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Euribor calendar spreads unwind off their lows

EURIBOR
  • There was some notable interest Yesterday in selling spreads, with some of the notable flows noted in ERZ3/ERH4, and ERZ3/ERZ4.
  • ERZ3/ERZ4 printed its lowest level since the 6th June Yesterday.
  • ERZ3/ERH4 was the lowest since 21st June.
  • ERZ3/ERM4 was the lowest since 22nd June.
  • All these spreads are unwinding this morning, helps explain the better volumes in early trades.

Chart source: MNI/Bloomberg

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