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ED Yields Slide But Maintain Post-FOMC Increase Beyond EDZ3

US EURODLR FUTURES
  • Eurodollars jumped to new session highs after the market notice to the BoE purchases and despite retracing still see EDZ2 +0.085 and EDZ3 +0.205 (high 0.285).
  • Compared to levels from close after last week's FOMC, yields are currently as much as 12bps lower in the EDH3, but higher rates for longer wins out with yields still higher from EDZ3 onwards, hitting 25bps higher by EDZ4 after which the curve is largely flat - see chart.
  • Near-term, Fed Funds futures fluctuate but currently show a 65bp hike for the Nov 2 FOMC, down only 1bp from pre-purchase levels and with a recent range of 63-66bps.

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  • Eurodollars jumped to new session highs after the market notice to the BoE purchases and despite retracing still see EDZ2 +0.085 and EDZ3 +0.205 (high 0.285).
  • Compared to levels from close after last week's FOMC, yields are currently as much as 12bps lower in the EDH3, but higher rates for longer wins out with yields still higher from EDZ3 onwards, hitting 25bps higher by EDZ4 after which the curve is largely flat - see chart.
  • Near-term, Fed Funds futures fluctuate but currently show a 65bp hike for the Nov 2 FOMC, down only 1bp from pre-purchase levels and with a recent range of 63-66bps.