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Post-LIBOR Settle Update: Late Yr Implied Cuts

US EURODLR FUTURES
  • Lead quarterly Eurodollar futures are holding -0.005 at 94.725 after the latest 3M LIBOR settlement recedes -0.00371 to 5.21886% (+0.02615/wk).
  • Eurodollar futures are trading 0.025-0.030 weaker through Mar'24, SOFR futures also trading weaker across the strip: the lead SFRM3 quarterly trading -0.020 at 95.05, futures -0.020-0.035 through SFRH4.
  • Fed funds implied hike for May'23 is currently at 17.3bp, Jun'23 +15.9bp cumulative at 4.976%, while projected rate cuts later in the year recede from Mon's highs: Sep'23 cumulative -11.0bp to 4.706%, to -46.0 for Dec'23 at 4.356.
  • Fed Terminal currently at 4.98% in May'23 and Jun'23.

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