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Post-LIBOR Settle Update: 3M Benchmark Nearing 14Y High

US EURODLR FUTURES

Lead quarterly Mar'23 (EDH3) holds +0.010 to 94.97 after 3M LIBOR set' gains +0.00415 to 4.82186% (+0.00629wk) - nearing 14Y high of 4.82971% tapped on 1/12/23.

  • Fed funds implied hike for Feb'23 steady 26.1bp, Mar'23 cumulative 46.6bp to 4.798%, May'23 56.6bp to 4.897%, terminal steady at 4.905% in Jun'23.
  • Balance of Eurodollar Whites (EDM3-EDZ3) +0.015-0.025, Reds through Golds (EDH4-EDZ7) +0.030-0.040.
  • Current deferred spds vs. prior settles:
    • Jun'23/Sep'23: -0.115 vs. -0.110
    • Mar'23/Red Mar'24: -0.910 vs. -0.890
    • Jun'23/Red Jun'24: -1.485 vs. -1.465
  • Option recap: Consistent low-delta put trade in SOFR options carried over Mon while Tsy options saw better 10Y call fly trade on lighter volumes. Gist of short-end trade: while pivot to 25 bps hike at the Feb 1 FOMC largely expected, Fed speakers before Fri's blackout expressed likelihood of continued hikes out the curve.
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