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Post-LIBOR Settle Update: Benchmark Gains

US EURODLR FUTURES

Lead quarterly Mar'23 (EDH3) trades +0.050 at 94.945 after 3M LIBOR set' gains +0.00.343 to 4.72986% (-0.01943 total last wk).

  • Fed funds implied hike for Feb'23 at 33.3bp, Mar'23 cumulative 51.0bp to 4.843%, May'23 60.4bp to 4.937%, terminal at 4.94% in Jun'23.
  • Balance of Eurodollar Whites (EDM3-EDZ3) +0.045-0.040, Reds through Golds (EDZ3-EDU7) +0.035-0.020.
  • Current deferred spds vs. prior settle
    • Jun'23/Sep'23: currently -0.120 (unch)
    • Mar'23/Red Mar'24: -0.730 vs. -0.745
    • Jun'23/Red Jun'24: -1.155 vs. -1.165
  • Tuesday options summary:
    • -20,000 EDH3 95.25 conversions vs. +SFRH4 97.12 conversion vs.
    • -20,000 EDH4 96.00 puts, 53.0 net cr on package
    • 5,000 Jun 94.62/95.00 put spds, 17

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