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Post-LIBOR Settle Update: Fed Terminal Slips to 4.785% in May

US EURODLR FUTURES
  • Lead quarterly Eurodollar futures EDM3 currently trading +0.085 at 95.22 after 3M LIBOR settled -0.05129 to 4.94714% (-0.13971 total last wk).
  • The balance of the Eurodollar Whites (EDU3-EDH4) currently trade +0.075-0.160, the balance of the strip trades firmer, the long end underperforms.
  • Focus turns to the next FOMC policy announcement this Wednesday, with a majority of dealer banks anticipating a 25bs hike amid ongoing efforts to backstop large regional banks.
  • As such, Fed funds implied hike for Mar'23 currently at 13.4bp, May'23 cumulative 20.0bp to 4.784%, Jun'23 -7.9bp to 4.504%. Fed Terminal at 4.785% in May.
  • Implied cuts have moved forward on the calendar again, following the June 14 FOMC: Jul'23 cumulative -36.5 at 4.218, Sep'23 -55.5 at 4.028%.
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