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Post-LIBOR Settle Update: 3M Benchmark Recedes

US EURODLR FUTURES

Lead quarterly Mar'23 (EDH3) gains +0.010 to 94.975 after 3M LIBOR set' recedes -0.00729 to 4.81457% (-0.00100/wk), first decline since Jan 13.

  • Fed funds implied hike for Feb'23 steady 26.5bp, Mar'23 cumulative 46.4bp (+.3) to 4.793%, May'23 57.4bp (+.2) to 4.903%, terminal steady at 4.895% in Jun'23.
  • Balance of Eurodollar Whites (EDM3-EDZ3) +0.005-0.010, Reds through Golds (EDH4-EDZ7) +0.010-0.030, Reds-Greens leading.
  • Current deferred spds vs. prior settles:
    • Jun'23/Sep'23: steady at -0.110
    • Mar'23/Red Mar'24: steady at -0.910
    • Jun'23/Red Jun'24: -1.500 vs. -1.485
  • Option recap: Rate hike risk hedging continued Tuesday, Treasury options joining SOFR options after better upside call buying on Monday. Decent volume in Feb'23 and Mar'23 Tsy 10Y puts, put spreads reported (over 31,000 TYG 114 puts, over 22,000 TYH3 111/112 put spds 4-6). Highlight SOFR trade includes:
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