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Post-LIBOR Settle Update: Implied Yr End Rate Cuts Moderate

US EURODLR FUTURES
  • Lead quarterly Eurodollar futures are trading -0.010 at 94.88 after the latest 3M LIBOR settlement recedes -0.01314 to 5.19786% (+0.00515/wk).
  • Eurodollar futures are trading -0.030 to steady through Mar'24, SOFR futures trading steady to mixed: the lead SFRM3 quarterly trading at 95.225 (unchanged), futures -0.010 to +0.005 through SFRH4 with levels out the strip gaining +0.020-0.040.
  • Fed funds implied hike for May'23 is currently at 11.2bp, Jun'23 +5.3bp cumulative at 4.869%, while projected rate cuts later in the year holding steady but off Wed's levels: Sep'23 cumulative -36.6bp to 4.450%, to -75.5 for Dec'23 (-84.9bp Wed) at 4.062 .
  • Fed Terminal currently at 4.92% in May'23.

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