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Post-LIBOR Settle Update: Lead Holds Gain, 3M Bench New High

US EURODLR FUTURES

Lead quarterly Mar'23 (EDH3) holds +0.010 at 94.93 after 3M LIBOR set' climbs +0.01471 to new 14 year high of 4.82971% (+0.01985/wk).

  • Fed funds implied hike for Feb'23 steady at 31.5bp, Mar'23 cumulative at 50.1bp to 4.833%, May'23 at 59.5bp to 4.927%, terminal at 4.935% in Jun'23/Jul'23.
  • Balance of Eurodollar Whites (EDM3-EDZ3) steady to -0.010, Reds (EDH4-EDZ4) steady to -0.015, Greens through Golds (EDH5-EDZ7) +0.010-0.025.
  • Current deferred spds vs. prior settle
    • Jun'23/Sep'23: at -0.140 vs. -0.150
    • Mar'23/Red Mar'24: -0.950 vs. -0.975
    • Jun'23/Red Jun'24: -1.470 vs. -1.475
  • Wednesday option roundup: FI option volume surged Wednesday, driven largely by upside call and call spreads as underlying futures climbed back near middle of the week's range. Yield curves bull flattened as rate futures reacted to softer inflation metrics and prospect of less aggressive forward rate hikes. Salient SOFR trade: buyer over 100,000 SFRZ3 98.00/98.50 call spds, 1.5 ref 95.63.

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