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LIBOR by any other Name Replies |
rffrydr
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rffrydr
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Location: Sunny California
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rffrydr
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Joined: 30 Oct 2005
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Location: Sunny California
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 Posted: Fri May 28, 2010 10:01 pm Post subject: |
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As below, curve-flattening, killed. Plenty of leverage still in the system by the measure of the selloff.
Citi with some encouraging words:
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Overview: We think that the recent spike in USD Libor rates is a structural
repricing rather than an indication of imminent financial disaster and as such
we feel that the flight-to-quality rally has gone too far.
Libor does not look too high at 0.55%, rather nominal and real yields now look
too low against a backdrop of the slow but steady recovery in the global
economy in our view.
NH
We do not think the current Libor levels, or indeed the recent moves, should
trigger further risk aversion. Equity markets are down between 15 and 20% on
the month, but they are still up between 15 and 20% on a year ago and 50% or
more from the lows. Such a correction is understandable given the pace of the
original move up and the fact that we are now likely to be facing a sustained
period of fiscal tightening that may slow the pace of the recovery. Meanwhile,
GDP growth continues to look encouraging, European sovereigns are finally
cementing more realistic fiscal packages, and even the UK’s latest budget
figures have shown cause for cautious optimism.
With bond yields close to all time lows, the funding burdens for many countries
should also be alleviated. This, we think, is a very important dynamic. In April
we had a falling Euro and rising bond yields among peripheral issuers. This
was a very worrying and dangerous dynamic. |
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rffrydr
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Joined: 30 Oct 2005
Posts: 16939
Location: Sunny California
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| Posted: Mon Dec 14, 2009 3:30 pm Post subject: |
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| Quote: | Howard Simons
Adding Duration
12/14/2009 11:36 AM EST
Tom, it is interesting how managers are adding duration. This sounds so much more professional than the plebian chasing of yield and therefore will end better as a result.
One of the things I was struck by was three- and six-month USD LIBOR hit its all-time low on Friday. This has placed the spread between 10-year UST and 3-month LIBOR near the all-time high of 339 basis points reached on August 7, 2009. As the risk-averse stay short on the "why bother?" trade, desperate buy-side managers are leveraging up once again.
I keep thinking this yield curve rubberband cannot be stretched more, and yet it keeps stretching further. All it will take for a violent unwind is for even a hint of reduced carry via higher short-term rates. |
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HenryTo
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Joined: 06 Aug 2004
Posts: 11740
Location: Los Angeles, California
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| Posted: Tue May 05, 2009 7:55 am Post subject: |
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LIBOR falls below 1% for the first time, while the LIBOR-OIS spread narrows to 74 basis points:
http://www.bloomberg.com/apps/news?pid=20601087&sid=ao4ARF0NvpOA
| Quote: | | Libor declined two basis points to 0.99 percent today, according to the British Bankers’ Association. The previous all- time low was 1 percent, reached in June 2003. The Libor-OIS spread, a gauge of banks’ reluctance to lend, narrowed today to the lowest level since Sept. 1. |
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rffrydr
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Posts: 16939
Location: Sunny California
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| Posted: Sun Oct 19, 2008 10:06 pm Post subject: |
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Now...if we could "reform" it away.
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HenryTo
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Joined: 06 Aug 2004
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Location: Los Angeles, California
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| Posted: Sun Oct 19, 2008 6:08 pm Post subject: |
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LIBOR expected to drop by about 50 bps on Monday's fixing:
http://online.wsj.com/article/SB122445523400648381.html?mod=todays_asia_nonsub_money_and_investing
| Quote: | Friday morning, J.P. Morgan Chase & Co. lent out between $10 billion and $15 billion in short-term funds to overseas peers at interest rates ranging from 3% to 4.5%, according to people familiar with the matter. The unsecured loans had maturities ranging from overnight to more than one month. Not long after that, other U.S. banks, including Citigroup Inc., followed suit.
The banks grew more comfortable because of recent European-government guarantees for banks and their liabilities, say market participants. Another reason was pending U.S. government infusions directly into U.S. banks, which would free up room on their balance sheets for making more loans.
The amounts lent out Friday weren't particularly large by banking standards, and, by any historical measure, credit markets remain largely closed. But at least some investors took the moves as a hopeful sign.
As soon as the J.P. Morgan sighting was reported Friday, Treasury bills, whose short maturities make them the safest paper on the market, lost ground. Selling out of the three-month bill sent the yield Friday shooting up to 0.803%, some 0.36 percentage points higher on the day.
It remains too early to tell whether the return to unsecured lending will continue. Until now, investors had anticipated a gradual loosening in lending constraints, assisted by international central banks' new strategy of auctioning unlimited supplies of dollars but hampered by the usual clampdown in the leadup to the quarter-end accounting period.
This week brings the second in these dollar auctions by major European central banks, which are offering unlimited supplies of 28-day loans. Tony Crescenzi, chief bond market strategist at Miller, Tabak & Co, cited the drop in seven-day Libor following last week's auction of unlimited seven-day funds to support his view that "the downward trend in Libor looks likely to continue." |
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rffrydr
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Location: Sunny California
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rffrydr
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Posts: 16939
Location: Sunny California
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| Posted: Fri Sep 19, 2008 7:38 am Post subject: |
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Rates coming in dramatically.
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rffrydr
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Joined: 30 Oct 2005
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Location: Sunny California
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| Posted: Sun Jan 13, 2008 1:36 pm Post subject: |
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LIBOR, the club, came into use so economic players could plan for short term central bank rates in the medium short term (esp. vs. overnight.)
Time for change? Now we have Fed Funds futures....now we have Fed Funds futures.
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