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On Track To Close With Largest 18 Month Inversion Of the Cycle

US EURODLR FUTURES
  • A useful measure of Fed policy expectations, the ED2/ED6 spread is on track to see the lowest close of the cycle, currently at -1.545 (-0.07 on the day) after CPI inflation came in very much in line with expectations and removed the risk of a hawkish surprise.
  • For the currently equivalent EDM3/EDM4, it has fallen -0.175 since the close after the Dec 14 FOMC decision, with nearly all of the heavy lifting both on the day and relative to mid-Dec coming in 1H24 with EDZ3/EDM4 at -0.995 (-0.05 on the day and -0.145 since Dec 14).

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