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MEXICO

Core CPI M/m Rises 0.33% vs 0.2% Estimate

SWITZERLAND

CHF LIBOR FIX - 22-10-2021

EUROZONE

EUR LIBOR FIX - 22-10-2021

JAPAN

JPY LIBOR FIX - 22-10-2021

UK

GBP LIBOR FIX - 22-10-2021

US EURODLR FUTURES

Post-LIBOR Settle Update

US SWAPS
US SWAPS: *** Spds mostly wider by the bell, short end dragging long end off
early session narrows. Safe-haven/risk-off tone in rates adding to move while
hedges for incoming swappable supply adds to flatter spd curve. Sources report
mild rate paying in 2s, two-way in 2s and 2Y OIS, deal-tied paying in 2s, 5s, 7s
and 10s, two-way rate and spd flow from asset managers fast$ and bank portfolios
in 5s through 10s. OTC vol ratcheted higher on the rate rally, gamma
outperforming longer vega, midday pull-back on light profit taking/positioning,
levels climbed again late. Latest spread levels:
* 2Y +1.38/22.38
* 5Y +1.62/6.88
* 10Y +0.12/-4.88
* 30Y -0.19/-34.44
MNI Chicago Bureau | +1 312-431-0089 | bill.sokolis@marketnews.com
MNI Chicago Bureau | +1 312-431-0089 | bill.sokolis@marketnews.com