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Edging Further Lower Ahead Of Payrolls

US EURODLR FUTURES
  • Eurodollars edging lower, now down -0.025 to -0.04 across the white pack and drifting to -0.06 in reds/greens ahead of payrolls.
  • The front EDH3 has reversed the small 0.01 nudge higher on the Libor fixing.
  • Consistent with the trend recovery in terminal and end-2023 Fed Funds implied rates, EDM3/Z3 of -0.365 is near highs since early Nov with cuts more heavily backloaded to 2024 with EDZ3/Z4 -1.285 (albeit still implying circa 10bps fewer cuts than in early Dec).

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