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Post-LIBOR Settle Update: 3M Benchmark Inching Higher

US EURODLR FUTURES

Lead quarterly Mar'23 (EDH3) -0.005 to 94.97 after 3M LIBOR set' inches higher by +0.00214 to 4.81771% (+0.02314 total last wk).

  • Fed funds implied hike for Feb'23 25.8bp, Mar'23 cumulative 45.1bp (-0.5) to 4.783%, May'23 55.6bp (-0.3) to 4.888%, terminal steady at 4.895% in Jun'23.
  • Balance of Eurodollar Whites (EDM3-EDZ3) steady to -0.010, Reds through Golds (EDH4-EDZ7) steady to +/-0.010.
  • Current deferred spds vs. prior settle - off deeper inverted levels:
    • Jun'23/Sep'23: steady at -0.125
    • Mar'23/Red Mar'24: -0.960 vs. -0.965
    • Jun'23/Red Jun'24: -1.520 vs. -1.530
  • Option recap: Early Fri option trade a little more paired compared to Thu's heavy upside call positioning for policy pivot over the next couple Fed meetings. Pick-up in put structures carried through Friday's session w/ weaker underlying scaling back small portion dovish pricing

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