Free Trial

Post-LIBOR Settle Update: Dec'22 Expires

US EURODLR FUTURES

New lead quarterly Mar'23 (EDH3) holding +0.005 at 94.96 (Dec'22 (EDZ2) final settle at 95.26171) after 3M LIBOR set' recedes -0.00757 to 4.73829% (+0.01372 total last wk).

  • Fed funds implied hike for Feb'23 +1bp at 33.5bp, Mar'23 cumulative 46.5bp (-2.5) to 4.798%, May'23 51.5bp (-4.7) to 4.847%, terminal at 4.89% in Jun'23.
  • Balance of Eurodollar Whites (EDH3-EDU3) steady to -0.005, Reds through Golds (EDZ3-EDU7) -0.025-0.050, Golds underperforming.
  • Current deferred spds vs. prior settle
    • Jun'23/Sep'23: currently -0.175 vs. -0.195
    • Mar'23/Red Mar'24: -0.925 vs. -0.985
    • Jun'23/Red Jun'24: -1.380 vs. -1.390
  • Friday options summary: Mixed trade on lighter volumes Friday, slightly better 10Y ratio put and SOFR put spreads on the day. Softer implied vol more a factor of lack of buying than concerted sellers ahead the weekend.

To read the full story

Close

Why MNI

MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.