FREELAND: CANADA WON'T ESCALATE OR BACK DOWN ON US TRADE FIGHT

MNI: PBOC To Aim To Drive Inflation Higher- Advisors

MNI: China To Issue More Bonds As Stimulus Targets Consumption

MNI: PBOC To Aim To Drive Inflation Higher- Advisors

MNI: China To Issue More Bonds As Stimulus Targets Consumption

MNI BRIEF: China Nov M1 Decline Narrows, M2 Slows

EZ/UK T-Bill Calendar: 8/13/28/50-Week BTF Auction on Monday

EZ/UK Bond Supply Calendar: 4.125% Jul-29 Gilt Due on Tuesday

MNI: CANADA OCT WHOLESALE SALES +3.3%; EX-AUTOS +0.5%

MNI EXCLUSIVE: EU-Mercosur Deal Close, But Likely Short-Lived - Officials

AUSTRALIA: 2025 Election Outcome Looking More Uncertain According To Newspoll

© 1982-2024 MNI. All rights reserved.
Terms | Privacy
Log Out
Free Trial

Post-LIBOR Settle Update: Lead Dec'22 Bounce

US EURODLR FUTURES

Lead quarterly Dec'22 (EDZ2) extends late overnight high to 95.1775 (+0.010) after latest 3M LIBOR set' recedes -0.00914 to 4.72343% (-0.00129 total wk).

  • Fed funds implied hike for Dec'22 holding at 51.2bp, Feb'23 cumulative 88.2bp to 4.722% (Mar'23 105.2bp to 4.892%) , terminal at 4.95% in May'23-Jun'23 vs. 4.915% late Friday. Balance of Whites through Greens (EDH3-EDU5) -0.035-0.075, Blues through Golds (EDZ5-EDU7) -0.040-0.010, Golds outperforming.
  • Current deferred spds update - climbing off deeper inversions:
    • Jun'23/Sep'23 -0.0150 vs. -0.160 late Fri
    • Dec'22/Red Dec'23 at -0.155 vs. -0.225
    • Mar'23/Red Mar'24 at -0.930 vs. -0.950
    • Jun'23/Red Jun'24 at -1.380 vs. -1.395
  • Friday options summary: The number of varied trades made up for modest overall volumes Friday. two-way flow as underlying futures steadily reversed post-NFP sell-off as 50bp hike in Dec still priced in (curves flatter as prospect of slower hikes in 2023 cooled, however).
    • Early trade summary carried over into the second half: better upside call hedging in SOFR options ahead key employment data while Treasury options saw better 10Y put interest. SOFR upside insurance call buying continued through midday while Treasury option focus on puts.
BulletMarketsFixed Income BulletsHomepage
BulletMarketsFixed Income BulletsHomepage

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.