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EDZ2 Nudging Close To Cycle Lows On 75bp Hike Expectations

US EURODLR FUTURES
  • Front Eurodollars keep half of the move lower on the WSJ's Timiraos piece leaning to a 75bp rather than 50bp increase at the Sep 21 FOMC as they nudge close to cycle lows ahead of the Jun 15 FOMC (EDZ2 currently 95.840 vs low 95.775).
  • In implied yield space, EDZ2 +2.5bp and EDZ3 -2bp sees modest inversion on the day but clearly doesn’t impact the higher for longer theme that has continued to build since Jackson Hole – see chart.
  • Fed Funds implied hikes showing 70.5bps for the Sep FOMC, up from 67bps as the US came in.


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