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Post-LIBOR Settle Update: Continues to Reprice, Spds Narrow

US EURODLR FUTURES

Lead quarterly Mar'23 (EDH3) actually bounces back to steady at 94.98 after 3M LIBOR set' climbs +0.00900 to new 14-year high of 4.84314% (+0.00885 total last wk). Short end continues to reprice after Fri's surge in jobs data.

  • Fed funds implied hike for Mar'23 at 24.0bp, May'23 cumulative 41.7bp to 5.00%, Jun'23 47.9bp to 5.062%, terminal at 5.065% in Jul'23.
  • Balance of Eurodollar Whites (EDM3-EDZ3) -0.055-0.100, Reds (EDH4-EDZ4) -0.120-0.140, Greens through Golds (EDH5-EDZ7) -0.125-0.070, Golds outperforming.
  • Current deferred spds vs. prior settles:
    • Jun'23/Sep'23: -0.010 vs. -0.035
    • Mar'23/Red Mar'24: -0.600 vs. -0.715
    • Jun'23/Red Jun'24: -1.270 vs. -1.350
  • Option recap: Better put volumes on net reported Friday as SOFR and Treasury futures repriced increased rate hike expectations after the jump in January job gains of +517k, 2.75x larger than the mean estimate of 188k, and far stronger than expected ISM services 55.2 (cons 50.5).
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