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Post-LIBOR Settle Update: Projected Rate Cuts Gain Momentum

US EURODLR FUTURES
  • Lead quarterly Eurodollar futures maintain strong bid, currently trading +0.120 at 95.070 after the latest 3M LIBOR settlement recedes -0.03228 to 5.10143% (+0.10300/wk).
  • The balance of the Eurodollar futures trading stronger with SOFR futures trading similarly: the lead Jun'23 quarterly +.195 at 95.590. SOFR futures through Jun'24 trading +0.29-0.25 as projected rate cuts gain momentum.
  • Fed funds implied hike for May'23 has receded to 6.6bp, followed by projected rate cuts through year end: Jun'23 cumulative -15.6bp to 4.631%, Jul'23 -49.3bp to 4.295%. By year end, Dec'23 cumulative -90.6 at 3.881.
  • Fed Terminal currently at 4.830% in May'23.

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