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LIBOR/SOFR Reference Rate Settles

STIR FUTURES
  • Today is the last day to report the lead 3M Eurodollar futures reaction to 3M LIBOR benchmark settlement before conversion to SOFR futures tomorrow*:
  • The latest 3M LIBOR settlement climbs +.00900 to new 16 year high of 5.26029% (+0.06243 total on the wk) while Jun'23 Eurodollar futures slip -0.015 to 94.71.
  • Relevant 3M SOFR benchmark settlement is 4.98632% (-.00355) with Jun'23 SOFR futures trading -0.010 at 95.045.
  • Fed funds implied hike for May'23 at 18.4bp, Jun'23 +19.1bp cumulative at 5.017%, while projected rate cuts later in the year holding near Wednesday's post-CPI highs: Nov'23 cumulative -27.9bp to 4.547%, Dec'23 cumulative -47bp at 4.349.Fed Terminal currently at 5.015% in Jun'23.
  • *April 2023, May 2023 and June 2023 Eurodollar futures, and associated options will be excluded from the conversion and will continue to be available for trading until expiration. SR3 futures Onset Price = 3-Month Eurodollar futures settlement price + 26.161 bps. LIBOR benchmark will cease to report on June 30.

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