Free Trial

Post-LIBOR Settle Update:

US EURODLR FUTURES

Lead quarterly Dec'22 (EDZ2) remains under pressure at 94.84 (-.035) after latest 3M LIBOR set' climbs +0.04700 to new 14Y high of 4.32457% (+0.13086/wk).

  • Short end pricing 75bp hike at Nov FOMC stable, with another 75bp in Dec near fully priced in. That said, FI markets all bounced off lower levels last few minutes amid focus on UK politics and future of PM Liz Truss.
  • At the moment, the balance of Whites (EDH3-EDU3) trade -0.025, Reds (EDZ3-EDU4) -0.020 to +0.005, Greens through Golds (EDZ4-EDU7) +0.005-0.105.
  • Current inversions: Mar'23/Jun'23 -0.050; Dec'22/Red Dec'23 at -0.245, Mar'23/Red Mar'24 at -0.590, Jun'23/Red Jun'24 at -0.745. Inversion flattens out in Blues w/ EDH6-EDU6 flat at 96.05.
  • Recent option flow has been mixed, little added or unwound in existing low delta/rate hike hedges, modest/sporadic upside call buying for a reversal noted.

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.