Wednesday, 23 May 2012

Greek Worries Flatten Eurodollar Yield Curve


Closely watched 1-yr calendar spread in Eurodollar futures is more compressed compared to Tuesday, part of the broader curve flattening that's occurred because of fears that Greece might abandon the euro. December 2014 futures recently priced in a rate 27 BP above the rate priced into the December 2013 Eurodollar contract. Same spread at 30 BP Tuesday.

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