative 47.9bp to 4.807%, May'23 58.9bp to 4.918%, terminal at 4.925% in Jun'23/Jul'23.
  • Balance of Eurodollar Whites (EDM3-EDZ3) steady to +0.005, Reds (EDH4-EDZ4) -0.005-0.010, Greens through Golds (EDH5-EDZ7) -0.025-0.050.
  • Current deferred spds vs. prior settle
    • Jun'23/Sep'23: at -0.110 vs. -0.105
    • Mar'23/Red Mar'24: steady at -0.900
    • Jun'23/Red Jun'24: -1.445 vs. -1.450

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