Free Trial

Post-LIBOR Settle Update: Dec Holding Steady

US EURODLR FUTURES

Lead quarterly Dec'22 (EDZ2) steady at 95.175 after latest 3M LIBOR set' rebounds +0.01114 to 4.73457% (+0.00200/wk).

  • Fed funds implied hike for Dec'22 holding at 51.2bp, Feb'23 cumulative 90.2bp to 4.743% (Mar'23 108.7bp to 4.927%), terminal at 5.0% in May'23-Jun'23.
  • Balance of Eurodollar Whites (EDH3-EDU4) -0.010 to +0.015, Greens through Golds (EDZ4-EDU7) +0.020-0.035, Golds outperforming.
  • Current deferred spds update, still inverted but off last wk's lows:
    • Jun'23/Sep'23 -0.0145
    • Dec'22/Red Dec'23 at -0.085
    • Mar'23/Red Mar'24 at -0.870
    • Jun'23/Red Jun'24 at -1.365
  • Monday options summary: Option trade remained mixed, carry over from overnight as underlying futures unwound last Fri's long-end bid. Futures off midmorning lows after the bell. Better put trade on net, sellers/unwinds in low-delta SOFR options, Tsys saw better put buying, call squaring in Eurodollar options. Salient trade:

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.