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Post-LIBOR Settle Update: Terminal Rate Shift to May

US EURODLR FUTURES
  • Lead quarterly Eurodollar futures EDM3 reversed support briefly, -0.020 at 94.92 after 3M LIBOR settles climbs +0.0.7471 to 4.94100% (0.19714/wk), but bounces back to 94.97 (+0.030).
  • Balance of the Eurodollar White pack (EDU3-EDH4) scaling back approximately one third of Monday's move (-0.340-0.400) even as bank jitters continue to roil markets.
  • Peak Fed terminal rate has shifted to 4.80 in May'23, down over 80bp for August late last week. Fed funds implied hike for Mar'23 at 17.7bp, May'23 cumulative 32.9bp to 4.923%, Jun'23 17.8bp to 4.771%. Rate cuts gradually pricing in for the July 26 FOMC, cumulative of -6.6 to 4.528%.
  • Option roundup: SOFR options remain mixed, buyers in call and put structures alternately hedging further rally and/or looking for continued pull-back from Mon's highs

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