Free Trial

Post-LIBOR Settle Update: Pace Slows for New Benchmark High

US EURODLR FUTURES

Lead quarterly Dec'22 (EDZ2) gains +0.010 to 95.015 after latest 3M LIBOR set'

climbs +0.00114 to new 14Y high of 4.67543% (+0.06929/wk).

  • Dec step-down expectations steady as Fed funds implied hike for Dec'22 dips to 49.8 from 50.9bp earlier, Feb'23 cumulative 84.9bp to 4.703%, terminal 4.93% in Jun'23 (5.08% pre-CPI).
  • Balance of Whites (EDH3-EDU3) -0.005-0.020, Reds through Golds (EDZ3-EDU7) currently -0.020-0.040, Reds underperforming. Deferred spds:
    • Jun'23/Sep'23 -0.240 vs. -0.255 early Wed;
    • Dec'22/Red Dec'23 at -0.360 vs. -0.422,
    • Mar'23/Red Mar'24 at -0.935 vs. -0.980,
    • Jun'23/Red Jun'24 at -1.270 vs. -1.295 prior cycle low.
    • Inversion flattens out in early Blues: EDZ5-EDH6 +0.020.
  • Wednesday option roundup: Another volume challenged session, accts already sidelined prior to all the data, and not thinking too deep ahead next week's holiday closures. Consistent themes: more interest in buying upside calls since last week's surprise CPI miss put year end policy pivot back on the radar. Wed's underlying rally despite stronger than expected retail sales failed to generate much follow through derivatives trading.

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.