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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.
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Free AccessPost-LIBOR Settle Update: Mar'23 Implied Hike Steady
Lead quarterly Mar'23 (EDH3) +0.0125 at 94.9475 after 3M LIBOR set' recedes -0.00586 to 4.86357%.
- Fed funds implied hike for Mar'23 steady at 26.1bp, May'23 cumulative 46.0bp to 5.042%, Jun'23 57.2bp to 5.154%, terminal up to 5.185% in Aug'23.
- Balance of Eurodollar Whites (EDM3-EDZ3) steady to -0.015, Reds through Blues (EDH4-EDZ6) -0.045-0.005, Golds (EDH7-EDZ7) +0.005-0.010.
- Current deferred spds vs. prior settles:
- Jun'23/Sep'23: +0.045 vs. +0.035
- Mar'23/Red Mar'24: -0.365 vs. -0.400
- Jun'23/Red Jun'24: -1.130 vs. -1.165
- Option recap: Aside from a steady increase in volumes of SOFR futures and options ahead of the coming conversion of Eurodollar futures and options on April 14, 2023 - the sophistication of SOFR option flows has risen to the point where Eurodollar options used to excel. Recent examples of put positioning to hedge continued rate hikes into late 2023:
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Why MNI
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.