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Eurodollars Inversion Builds Into Greens

US EURODLR FUTURES
  • Eurodollars are largely keeping to an earlier pullback in implied yields, with EDZ2 -2bp and EDZ3 -5bps, despite equities rolling over.
  • The move chips away at Friday’s continued front-loading of the curve, which has helped push implied yields in late dated whites as much as 40bps above post Jul-FOMC levels.
  • Spreads keep within the range seen since early July for EDZ2/EDZ3 (-0.70) but with growing inversion thereafter with new lows for EDZ3/EDZ4 (-0.52).
  • It’s a similar theme to fresh post-2000 flats in UST 2s10s (currently -5bps on the day at -44.5bps) on softer growth expectations amidst continued pricing in of large near-term Fed hikes with 70bps priced for Sep and 121bps over the three meetings to year-end.

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  • Eurodollars are largely keeping to an earlier pullback in implied yields, with EDZ2 -2bp and EDZ3 -5bps, despite equities rolling over.
  • The move chips away at Friday’s continued front-loading of the curve, which has helped push implied yields in late dated whites as much as 40bps above post Jul-FOMC levels.
  • Spreads keep within the range seen since early July for EDZ2/EDZ3 (-0.70) but with growing inversion thereafter with new lows for EDZ3/EDZ4 (-0.52).
  • It’s a similar theme to fresh post-2000 flats in UST 2s10s (currently -5bps on the day at -44.5bps) on softer growth expectations amidst continued pricing in of large near-term Fed hikes with 70bps priced for Sep and 121bps over the three meetings to year-end.