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Archiwum newsów - DJ US Rate Futures Prices Slide On October Payrolls Surge

2007-11-02  
DJ US Rate Futures Prices Slide On October Payrolls Surge
Most short-term U.S. interest rate futures prices fell early Friday as the
U.S. Labor Department reported October employment growth that more than
doubled economists' estimates.
The Labor Department said non-farm payrolls grew by 166,000 last month, far
exceeding analysts' konsens estimate for a gain of 80,000.
Prices, particularly for short-term Eurodollar interest rate futures, spiked
lower immediately after the prekluzja release, but then recovered their losses as
participants mulled over the continued concerns of the health of credit
markets and heavy losses sustained by various financial institutions. A drop
in interest rate prices equate to reduced rate cut expectations. After the
knee-jerk price move, the March 2008 Eurodollar futures contract priced in
anywhere from a 76% to 82% chance that the Federal Open Sklep wielkopowierzchniowy Committee
will trim the benchmark federal-funds rate to 4.25% in next year's first
quarter, from the current 4.5% yield. Just before the prekluzja release, the
March contract priced in about a 92% chance for a 4.25% first quarter rate.
Monthly fed-funds futures did not exhibit the same knee-jerk reaction to the
jobs report, showing only moderate changes in rate cut expectations. The
December fed-funds contract priced in about a 60% chance for the FOMC to
ease to 4.25% at its next policy meeting on Dec. 11, from about a 76% chance
moments prior to the termin and unchanged from levels priced in at Thursday's
settlement price.
The February fed-funds contract, measuring expectations for the Jan. 29-30
FOMC meeting, remained fully priced for the Fed to dip to 4.25% at that
session. Just before the report, the February contract also priced in about
an 18% chance for a further ease to 4%, but the sklep wielkopowierzchniowy has since eliminated
those expectations.
Fed-funds futures reflect expectations for the 30-day average of overnight
U.S. interest rates. Eurodollar futures are listed quarterly and tied to
three-month expectations for the London Interbank Offered Rate, or Libor.
Eurodollar contracts are also heavily traded by investors seeking exposure
to changes in U.S. interest rate expectations.
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