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New record lows in the Calendar spreads

EURIBOR
  • Front Euribor (ERU4) is sold in over 5k, but as noted multiple times, the ERZ4 is the standout expiry this Month, not only sees better elevated volumes in that expiry, but it is seeing continued flattening interest versus the rest of the Strip, despites steeper Curve in Germany's 2/5s, 2/10s, 10/30s, and 5/30s today.
  • ERZ4/ERH5 spread has been sold and has traded for 26.5k outright spreads, with likely more done on legs.ERZ4 vs the rest of the strip falls lower
  • Bund and Treasuries have faded off their respective highs.

Chart source: MNI/Bloomberg.

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