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Post-LIBOR Settle Update: Projected Rate Cuts Moderate

US EURODLR FUTURES
  • Lead quarterly Eurodollar futures weaker, currently trading -0.075 at 94.860 after the latest 3M LIBOR settlement climbs +0.04171 to 5.14314% (+0.10300 total last week).
  • The balance of the Eurodollar futures trading broadly weaker as bank panic gradually abates, SOFR futures trading broadly lower as well: the lead Jun'23 quarterly -.115 at 95.275. SOFR futures through Jun'24 trading -0.190-0.230 as projected rate cuts are normalizing
  • Fed funds implied hike for May'23 is currently at 11.6bp, Jun'23 +4.5bp at 4.858%, followed by projected rate cuts through year end: Jul'23 cumulative -16.0bp to 4.653% to -63.9 for Dec'23 cumulative at 4.173.
  • Fed Terminal currently at 4.915% in May'23.

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