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Further Frontloading Of Curve Ahead of FOMC

US EURODLR FUTURES
  • Eurodollar yields see a front-loading of the curve, with EDZ2-H3 yields climbing 2.5-3bps and EDZ3-2024 yields dipping 1.5-2.5bps.
  • It pushes EDH3/EDZ3 to -0.44 but within recent ranges whilst EDZ3/EDZ4 at -0.63 maintains levels close to recent lows, seen since last week’s CPI strength drove the substantial front-loading of the curve with H3 yields some 50bps higher than before CPI.

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