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Post-LIBOR Settle Update: Implied Rate Cuts Continue to Ebb

  • Lead quarterly Eurodollar futures are trading -0.040 at 94.745 after the latest 3M LIBOR settlement climbs +0.01614 to a new 16-year high of 5.19271% (+0.09128 total for the week).
  • The balance of the Eurodollar futures are trading as much as -0.075 weaker through Mar'24, the long end outperforming. SOFR futures also trading weaker across the strip: the lead SFRM3 quarterly trading -0.050 at 95.095.
  • Fed funds implied hike for May'23 is currently at 14.9bp, Jun'23 +13.7bp at 4.950%, while projected rate cuts through year end continue to gradually recede: Sep'23 cumulative -10.5bp to 4.708%, to -38.0 for Dec'23 cumulative at 4.432.
  • Fed Terminal currently at 4.950% in Jun'23.

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