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MNI: PBOC To Aim To Drive Inflation Higher- Advisors

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Post-LIBOR Settle Update: Hike Pricing Steady Ahead Blackout

US EURODLR FUTURES

Lead quarterly Mar'23 (EDH3) -0.005 to 94.97 after 3M LIBOR set' inches higher by +0.00028 to 4.81557% (+0.02314/wk).

  • Fed funds implied hike for Feb'23 -0.2 to 26.6bp, Mar'23 cumulative steady 45.6bp to 4.788%, May'23 steady at 56.1bp to 4.893%, terminal dips slightly to 4.895% in Jun'23.
  • Balance of Eurodollar Whites (EDM3-EDZ3) -0.020-0.055, Reds through Golds (EDH4-EDZ7) -0.055-0.060.
  • Current deferred spds vs. prior settle - off deeper inverted levels:
    • Jun'23/Sep'23: -0.115 vs. -0.135
    • Mar'23/Red Mar'24: -0.990 vs. -1.045
    • Jun'23/Red Jun'24: -1.565 vs. -1.605
  • Option recap: Heavy spate of upside call and call spread trade in SOFR options Thursday, fading weaker underlying as traders built large policy-pivot positions to cover the next two Fed policy meetings.
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