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Post-LIBOR Settle Update: Implied Hikes Hold Steady

US EURODLR FUTURES

Lead quarterly Mar'23 (EDH3) -0.0025 at 94.94 after 3M LIBOR set' bounces +0.00800 to 4.87157% (+0.00214/wk), just below last wk's 14Y high of 4.87257%.

  • Fed funds implied hike for Mar'23 at 27.5bp, May'23 cumulative 46.3bp to 5.041%, Jun'23 57.9bp to 5.157%, terminal up to 5.185% in Aug'23.
  • Balance of Eurodollar Whites (EDM3-EDZ3) +0.015-0.040, Reds (EDH4-EDZ4) +0.045-0.035, Greens through Golds (EDH5-EDZ7) +0.035-0.010.
  • Current deferred spds vs. prior settles:
    • Jun'23/Sep'23: +0.020 vs. +0.035
    • Mar'23/Red Mar'24: -0.425 vs. -0.3775
    • Jun'23/Red Jun'24: -1.190 vs. -1.165
  • Carry-over put positioning to hedge continued rate hikes into late 2023 dominates option trade.

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