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Post-LIBOR Settle Update: New 14Y High for 3M Benchmark

US EURODLR FUTURES

Lead quarterly Mar'23 (EDH3) trades +0.015 at 94.94 after 3M LIBOR set' gains +0.01457 to 4.78186% -- new 14Y high (prior high: 4.77857% tapped November 30).

  • Fed funds implied hike for Feb'23 at 32.8bp, Mar'23 cumulative 51.1bp to 4.843%, May'23 60.5bp to 4.937%, terminal at 4.935% in Jun'23.
  • Balance of Eurodollar Whites (EDM3-EDZ3) +0.045-0.070, Reds (EDH4-EDZ4) +0.060-0.070, Greens through Golds (EDH5-EDZ7) +0.070-0.080.
  • Current deferred spds vs. prior settle
    • Jun'23/Sep'23: -0.115 vs. -0.090
    • Mar'23/Red Mar'24: -0.720 vs. -0.675
    • Jun'23/Red Jun'24: -1.160 vs. -1.135

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