US EURODLR FUTURES: Post-LIBOR Settle Update: Pricing in Higher for Longer
Oct-07 11:06
Lead quarterly Dec'22 (EDZ2) extends low to at 95.22 (-0.065) after latest 3M LIBOR set' climbs +0.08300 to new 14Y high of 3.90871% (+0.15400/wk).
- Pricing in increased odds of 75bp hikes in Nov and Dec while the balance of Whites (EDH3-EDU3) shift lower: -0.065-0.050, Reds through Golds (EDZ3-EDU7) -0.050-0.025, Greens outperforming slightly.
- Current inversion pricing off recent lows: Mar'23/Jun'23 -0.020; Dec'22/Red Dec'23 at -0.175, Mar'23/Red Mar'24 at -0.440, Jun'23/Red Jun'24 at -0.600. Inversion flattens out with Blue Dec'25/Mar'26 both trading 96.21.
- Much better put and put spread buying Thursday, focus on hedging tighter policy and effect on underlying futures. Salient trade, ongoing Green Dec'24 SOFR 93.50/94.00/94.50 put flys at 2.5 - adds to appr +33k late last week, same price. Green Dec SOFR futures currently trade 96.345.
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BONDS: Gilts Outperform On Expected Energy Aid Package
Sep-07 11:04
European government bonds have rallied this morning, building on yesterday's gains.
- Policymakers across Europe appear to be making progress on emergency measures to mitigate the impact of the energy price shock, which would ease near term inflationary pressures. Newly installed UK PM Liz Truss is expected to announce a large scale support package to freeze energy bills, which the FT reports could exceed GBP150bn.
- Gilts have outperformed EGBs by a wide margin. Cash yields are 5-24bp lower on the day with the curve sharply bull steepening. The 2-year benchmark is close to experiencing the largest intraday move since the Brexit vote.
- Bunds have firmed with yields 6-8bp lower.
- OAT yields are down 4-8bp with the curve marginally flatter.
- OATs have outperformed core EGBs with yields down 4-11bp.
- Supply this morning came from the UK (Gilt, GBP2.75bn), Germany (1.258bn), and the EU (Bills, EUR2.345bn)
MNI: US MBA: MARKET COMPOSITE -0.8% SA THRU SEP 02 WK
Sep-07 11:00
- MNI: US MBA: MARKET COMPOSITE -0.8% SA THRU SEP 02 WK
US MBA: REFIS -1% SA; PURCH INDEX -1% SA THRU SEP 2 WK
Sep-07 11:00
- US MBA: REFIS -1% SA; PURCH INDEX -1% SA THRU SEP 2 WK
- US MBA: UNADJ PURCHASE INDEX -23% VS YEAR-EARLIER LEVEL
- US MBA: 30-YR CONFORMING MORTGAGE RATE 5.94% VS 5.80% PREV
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