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Post-LIBOR Settle Update: Tighter Policy Pricing Moderates

US EURODLR FUTURES
  • Lead quarterly Eurodollar futures currently trading -0.070 at 94.745 after 3M LIBOR settlement climbs higher: +0.06229 to 5.08000% (+0.08157/wk).
  • The balance of the Eurodollar Whites through Reds (EDU3-EDH5) currently trading -0.075-0.005, while Greens through Blues (EDM5-EDH7) are making modest gains. SOFR futures are trading similarly, SFRM3 -.065 at 95.11, with futures out to SFRH5 trading -0.075-0.015 lower.
  • The main focus is on today's FOMC policy announcement with a majority of dealers anticipating a 25bp hike.
  • Fed funds implied hike for Mar'23 currently at 21.3bp, May'23 cumulative 39.0bp to 4.970%, Jun'23 38.0bp to 4.959%. Fed Terminal climbs to 4.960% in Jun'23 vs. 4.785% in May'23 early Monday.
  • Implied rate cuts have rolled out to longer dates with Dec'23 cumulative -12.4 at 4.456.

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