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Eurodollars Swing On Waller Comments

FED
  • Eurodollars fell 4 ticks over 2H2022 contracts as Waller said he sees the March FOMC meeting as “live” for a hike with it being very likely a rate hike could happen then.
  • However, EDZ2 has since increased 3 ticks when he added that balance sheet runoff can be one or two meetings after liftoff, which could be by the summer of 2022. It "would also help remove accommodation, reducing the need for additional rate hikes".
  • As it is, the Dec22 implied yield of 1.01% is very close to where it was prior to the Fed decision on Wed. It got as high as 1.1% on the initial announcement before retracing fully during Powell's conference.
  • We viewed Waller towards the hawkish end of the FOMC (and the most out of the permanent voters on the Board) when recently updating our dove-hawk spectrum prior to Wed.
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