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Yields Climb Further Ahead Of FOMC

US EURODLR FUTURES
  • Eurodollars yields climb with EDZ2 +7bps and larger increases further out with EDH4 +9bps.
  • The more hawkish rate path ahead of the new dot plot more than reverses the front-loading seen earlier in the session with a >10bp intraday swing in late 2023/front 2024 contracts, pushing EDH3/EDZ3 back towards highs of the past few weeks currently at -0.385.
  • Similar pattern seen in FOMC-dated Fed Funds, pushing new cycle highs for the implied terminal rate of 4.54% at the Mar’23 meeting (+4bp Tue close) and 4.15% for Dec’23 (+5bps).

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