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Post-LIBOR Settle Update: Benchmark Slides Lower

US EURODLR FUTURES

Lead quarterly Mar'23 (EDH3) gains +0.010 to 94.925 after 3M LIBOR set' falls -0.02729 to 4.78257% (+0.04257 total last wk).

  • Fed funds implied hike for Feb'23 at 31.7bp, Mar'23 cumulative 51.1bp to 4.843%, May'23 60.5bp to 4.937%, terminal at 4.935% in Jun'23-Jul'23.
  • Balance of Eurodollar Whites (EDM3-EDZ3) +0.015 to -0.020 in EDZ3, Reds through Golds (EDH4-EDZ7) -0.025-0.040, Reds underperforming.
  • Current deferred spds vs. prior settle
    • Jun'23/Sep'23: at -0.125 vs. -0.135
    • Mar'23/Red Mar'24: -0.850 vs. -0.890
    • Jun'23/Red Jun'24: -1.350 vs. -1.400

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