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Post-LIBOR Settle Update: New 3M High, Rate Cuts Moderate

US EURODLR FUTURES
  • Lead quarterly Eurodollar futures weaker trading -0.005 at 94.795 after the latest 3M LIBOR settlement climbs +0.01972 to new 16 year high of 5.16286% (+0.06143/wk).
  • The balance of the Eurodollar futures trading weaker (-0.090-0.120 through Mar'24), SOFR futures trading broadly lower as well: the lead Jun'23 quarterly -.025 at 95.180, -0.090-0.120 through SFRH4 as projected rate cuts moderate.
  • Fed funds implied hike for May'23 is currently at 13.3bp, Jun'23 +8.7bp at 4.904%, followed by projected rate cuts through year end: Jul'23 cumulative -8.5bp to 4.722% to -54.2 for Dec'23 cumulative at 4.276.
  • Fed Terminal currently at 4.94% in May'23.

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