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Post-LIBOR Settle Update: 3M Recedes, Implied Cuts Steady

US EURODLR FUTURES
  • Lead quarterly Eurodollar futures are trading +0.025 at 94.85 after the latest 3M LIBOR settlement receded -0.00372 to 5.15914% (+0.05771/wk).
  • The balance of the Eurodollar futures trading -0.020 in the short end, rebounding to +0.015-0.040 through Mar'25), SOFR futures trade similarly: the lead Jun'23 quarterly +0.005 at 95.215, +0.005-0.030 through SFRH6.
  • Fed funds implied hike for May'23 is currently at 10.5bp, Jun'23 +5.1bp at 4.859%, while projected rate cuts through year end largely steady to late Tuesday levels: Jul'23 cumulative -9.5bp to 4.713% to -53.3 for Dec'23 cumulative at 4.275.
  • Fed Terminal currently at 4.90% in May'23.

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