A study examines the intraday efficiency of US futures prices (Eurodollars and T-bonds) to the news content of US macroeconomic releases in which news is determined using MMS expectations data. Since the latter data are available to the market at the 8:30 a.m. relapse time for various macroeconomic series investigated in the analysis, the news associated with the expectational errors should be impounded in market prices quickly, if market are efficient. The pricing behavior of each instrument in 2 futures markets is examined. Furthermore, macroeconomic releases for which the corresponding MMS expectations exhibit bias over the sample period are deleted from the regression analysis. The findings indicate that the prices of the Eurodollar and T-bond contracts behave anomalously over the course of the trading day. In the case of news about the merchandise trade balance, the market's response appears to be delayed; while in the case of CPI and nonfarm payroll news shocks, the markets tend to underreact initially.