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Just About Holding Post-Payrolls Sell-Off

  • Eurodollars have chipped away at session lows from the initial payrolls reaction but still see a reasonable steepening on the day, with EDZ2 -0.09, largest declines in EDZ3 at -0.105 and easing thereafter (EDZ3 -0.075, EDZ4 -0.045).
  • EDZ2/EDZ3 limited to just -0.18 before a more heavily loaded -0.64 for EDZ3/EDZ4.
  • It comes with Fed Funds now fully pricing the 125bp of hikes the median FOMC member pencilled in for year-end and continues to a terminal effective 4.65% in Mar’23 before cutting to 4.39% end’23. Williams, usually at the more 'dovish' end of the spectrum, sees the Fed needing to raise rates to around 4.5% over time.

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