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Post-LIBOR Settle Update: Implied Rate Cuts Moderate

US EURODLR FUTURES
  • Lead quarterly Eurodollar futures are trading steady at 94.83 after the latest 3M LIBOR settlement climbs +0.01743 to a new 16-year high of 5.17657% (+0.07514 total for the week).
  • The balance of the Eurodollar futures are trading steady to +/-0.020, the long end outperforming. SOFR futures also trading steady to modestly weaker through Dec'24: the lead Jun'23 quarterly trading -0.010 at 95.17.
  • Fed funds implied hike for May'23 is currently at 11.6bp, Jun'23 +8.0bp at 4.892%, while projected rate cuts through year end continue to moderate vs. late Wednesday levels: Jul'23 cumulative -6.0bp to 4.753%, to -47.8 for Dec'23 cumulative at 4.335.
  • Fed Terminal currently at 4.920% in May'23.

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