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Post-LIBOR Settle Update: Short End Explodes

US EURODLR FUTURES
  • Quarterly futures sharply higher as markets scale back rate hike expectations following SVIB bank collapse last Friday (Goldman Sachs strategists now calling for no hike at March 22 FOMC. President Biden to have press conference on banking system, protecting economic recovery at 0900ET.
  • Lead quarterly Eurodollar futures EDH3 expire at 95.1337 after 3M LIBOR settles -0.27185 to 4.86629%. New lead quarterly EDM3 +.265 at 94.69 vs. 94.90 overnight high.
  • Fed terminal rate has fallen to 4.805 in June'23, down over 80bp for August late last week. Fed funds implied hike for Mar'23 at 22.5bp, May'23 cumulative 29.2bp to 4.744%, Jun'23 32.5bp to 4.796%. Rate cuts start pricing in for Nov'23.
  • Eurodollar futures are trading firmer across the strip, Whites (EDM3-EDH4) sharply higher: +0.280-0.620.
  • Option roundup: Carry-over buying in call structures as surge in underlying reflects lower rate hike expectations.

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