US EURODLR FUTURES: Post-LIBOR Settle Update: New Benchmark High

Sep-29 11:09

Lead quarterly Dec'22 (EDZ2) currently -0.030 at 95.30 after latest 3M LIBOR set' climbs +0.06872 to new 14Y high of 3.74286% (+0.11443/wk).

  • Rates scaling back fair portion of Wed's BOE buy program-tied rally w/ PM Liz Truss continued defense of the mini-budget on BBC radio, strong regional German CPI overnight adding to moves.
  • Balance of Whites (EDH3-EDU3) -0.065-0.090, Reds (EDZ3-EDU4) -0.095-0.135, Greens-Blues (EDZ4-EDU6) -0.130-0.140, Golds (EDZ5-EDU7) -0.135-0.125.
  • Current inversion pricing: Mar'23/Jun'23 -0.035; EDZ2/EDZ3 at -0.205, EDH3/EDH4 at -0.390, EDM3/EDM4 at -0.525. Inversion flattens out with Blue Dec'25/Mar'26 both trading 96.18.
  • Wednesday option roundup: Theme of the day: Taking profits by accts that had sold a wide array of puts/put spds anticipating some measure of a rebound in the underlying on hopes the BoE would take action to calm markets following last Fri's tax cut plan. Multiple unwinds in 10- and 30Y spreads, upside call buying on the day.

Historical bullets

CHINA: Communist Party National Congress Set For 16 Oct-State Media

Aug-30 11:08

Chinese state media confirming that the 20th National Congress of the Communist Party of China will take place 16 October. The crucial event takes place once every five years.

  • The large set-piece event will likely prove a landmark moment in Chinese political history, with President Xi Jinping likely to begin an unorthodox third five-year term at the end of the 2,000-strong meeting of party officials in Beijing, becoming the first Chinese leader since Mao Zedong to remain in office for a third term.
  • SCMP reports: "The announcement [of the Congress' date] usually indicates that most of the closed-door negotiations on key positions are over, though there could be last-minute adjustments. The most important decisions are usually made ahead of the party congress, which largely serves as a formal occasion to legitimise and communicate those decisions to delegates."
  • What will also be observed closely is the selection of the Communist Party's next Central Committee, formed by 300 high-ranking CCP members. At the 1st Plenary Session of the 20th Central Committee, its members in turn decide on the make-up of the 25-strong Politburo and at its peak, the seven-member Standing Committee.
  • The Standing Committee is viewed as an important staging post for presidential hopefuls, and the identities of those selected for the positions could indicate the longer term plans for President Xi, of whether he installs potential protegees that could gain his support, or older party officials that are unlikely to offer a challenge to the incumbent.

LIBOR: JPY LIBOR FIX - 30/08/22

Aug-30 10:58
JPY LIBOR FIX
1M -0.04632 0
3M -0.01472 0.00189
6M 0.04453 0.00123

LIBOR: USD LIBOR FIX - 30/08/22

Aug-30 10:57
USD LIBOR FIX:
O/N 2.30829 -0.00085
1M 2.56400 0.04014
3M 3.08214 0.01257
6M 3.59543 0.029
12M 4.15986 0.03657