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Modest Pullback From Extreme Highs

STIR
  • Short end Eurodollar, SOFR, FF futures still shrply higher but off extremes last few minutes.
  • Fed terminal rate has fallen to 4.720 in June'23, down over 85bp for August late last week. Fed funds implied hike for Mar'23 at 15.7bp, May'23 cumulative 8.8bp to 4.586%, Jun'23 0.000bp to 4.497%. Rate cuts start pricing in for Jul'23: -23.2 cumulative at 4.273%.
  • Eurodollar futures are trading firmer across the strip, Whites (EDM3-EDH4) sharply higher: +0.345-0.820, New lead Eurodollar quarterly EDM3 +.345 at 94.77 vs. 94.955 high.

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