Post-LIBOR Settle Update: H2 Implied Hikes Inch Higher

Lead quarterly Mar'23 (EDH3) +0.005 at 94.94 after 3M LIBOR set' climbs +0.00500 to new 14 year high of 4.87657% (+0.00714/wk).

• Fed funds implied hike for Mar'23 at 26.8bp, May'23 cumulative 47.3bp to 5.052%, Jun'23 62.3bp to 5.203%, terminal at 5.265% in Aug'23.
• Balance of Eurodollar Whites (EDM3-EDZ3) +0.020-0.010, Reds (EDH4-EDZ4) steady to -0.005, Greens through Golds (EDH5-EDZ7) +0.005-0.020.
• Current deferred spds vs. prior settles:
  • Jun'23/Sep'23: +0.085 vs. +0.080
  • Mar'23/Red Mar'24: -0.180 vs. -0.190
  • Jun'23/Red Jun'24: -1.000 vs. -1.025
• Tuesday derivatives highlights: Better put volumes persist but direction has changed to include some large position unwinds for some accounts. Paper sold -55,000 TYH3 111/112 put spreads at 12, an unwind from 4-6 low bought late January. Good timing as market pricing of rate hikes at the next FOMC on March 22 remains anchored at 25bp. Meanwhile, implied hikes for mid- to year end have risen Tuesday as several Fed speakers expressed the need for continued rate hikes and/or the risk of not hiking enough.