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Free AccessPost-LIBOR Settle Update: Dec Step-Down Pricing Steady
Lead quarterly Dec'22 (EDZ2) trades +0.0075 at 95.00 after latest 3M LIBOR set'
climbs +0.02458 to new 14Y high of 4.67429% (+0.06815/wk).
- Dec step-down expectations steady as Fed funds implied hike for Dec'22 at 49.8bp, Feb'23 cumulative 84.5bp to 4.700%, terminal 4.905% in Jun'23 (5.08% pre-CPI).
- Balance of Whites (EDH3-EDU3) steady to -0.010 in Sep'23 contract, Reds through Golds (EDZ3-EDU7) currently +0.005-0.030, Reds outperforming. Deferred spds:
- Mar'23/Jun'23 +0.010
- Jun'23/Sep'23 -0.255 vs. -0.265 early Tue;
- Dec'22/Red Dec'23 at -0.4225 vs. -0.400,
- Mar'23/Red Mar'24 at -0.980 vs. -0.905,
- Jun'23/Red Jun'24 at new cycle low of -1.295 vs. -1.170 prior.
- Inversion flattens out in late Greens/early Blues: EDU5-EDZ5 around 96.595-.60.
- Variety of trades made up for modest overall option volumes Tuesday, better put volumes in SOFR options on net with early buys evaporating as underlying climbed post-PPI; Tsy options saw better call interest overall.
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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.