EURIBOR OPTIONS: Ratio put fly
Mar-24 12:10
ERM3 96.50/96.25/96.00p fly 1x1.7x0.7 sold at 5 in 10k
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EGB SYNDICATION: Luxembourg 10/20-year dual-tranche: Launched
Feb-22 12:09
10-year:
- Maturity: 2 March 2033
- Size set at E1.25bln
- Spread set earlier at MS flat (Guidance was + 4bps area then +2bps area)
- Books in excess of E6.2bln (ex JLM interest)
- ISIN: LU2591860569
20-year:
- Maturity: 2 March 2043
- Size set at E1.75bln
- Spread set earlier at MS+40bps (Guidance was + 42bps area then +41bps area)
- Books in excess of E6.5bln (ex JLM interest)
- ISIN: LU2591861021
For both:
- Settlement: 2 March 2023 (T+6)
- Bookrunners: BCEE / BGL BNP PARIBAS / BIL / DEUTSCHE BANK (B&D/DM) / SOCIETE GENERALE
- MNI had expected a combined size of E2-3bln, so the size is at the upper end of our expectation.
- Timing: Books closed at 11:25GMT / 12:25 CET
From market source
US TSYS: What to Watch: StL Fed Bullard, Feb FOMC Minutes
Feb-22 12:09
Tsy futures off London session lows, trading modestly higher/upper half overnight session range. StL Fed Bullard new addition to Fed speak docket: CNBC interview right now, sees "tough road ahead" on inflation, sees rates reaching 5.375% amid stronger than expected economy.
Otherwise market focus on Feb FOMC minutes at 1400ET.
- Mar/Jun roll drives heavier volumes (TYH3>625k).
- USH3 currently 124-11 (+8), 30YY 3.9569% -.0149 vs. 3.9840% overnight high.
- Yield curves taking another leg off last week's 40+ year inverted lows (-91.943), 2s10s currently +2.845 at -74.590.
US EURODLR FUTURES: Post-LIBOR Settle Update: Implied Hikes Inch Higher
Feb-22 12:01
Lead quarterly Mar'23 (EDH3) +.0025 at 94.8975 after 3M LIBOR set' climbs +0.00600 to new 16 year high of 4.92814% (+0.01285/wk).
- Fed funds implied hike for Mar'23 at 29.6bp, May'23 cumulative 54.5bp to 5.127%, Jun'23 70.3bp to 5.285%, terminal at 5.345% in Aug'23 vs. 5.37% high.
- Balance of Eurodollar Whites (EDM3-EDZ3) +0.020-0.025, Reds through Greens (EDH4-EDZ5) +0.030-0.010, Blues through Golds (EDH6-EDZ7) +0.010 to steady.
- Current deferred spds vs. prior settles:
- Jun'23/Sep'23: +0.100 vs. +0.105
- Mar'23/Red Mar'24: -0.1525 vs. -0.125
- Jun'23/Red Jun'24: -0.995 vs. -0.985
- Tuesday option roundup: Surge in low delta Treasury put options as FI markets return from extended holiday weekend Tuesday. Despite a rise in implied rate hike probability and terminal rate to 5.36%, SOFR options were little more mixed with a couple notable trades: over 35,000 short Jun'23 SOFR 95.75 straddles at 69.5 and buyer of over 11,000 Jul'23 SOFR95.37 calls.
