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Post-LIBOR Settle Update: Firmer Ahead Friday's Employ Data

US EURODLR FUTURES
  • Short end rates are seeing a modest rebound after the broad re-pricing of rate hike risk since Federal Reserve Chairman Powell's hawkish testimony Tuesday, modest consolidation after Wednesday's rebuttal ahead Friday's key employment data.
  • Lead quarterly futures, Mar'23 (EDH3), are trading +0.0175 to 94.795 even after 3M LIBOR set' climbs +0.02900 to new 16Y high of 5.15371% (+0.16971/wk).
  • Fed funds implied hike for Mar'23 at 42.1bp, May'23 cumulative 77.0bp to 5.346%, Jun'23 97.8bp to 5.555%, terminal rate at 5.65% in Oct'23 vs. 5.69% overnight high.
  • Eurodollar futures are trading firmer in Whites through Greens (EDH3-EDZ6), vs. modestly weaker Blues and Golds.

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