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Post-LIBOR Settle Update: 3M Benchmark Surge Expected

US EURODLR FUTURES

Lead quarterly Mar'23 (EDH3) only trading -0.005 to 94.795 after 3M LIBOR set' surges +0.09900 to new 16Y high of 5.12471% (+0.14071/wk), largely expected as futures had adjusted sharply lower following Tuesday's hawkish monetary policy testimony from Fed Chairman Powell.

  • Fed funds implied hike for Mar'23 at 40.7bp, May'23 cumulative 74.5bp to 5.320%, Jun'23 95.4bp to 5.530%, terminal climbs at 5.65% in Oct'23 vs. 5.46% before Tuesday's testimony.
  • Eurodollar futures extend sell-off with Reds-Greens (EDH4-EDZ6) underperforming.
  • Net option trade was mixed Tuesday, large call and put structures reported as some accounts hedging continued rate hikes after Chairman Powell's semi-annual policy testimony to Congress, while others took the opportunity to buy upside call structures, cheaper premium for a reversal.
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