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SOFR Futures: New 16Y High Settle

US EURODLR FUTURES
  • Lead quarterly Eurodollar futures are trading +0.015 at 94.705 after the latest 3M LIBOR settlement climbs to new 16 year high of 5.24157% (+0.04371)
  • Eurodollar futures are trading +0.030-0.070 through Mar'24, while SOFR futures trading firmer as well: the lead SFRM3 quarterly at 95.035 (+0.015), futures -+0.025-0.070 through SFRH4.
  • Fed funds implied hike for May'23 steady at 17.9bp, Jun'23 +18.1bp cumulative at 5.007%, while projected rate cuts later in the year holding near post-employment data lows: Sep'23 cumulative -28.0bp to 4.546%, to -46.8 for Dec'23 at 4.358 .
  • Fed Terminal currently at 5.05% in Jun'23.

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