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ERZ4/ERH5 spread at record low

EURIBOR
  • ERH4 was bought earlier, pre ECB Stournaras comment (one of the most Dovish member) in 5.5k, and although the front is seeing some buying, the strip leans flatter, with interest in selling spreads.
  • ERZ3/ERH4 spread, traded in 18.2k outright, trading at -15.5 after settling at -13.5.
  • Other notable spreads, are seller of the ERH4/ERM4, this has traded in 15.1k.
  • ERM4/ERU4 also traded in 10.7k, ERU4/ERZ4 in 16k,
  • On the buy side, interest in ERZ4/H5, traded in 15.2k, and ERZ4/Z5 in 18.2k.
  • Worth noting that the ERZ4/H5 trades at its record low of -21.

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