Free Trial

Post-LIBOR Settle Update

US EURODLR FUTURES

Lead quarterly EDM2 holding mildly lower at 98.425 (-0.005) after latest 3M LIBOR settle gains +0.00700 higher to 0.96900%, -0.02086 total last week after climbing to 1.00600% Tuesday -- highest since April 2020.

  • Balance of Whites (EDU2-EDH3) trade -0.010-0.025 lower, Reds through Golds (EDM3-EDH7) trading -0.020-0.040 lower.
  • Pricing in more aggressive rate hikes for 2022 cools slightly, Fed funds futures pricing in appr 214bp from 219bp overnight.
  • Measure of confidence in forward policy and/or Fed managing a soft landing/avoiding recession: low as longer expirys continue to outperform. First price inversion holding at Red Jun'23 (96.65) vs. Red Sep'23 (96.645). Inversion flattens out late Golds (EDMZ-EDH7) trade around 97.615 (-0.030).
  • Highlight option trade noted Friday: Eurodollar options saw better volumes in 2- and 3Y midcurve puts as Reds through Greens (EDM3-EDH5) hammered -0.210-0.170 on the day as pricing of more aggressive rate hikes resume.
    • Salient trade includes 12,000 short Apr 96.75/96.87 put spreads and 10,000 short May 97.25 puts vs. 5,000 97.50 puts. In 3Y midcurves, paper bought 5,000 Green Jun/Sep 94.50 put strip, 84.0 covered.

To read the full story

Close

Why MNI

MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.