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Free AccessThere 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.
To read the full story
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Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.