More Fun Facts with Crisis Period LIBOR
Some “Crisis” Period Libor I figured it was worth looking at some more LIBOR data. I picked on 7 banks: Barclays, Citi, UBS, JPM, RBS, DB and BOTM, largely to get a cross section from different countries. The first thing I did was look at the range of submissions for 3 month LIBOR. I took […]
The T Report: LIBOR, Spain, and High Yield Bonds
LIBOR This FSA report is a must read! Page 18 is where it gets really interesting. That is where it starts talking about “external” requests to manipulate the LIBOR fixings. The FSA clearly has the e-mails and chats and will go after the other counterparties. Some are contributors. I don’t see this story getting smaller, […]
Some Quick LIBOR Facts and Potential Implications
LIBOR is getting “Streakier” LIBOR if anything is becoming less volatile. Part of that is the fact that the Fed is at ZIRP and all banks are supported, but it is interesting to look at these streaks. It is the number of days in a row that LIBOR changed by less than 1 basis point […]
The T Report: LIBOR, Spain & Value of Economic Data
The Economic Data is the Easy Part If on the morning of May 19th you had been given advance copies of all the economic releases globally, could you have made money? It’s a strange question, but if you knew the data that was going to be coming out of the U.S., China, and Europe would […]
The Fed and LIBOR – The Biggest Manipulator of them All
The Fed does everything it can to keep Libor low This chart says it all. The Fed cannot affect LIBOR directly, but in general LIBOR trades in line with Fed Funds. You can see that historically as Fed Funds was changed, LIBOR responded appropriately. There was typically some small premium to reflect the “credit risk” […]
The T Report: La Eu et Le ECB sont á Faire la Lessive
Cleanest Dirty Shirt, Decoupling, or Two Ships Passing in the Night There are a couple of common refrains I hear and read about a lot lately. The theme is that the U.S. is the “cleanest dirty shirt” or that the U.S. economy is “decoupling”. What if that is already priced in and no longer true? […]
LIBOR: Everything You Want to Know, but were Afraid to Ask
How is LIBOR calculated? The BBA provides pretty detailed analysis of the process. The key here is what the rate is meant to be. The contributors, are supposed to submit a rate for each currency they contribute for overnight, one week, two week, and monthly out to a year. The rate is meant to be: […]
The Spanish Bank Bailout: Separating the Wheat from the Chaff
The Spanish Bank Bailout – What to Watch For Coupon and Maturity This is a key indicator of how aggressive Europe is being. Longer maturities and lower coupons are key. If we see 3 year loans at 5%, we get a very different message than 10 year loans at 3%. Lower coupon makes the current […]
The T Report: The U.S. is Not Europe
How Much Worse Would Our Budget Problems be Without the Fed? The biggest difference between what is going on in Europe and what is happening here, is the ability of the Fed to get rates where they want them across the entire curve. For all the talk about Spain and Italy not being “sustainable” at […]
