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Implied Rates Continue To Rise

US EURODLR FUTURES
  • Eurodollars have continued to price in higher rates today across reds, greens and even blues on a broader risk-on backdrop as fears of stricter Omicron curbs subside.
  • The Dec’23 contract is off session lows but is still down 8 ticks at 98.395. It is comfortably below the 98.435 touched after Waller’s hawkish comments on Friday and is fractionally below the middle of the post-Omicron range of 98.555 (Nov 30 high) and 98.245 (Dec 10 low).
  • The Dec’25 has seen an even larger drop of 9 ticks to pre-Dec FOMC levels, albeit with much lower volumes.
  • The Dec’22 continues to lag at -5 ticks, crudely implying a little over 80bps of tightening next year. Fed Funds pricing is a little more restrained but has also increased, with 2.8 hikes priced for 2022 from yesterday’s low of 2.55.
  • Biden talks on Omicron developments at 1430ET.
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