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Rallying Whilst Maintaining Sizeable Inversion

US EURODLR FUTURES
  • A volatile early session, most recently with a quick rise across the curve, currently sees Eurodollars little changed as red and green packs struggle to unwind much more of Friday’s rally having made some progress in yesterday’s extremely thin trade.
  • Front contracts have firmed (EDU2 unch, EDZ2 +0.03) despite near-term rates being relatively well pinned under expectations of the Fed getting to neutral quickly (Fed Funds pricing +71bps for Jul and a cumulative +125bp for Sep meetings).
  • Red and green packs are now flat from Friday’s close, leaving the curve heavily inverted, with EDZ2/EDH3 -13bps and EDZ2/EDZ3 -73bps, compared to 0bps and -37bps a week ago and highlighting just how quickly growth fears have ramped up.

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