August 08, 2022 16:30 GMT
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.