There have been some very big....>

US EURODLR FUTURES: There have been some very big moves in Eurodollar futures

this week driven by two events - the FOMC meeting and the German PMI.

- The FOMC statement on Wednesday saw the Fed push back expectations of rate

hikes even more than the market had expected. 11/17 members saw no rate hike

this year and 7 saw no rate hike next year. The Fed also confirmed that the

balance sheet runoff programme would end in September. Eurodollar futures

rallied strongly before paring some of these gains on Thursday.

- However a very weak German manufacturing PMI on Friday, along with weak French

PMIs and the pan-Eurozone PMI confirming that the weakness was not contained to

the big two Eurozone countries ignited another rally in STIR futures.

- The biggest moves have been seen in the M0-Z1 part of the strip with all of

these contracts moving at least 20 ticks higher on the week. The Eurodollar

strip is now almost fully pricing a Fed cut within the next twelve months with

the M9-M0 spread at -31.5bp and the M9-M1 spread at -43bp. Contracts from the H0

contract onwards are now at their highest levels since 2017 with shorter dated

contracts at their highest levels since early 2018.