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Post-LIBOR Settle Update: Policy Pivot Aftermath

US EURODLR FUTURES

Lead quarterly Mar'23 (EDH3) back to steady at 95.035 after 3M LIBOR set' bounces +0.00985 to 4.80614% (-0.01915/wk).

  • Fed funds implied hike for Mar'23 at 20.4bp, May'23 cumulative 30.4bp to 4.887%, Jun'23 31.1bp to 4.895%, terminal at 4.89% in Jun'23.
  • Balance of Eurodollar Whites (EDM3-EDZ3) +/-0.010, Reds (EDH4-EDZ4) +/-0.015, Greens through Golds (EDH5-EDZ7) -0.010-0.035.
  • Current deferred spds vs. prior settles:
    • Jun'23/Sep'23: -0.085 vs. -0.105
    • Mar'23/Red Mar'24: -0.885 vs. -0.895
    • Jun'23/Red Jun'24: -1.435 vs. -1.440
  • Option recap: Heavy option volume in the lead up to - and after the FOMC pivot to 25bps hike, favored upside call and call structures Wednesday. Salient SOFR trade: over +91,000 SFRZ3 95.50/97.50 call spds, 33.5-35.0 ref 95.565 to -.575 as well as 16,000 SFRZ3 95.75/97.75 call spds ref 95.57. Notable 5Y limited upside opener: +24,000 FVJ3 112.25/112.75/113.25 call flys ref 109-31.75.

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