MNI China Daily Summary: Tuesday, Aug 20

RIKSBANK CUTS POLICY RATE BY 25BP TO 3.5%

China Repo Rates Rise On Tuesday

MNI: PBOC Net Drains CNY236.6 Bln via OMO Tuesday

MNI: PBOC Sets Yuan Parity Lower At 7.1325 Tues; +2.12% Y/Y

MNI: EUROZONE JUN CONSTRUCTION OUTPUT +1.7% M/M, +1% Y/Y

Final Data Broadly Confirms Flash HICP Details

MNI: EUROZONE JUL FINAL HICP +0% M/M, +2.6% Y/Y

RPT-MNI: Canada Sticks To Fiscal Anchors, Spends Chunk Of Windfall

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Post-LIBOR Settle Update: Short End Ignores New 3M High

US EURODLR FUTURES

Lead quarterly EDU2 holding at 96.735 (+0.005) after 3M LIBOR set' climbs +0.02671 to near 3Y high of 2.27714% (+0.04271/wk).

  • Balance of Whites (EDZ2-EDM3) trading steady to +0.025, Reds through Golds (EDU3-EDM7) +0.040-0.055 w/ Greens-Blues (EDU4-EDM6) outperforming.
  • Recession expectations priced in front end: Mar'23/Jun'23 inverted by -0.135. Most inverted calendar spd: EDH3/EDH4 extends to -0.510 vs. -0.445 Tue.
  • Tuesday option roundup: Modest overall FI option volume Tuesday focused on downside puts as near-term 75bp likely to remain the "new baseline" from the Federal Reserve. Nevertheless, underlying rates see-sawed off session lows in late trade. Salient examples in SOFR, Eurodollar and Treasury options include:
  • Eurodollar blocks included +20,000 Dec 95.5/96.5 put spds, 40.5 vs. 96.20/0.36% as well as +17,000 Dec 95.62/96.62 put spds, 45.5 vs. 96.20/0.42%.
  • Treasury options saw buy of at least 25,000 (12.5k Blocked) TYU2 113/115 2x1 put spds at 1.0 in addition to 10,000 TYQ 113/114 put spds, 8.
  • SOFR options package structured as a bear flattener with buy of 30,000 SFRZ2 96.25/97.50 put spds 77.5 vs. -20,000 SFRZ3 96.00 puts at 49.5.
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