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Post-LIBOR Settle Update: Implied Policy Pricing Moderates

US EURODLR FUTURES
  • Lead quarterly Eurodollar futures currently trading -0.150 at 94.93 after 3M LIBOR settlement climbs higher: +0.07057 to 5.01771% (+0.01928/wk)
  • The balance of the Eurodollar Whites (EDU3-EDH4) under pressure, currently trading -0.280-0.300, the balance of the strip weaker with the long end outperforming.
  • Focus turns to Wednesday's FOMC policy announcement. While a majority of dealers anticipating a 25bs hike after the bank panic over the last couple weeks, the ongoing efforts to backstop large regional institutions sees looser policy expectations normalizing, rate cuts pushed back out the curve.
  • Fed funds implied hike for Mar'23 currently at 20.6bp, May'23 cumulative 37.2bp to 4.949%, Jun'23 27.5bp to 4.852%. Fed Terminal climbs to 4.940% in May vs. 4.785% early Monday.
  • Implied rate cuts have rolled out to longer dates compared to Monday: Sep'23 cumulative -12.1 at 4.455, Nov'23 -24.1 at 4.336%. In comparison, early Monday saw Jul'23 cumulative -36.5 at 4.218, Sep'23 -55.5 at 4.028%.
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