Free Trial

Post-LIBOR Settle Update: 3M Nears 5%; Implied Hikes Steady

US EURODLR FUTURES

Lead quarterly Mar'23 (EDH3) holds -0.005 at 94.9225 after 3M LIBOR set' climbs +0.01014 to new 16 year high to 4.98114% this morning (+0.02771/wk).

  • Fed funds implied hike for Mar'23 at 30.1bp, May'23 cumulative 55.6bp (-.5) to 5.132%, Jun'23 74.2bp (-.3) to 5.319%, terminal at 5.415% in Aug-23-Oct'23 vs. 5.43% overnight high.
  • Balance of Eurodollar Whites (EDM3-EDZ3) -0.010-0.005, Reds (EDH4-EDZ4) -0.010-0.035, Greens through Golds (EDH5-EDZ7) -0.030-0.010.
  • Current deferred spds vs. prior settles - continue to widen:
    • Jun'23/Sep'23: +0.130 vs. +0.135
    • Mar'23/Red Mar'24: +0.1225 vs. +0.1175
    • Jun'23/Red Jun'24: -0.740 vs. -0.755
  • Tuesday option roundup: Mixed option trade as underlying reversed early weakness, flow consolidative, tending toward vol selling into month end.

To read the full story

Close

Why MNI

MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.