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Post-LIBOR Settle Update: Implied Hikes Inch Higher

US EURODLR FUTURES

Lead quarterly Mar'23 (EDH3) -0.010 to 94.915 after 3M LIBOR set' climbs +0.00900 to new 16 year high to 4.96243% this morning (+0.03814 total last wk).

  • Fed funds implied hike for Mar'23 at 30.1bp, May'23 cumulative 57.2bp to 5.154%, Jun'23 75.3bp to 5.334%, terminal at 5.41-5.415% in Aug'23-Oct'23.
  • Balance of Eurodollar Whites (EDM3-EDZ3) -0.005-0.025, Reds (EDH4-EDZ4) -0.040-0.055, Greens (EDH5-EDZ5) -0.030 to steady, Blues through Golds (EDH6-EDZ7) +0.010-0.025.
  • Current deferred spds vs. prior settles - continue to widen:
    • Jun'23/Sep'23: +0.150 vs. +0.145
    • Mar'23/Red Mar'24: +0.135 vs. +0.105
    • Jun'23/Red Jun'24: -0.720 vs. -0.770
  • Friday's "hot" PCE data spurred continued interest in rate hike put insurance, particularly in SOFR options.

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