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Post-LIBOR Settle Update: 3M Benchmark Rebounds

US EURODLR FUTURES

Lead quarterly Mar'23 (EDH3) already -0.015 to 94.92 after 3M LIBOR set' bounces +0.02329 to 4.80586% (-0.00400/wk).

  • Fed funds implied hike for Feb'23 +0.3 at 31.7bp, Mar'23 cumulative +0.5 at 51.1bp to 4.843%, May'23 +1.0 at 60.5bp to 4.937%, terminal at 4.94% in Jun'23.
  • Balance of Eurodollar Whites (EDM3-EDZ3) -0.025-0.065, Reds (EDH4-EDZ4) -0.080-0.070, Greens through Golds (EDH5-EDZ7) -0.070-0.050.
  • Current deferred spds vs. prior settle
    • Jun'23/Sep'23: at -0.135 vs. -0.150
    • Mar'23/Red Mar'24: -0.895 vs. -0.955
    • Jun'23/Red Jun'24: -1.390 vs. -1.450

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