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Some unwinds in the Calendar spreads

EURIBOR
  • The Highlighted Euribor Calendar spreads, especially selling the ERZ4 against the rest of the strip, all the way to H7 is seeing some unwind, not too surprising given some of the massive moves with the spreads reaching continued fresh record lows of late, and the ECB in mind.Today, the ERZ4 is bid against the mentioned strip.
  • There's similar price action in the ERZ4/Ted spread (vs the 2yr Schatz), buying ERZ4.

Chart source: MNI/Bloomberg.

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