Free Trial

Post-LIBOR Settle Update: Implied Hikes Steady, Recent Highs


Lead quarterly Mar'23 (EDH3) pares gain, back to steady at 94.925 after 3M LIBOR set' climbs +0.00857 to new 16 year high to 4.97100% this morning (+0.01757/wk).

  • Fed funds implied hike for Mar'23 at 29.8bp, May'23 cumulative 55.2bp to 5.132%, Jun'23 73.7bp to 5.317%, terminal at 5.415 in Oct'23.
  • Balance of Eurodollar Whites (EDM3-EDZ3) -0.005-0.020, Reds (EDH4-EDZ4) -0.030-0.035, Greens through Golds (EDH5-EDZ7) -0.025-0.035.
  • Current deferred spds vs. prior settles - continue to widen:
    • Jun'23/Sep'23: +0.150 vs. +0.145
    • Mar'23/Red Mar'24: +0.140 vs. +0.110
    • Jun'23/Red Jun'24: -0.735 vs. -0.765
  • Monday option roundup: Carry-over low delta put buying on net, discounting the modest bounce in underlying futures, looking to hedge dwindling rate cut pricing at least through 2023.

To read the full story



MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.