Haven’t been able find the latest total on USD swap lines advances by the Fed.
But at the last ECB tender they set the rate above ‘market rates’ and didn’t get a lot of takers for that reason.
I suspected that would leave the market short USDs and USD LIBOR would trade up until the next tender when the size would again pick up as shorts scramble to cover.
Seems to be happening.
ECB USD tender
| Time | Euro | (Euro change) | Sterling | (Sterling change) | Dollar | (Dollar change) |
| Overnight | 3.55625 | (-0.01125) | 4.56250 | (-0.01875) | 1.20625 | (+0.08750) |
| 1 Week | 3.92750 | (+0.03000) | 4.97500 | (-0.04375) | 2.19750 | (+0.02875) |
| 2 week | 4.04250 | (-0.00750) | 5.42500 | (-0.03750) | 2.55375 | (+0.03500) |
| 1 month | 4.58750 | (-0.00875) | 5.81125 | (-0.03375) | 3.25875 | (-0.01625) |
| 2 month | 4.73125 | (-0.01250) | 5.93750 | (-0.03500) | 3.38625 | (+0.00250) |
| 3 month | 4.91500 | (-0.01000) | 6.00500 | (-0.03375) | 3.53500 | (-0.00625) |
| 6 month | 4.99313 | (-0.01312) | 6.12500 | (-0.02250) | 3.53000 | (+0.04750) |
| 1 year | 5.05500 | (-0.02625) | 6.21875 | (-0.03500) | 3.50250 | (+0.07875) |
| 3 month LIBOR/OIS Spread (bps) | 171.60000 | (+8.500) | 219.40000 | (+0.100) | 251.85000 | (-0.275) |
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