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It has been a flip flop day for STIR...>

STIR FUTURES: It has been a flip flop day for STIR futures. After beginning the
day on the front foot following the FX flash crash, STIR futures pared some of
their gains in the middle of the European morning. However, a poor ISM
manufacturing has been the trigger for another springboard higher.
- The biggest moves of the day have been seen across the Eurodollar strip with
Reds, Greens and Blues 9-11.5 ticks higher on the day. Some Green and Blue
contracts are now more than 25 ticks higher since Christmas. The spread between
H9-M0 is now -33.5bp.
- Short sterling futures had been lower earlier today but the whole strip has
since shifted higher. Whites are 2-2.5 ticks higher, Reds and Greens 2.5-3.5
ticks higher and Blues 3.5-4 ticks higher. Assuming that 3m LIBOR stays close to
current levels, is is almost two years until a hike is fully priced in the short
sterling market now.
- In contrast the Euribor strip is largely unchanged with Whites, Reds and
Greens all within 0.5 ticks of yesterday's close. Blues are 0.5-1.5 ticks higher
on the day.

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