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VIEW: Natwest Markets note.......>

US EURODLR FUTURES
US EURODLR FUTURES: VIEW: Natwest Markets note that "June FRA/OIS is currently
priced at 37bps, implying an average narrowing of ~1.5bps per day, every day,
until the June expiry. While we do expect that spot LIBOR/OIS will continue to
narrow from here, we think the market-implied path into June is simply too
aggressive. We recommend getting short June ED contract (EDM0) at 99.55, or
alternatively getting long June FRA/OIS spreads at 37bps. It's worth noting that
we do not think the Fed is entertaining negative rates at this point, and as
such, see less risk to being outright short ED. If anything, we see EFFR prints
likely being pulled higher by increasing bill and repo rates. There is also some
possibility that the Fed increases their administered rates (IOER and O/N RRP)
before June, even if that is not currently our base case. Either way, with the
target range likely pinned at 0 to 25 for the foreseeable future we do not
expect Fed expectations to be a meaningful driver of ED until we have once again
reached some semblance of stabilization in LIBOR."
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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