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Yield Curve Nudges Lower In Holiday Trade

US EURODLR FUTURES
  • Eurodollars saw little change in the front EDZ2 today but rallied 2-5bps further out the curve to the green pack in thin trade.
  • The result is a terminal yield of 5.24% in EDM3 sitting 8bps lower than Tuesday’s close prior to a net rolling over in US data and dovish FOMC minutes.
  • With a roughly parallel shift lower in the yield curve, EDM3/EDZ3 inversion remains around 45bps with the pace accelerating into 2024 with EDZ3/EDZ4 at -1.25.

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