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Post-LIBOR Settle Update: 3M New High, Spds Pare Inversion

US EURODLR FUTURES

Lead quarterly Mar'23 (EDH3) -0.010 to 94.94 after 3M LIBOR set' inches +0.00186 to new 14-year high of 4.84500% (+0.01086/wk).

  • Fed funds implied hike for Mar'23 at 25.4bp, May'23 cumulative 44.2bp to 5.026%, Jun'23 53.6bp to 5.120%, terminal at 5.120% in Jul'23/Aug'23.
  • Balance of Eurodollar Whites (EDM3-EDZ3) steady to +/-0.005, Reds (EDH4-EDZ4) +0.005-0.030, Greens through Blues (EDH5-EDZ6) +0.035-0.015, Golds (EDH7-EDZ7) steady to -0.005.
  • Current deferred spds vs. prior settles:
    • Jun'23/Sep'23: +0.000 vs. +0.005
    • Mar'23/Red Mar'24: -0.555 vs. -0.550
    • Jun'23/Red Jun'24: -1.280 vs. -1.260
  • Option recap: Surge in SOFR option volume Monday, two-way in wings as underlying continued to sell-off/price in higher for longer rate hike expectations following last Fri's NFP jobs surge.

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