Barclay’s: The Keystone Cops of LIBOR Manipulation

Posted by on Jul 11, 2012 in Uncategorized | No Comments

Was Barclay’s Incompetent When Dealing with FSA? Here is the FSA’s report from June 27th. I will admit when I first looked at it, it seemed pretty damning. The dialogue was awful and the charts looked bad. But as I look through the details I have to say, Barclay’s seems incompetent in its own defense. […]

Spanish Financial Sector MOU – Analysis

Posted by on Jul 10, 2012 in Uncategorized | No Comments

Spain MOU: I give it a C+ or B- The devil is in the details and we finally have the Spanish Bank rescue details. The cost is not mentioned. We do not know the cost of the borrowing or how long it will last for. That ultimately will be key. Short dated, high coupon loans […]

More Fun Facts with Crisis Period LIBOR

Posted by on Jul 10, 2012 in Uncategorized | No Comments

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

Posted by on Jul 10, 2012 in Uncategorized | No Comments

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

Posted by on Jul 9, 2012 in Uncategorized | No Comments

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

Posted by on Jul 9, 2012 in Uncategorized | No Comments

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

Posted by on Jul 4, 2012 in Uncategorized | No Comments

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

Posted by on Jul 4, 2012 in Uncategorized | No Comments

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

Posted by on Jul 3, 2012 in Uncategorized | No Comments

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: […]