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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.
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