FREELAND: CANADA WON'T ESCALATE OR BACK DOWN ON US TRADE FIGHT

MNI: PBOC To Aim To Drive Inflation Higher- Advisors

MNI: China To Issue More Bonds As Stimulus Targets Consumption

MNI: PBOC To Aim To Drive Inflation Higher- Advisors

MNI: China To Issue More Bonds As Stimulus Targets Consumption

MNI BRIEF: China Nov M1 Decline Narrows, M2 Slows

EZ/UK T-Bill Calendar: 8/13/28/50-Week BTF Auction on Monday

EZ/UK Bond Supply Calendar: 4.125% Jul-29 Gilt Due on Tuesday

MNI: CANADA OCT WHOLESALE SALES +3.3%; EX-AUTOS +0.5%

MNI EXCLUSIVE: EU-Mercosur Deal Close, But Likely Short-Lived - Officials

AUSTRALIA: 2025 Election Outcome Looking More Uncertain According To Newspoll

© 1982-2024 MNI. All rights reserved.
Terms | Privacy
Log Out
Free Trial

Post-LIBOR Settle Update: Re-Pricing Hikes, Recession Cares

US EURODLR FUTURES

Lead quarterly EDU2 pares gains slightly, currently trading 96.695 (+0.005) as 3M LIBOR set' climbs +0.01272 to 2.19729% (+0.10143/wk) -- highest level since Aug 2019.

  • Carry-over bid out the strip: balance of Whites through Reds (EDZ2-EDM4) trading +0.035-0.075 as market gradually cools on prospect of additional 75bp hikes. Greens through Golds (EDU4-EDM7) +0.035-0.050.
  • Recession expectations rising as futures inversion creeps forward: Dec'22 currently trading 96.21 vs. Mar'23 at 96.235. Most inverted calendar spd: EDH3/EDH4 at -48.5. Interpretation: Since Wed's Senate testimony from Fed Chair Powell, futures pricing end of rate hikes has migrated from mid-2023 to end of this year.
  • Dis-inversion moves forward: currently Green Jun'25/Blue Sep'25 at 96.94 vs. mid-Blues earlier in week.
  • Wednesday option roundup: Devil's advocate plays the range. While Tuesday's option trade hedged for/anticipated correctly for a rebound in underlying rate futures, Wednesday's trade centered on the opposite. With a few exceptions, midweek flow faded the strong rally in underlying futures via put buying.
  • Trade highlights included block buys of 20k each: Dec 95.62/96.00/96.12/96.50 put condors, 8.0 and Dec 95.62/96.12/96.25/96.75 put condors, 14.0. SOFR options included buy of 6,500 SFRV2 95.75/95.93/96.06/96.25 put condors and -5,000 97.25/97.62 call spds 0.5 over SFRZ2 96.12/96.25/96.50 broken put flys vs. 96.50/0.14%.
BulletMarketsFixed Income BulletsHomepage
BulletMarketsFixed Income BulletsHomepage

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.