ITC Eurodollars & Fixing Calls [Sample]

Broker Fixing calls- cont’d focus on $3ml. It was all about the Libor fix again on Monday- EDM8 was lifted on ~27k from 97.69 up to 97.71, the highest since April 2nd, after 3m Libor fixed -1.25bps at 2.33. The narrowing in FRAOIS has intensified after consecutive 3m libor decline of over 1bps. Spot L-OIS is down to 45.5bps, 5bps tighter on the week while the June IMM traded ~33.5bps on Tuesday, the tightest since mid-February. The outperformance in the whites steepened some of the 1y calendars to local highs.

3m€ -0.326, 1s -0.371, 6s -0.271

3m$  2.325, 1s 1.939,  6s 2.500

3m£  0.648, 1s 0.499,  6s 0.758

[NB – our Fixed Income team produces this commentary, along with fixing calls, on a daily basis. Click here for a free trial]