PERU: Peru Central Bank Review – Feb 2023
Feb-10 12:10
- The BCRP decided to leave the reference rate unchanged at 7.75% on Thursday. This was a dovish surprise with 10/11 surveyed analysts expecting another 25bp increase.
- The statement notes that “this pause does not necessarily imply an end to the BCRP’s monetary tightening cycle.” Indeed, future decisions “will be conditional on new information about inflation and its determinants, including the macroeconomic effects of the recent political unrest.”
- In the paragraph on guidance, there was a subtle change to reflect that future changes to the monetary policy stance will be considered “if necessary”.
- The statement says that “the board remains particularly attentive to new information on inflation and its determinants, including the evolution of inflation expectations and economic activity, to consider, if necessary, changes in the monetary stance”
- Link to full statement here: https://www.bcrp.gob.pe/eng-docs/Monetary-Policy/Informative-Notes/2023/informative-note-february-2023.pdf
- The next BCRP meeting will take place on March 9.
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US EURODLR FUTURES: Post-LIBOR Settle Update: New 14+ Year High 3M Benchmark
Jan-11 12:01
Lead quarterly Mar'23 (EDH3) dips to +0.005 at 94.925 after 3M LIBOR set' climbs +0.00914 to new 14 year high of 4.81500% (+0.00514/wk).
- Fed funds implied hike for Feb'23 -.4 at 30.8bp, Mar'23 cumulative steady at 50.6bp to 4.838%, May'23 steady at 59.5bp to 4.926%, terminal at 4.93% in Jun'23/Jul'23.
- Balance of Eurodollar Whites (EDM3-EDZ3) +0.005-0.015, Reds (EDH4-EDZ4) +0.025-0.040, Greens through Golds (EDH5-EDZ7) +0.040-0.045.
- Current deferred spds vs. prior settle
- Jun'23/Sep'23: at -0.145 vs. -0.135
- Mar'23/Red Mar'24: -0.930 vs. -0.915
- Jun'23/Red Jun'24: -1.430 vs. -1.400
- Tuesday option roundup: Session flow focused on downside puts in SOFR options, new and re-positioning as underlying futures continued to unwind post-NFP strength, vol offered. Notable large put condor roll 5.5 net cr: +28,953 SFRJ3 94.62/94.87/95.00/95.25 put condors, ref 95.075-.080 vs. -27,153 SFRH3 94.62/94.87/95.12/95.38 put condors, ref 95.105-.085. Vol seller: appr -20,000 Dec SOFR 95.62 straddles from 81.0-2.0 since Monday.
US MBA: REFIS +5% SA; PURCH INDEX -1% SA THRU JAN 6 WK
Jan-11 12:00
- US MBA: REFIS +5% SA; PURCH INDEX -1% SA THRU JAN 6 WK
- US MBA: UNADJ PURCHASE INDEX -44% VS YEAR-EARLIER LEVEL
- US MBA: 30-YR CONFORMING MORTGAGE RATE 6.42% VS 6.58% PREV
MNI: US MBA: MARKET COMPOSITE +1.2% SA THRU JAN 06 WK
Jan-11 12:00
- MNI: US MBA: MARKET COMPOSITE +1.2% SA THRU JAN 06 WK
