November 24, 2022 18:27 GMT
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.