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Post-LIBOR Settle Update: Benchmark Recedes

US EURODLR FUTURES

Lead quarterly Mar'23 (EDH3) holds +0.010 at 94.940 after 3M LIBOR set' recedes -0.00314 off Thu's 14-year high of 4.88257% to 4.86943% (+0.03529/wk).

  • Fed funds implied hike for Mar'23 steady at 26.1bp, May'23 cumulative 45.4bp to 5.036%, Jun'23 56.1bp to 5.143%, terminal at 5.160% in Aug'23.
  • Balance of Eurodollar Whites (EDM3-EDZ3) +0.005 to -0.015, Reds (EDH4-EDZ4) steady to -0.025), Greens through Golds (EDH5-EDZ7) steady to -0.015.
  • Current deferred spds vs. prior settles:
    • Jun'23/Sep'23: +0.035 vs. +0.020
    • Mar'23/Red Mar'24: -0.415 vs. -0.445
    • Jun'23/Red Jun'24: -1.150 vs. -1.180
  • Option recap: Volumes picked up as the session wore on, overall trade still revolving around downside puts, positioning for hikes to continue into this fall. Salient SOFR trade, ongoing buyers of Sep'23 SOFR 94.00/94.50 put spds from 6.0 Thu, well over 150k on the week.

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