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Post-LIBOR Settle Update: March Implied Hike Steady

US EURODLR FUTURES

Lead quarterly Mar'23 (EDH3) reverses bid, trades -0.0075 to 94.91 after 3M LIBOR set' climbs +0.01771 to new 16Y high of 5.02571% (+0.04171/wk).

  • Fed funds implied hike for Mar'23 steady at 30.5bp, May'23 cumulative 59.8bp to 5.176%, Jun'23 77.5bp to 5.353%, terminal at 5.460% in Oct'23 vs. last Thu's 5.51% cycle high.
  • Balance of Eurodollar Whites (EDM3-EDZ3) trade +0.010-0.015, Reds through Golds (EDH4-EDZ7) +0.010-0.035.
  • Current deferred spds vs. prior settles:
    • Jun'23/Sep'23: steady at +0.155
    • Mar'23/Red Mar'24: +0.165 vs. +0.1875
    • Jun'23/Red Jun'24: -0.715 vs. -0.700

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