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

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."