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: Policy Pivot Aftermath

US EURODLR FUTURES

Lead quarterly Mar'23 (EDH3) back to steady at 95.035 after 3M LIBOR set' bounces +0.00985 to 4.80614% (-0.01915/wk).

  • Fed funds implied hike for Mar'23 at 20.4bp, May'23 cumulative 30.4bp to 4.887%, Jun'23 31.1bp to 4.895%, terminal at 4.89% in Jun'23.
  • Balance of Eurodollar Whites (EDM3-EDZ3) +/-0.010, Reds (EDH4-EDZ4) +/-0.015, Greens through Golds (EDH5-EDZ7) -0.010-0.035.
  • Current deferred spds vs. prior settles:
    • Jun'23/Sep'23: -0.085 vs. -0.105
    • Mar'23/Red Mar'24: -0.885 vs. -0.895
    • Jun'23/Red Jun'24: -1.435 vs. -1.440
  • Option recap: Heavy option volume in the lead up to - and after the FOMC pivot to 25bps hike, favored upside call and call structures Wednesday. Salient SOFR trade: over +91,000 SFRZ3 95.50/97.50 call spds, 33.5-35.0 ref 95.565 to -.575 as well as 16,000 SFRZ3 95.75/97.75 call spds ref 95.57. Notable 5Y limited upside opener: +24,000 FVJ3 112.25/112.75/113.25 call flys ref 109-31.75.
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.