LIBOR Archive

Thoughts on the fx swap lines data releases

>    >   (email exchange) >    >    On Thu, Dec 2, 2010 at 3:51 AM, Mike wrote: >    >   It seems it was around 7 trillion notional. Do you know the durations? >    No, haven’t read any details. I recall they were relative short but were extended maybe more than once. >    >   If they didn’t ...Read More

what is gong on with swap spreads this am?

Fed also re opening swap lines to ECB – looks ready to do more unsecured dollar lending to them and maybe others. They look to be doing what they did last time around to keep libor down – lend unsecured to bad credits. High risk but it does get rates down. On ...Read More

Bank Regulation and LIBOR

Too big to fail should not mean restricted liquidity. Hopefully they don’t use the liability side of banking for market discipline. But as they don’t even know what a bank is and are in this way over their heads they might! >    >   (email exchange) >    >   On Tue, Apr 27, 2010 at 8:09 ...Read More


[Skip to the end] Closing at the tights of the day. One of the only ways to hedge higher tax rates. BMA/LIBOR mids Start Term Frequency Gross Net MBA Fwd Hedge Cost Floor Wgt Cap Wgt 5.00 5.00 12 98.74% 90.56% -8.18% 3.996% 60.5 -62.6 5.00 10.00 12 102.13% 92.92% 4.032% -9.21% ...Read More

10 yr AAA muni vs LIBOR

[Skip to the end] Munis have nearly retraced the entire move higher in spreads: [top] ...Read More

AGY MBS UPDATE: 08/12/08

[Skip to the end] On Tue, Aug 12, 2008 at 5:18 PM, Andrew wrote: AGY MBS UPDATE: 08/12/08 General Themes: Mortgages were weaker to dealer hedge ratios – versus CXLs they were down only -5cents The small CXL daily price change masks what was a pretty bad performance for mortgages Dealer OAS’s ...Read More

Bloomberg: Fed can’t reduce LIBOR

I could fix this in twenty minutes… Money Market `Plagued’ by Libor That Fed Can’t Reduce by Gavin Finch (Bloomberg) A year after central banks started to pump trillions of dollars into the financial system to end a seizure in credit markets caused by subprime mortgages, cash is about as tight as ...Read More

Re: Fed study on TAF

[Skip to the end] >     >    On Tue, Jul 29, 2008 at 4:05 AM, Andrea wrote: >     >    In case you haven’t seen this yet: A Fed study that finds that >    Taf has lowered Libor. >     > >     >     right, thanks, as if they needed to fund a study to figure that out! It’s ...Read More

Fed Paper: “The Effect of the Term Auction Facility on the London Inter-Bank Offered Rate”

[Skip to the end] Hardly need a study to figure that out! This paper from the NY Fed was just released: The Effect of the Term Auction Facility on the London Inter-Bank Offered Rate Summary: This paper examines the effects of the Federal Reserve’s Term Auction Facility (TAF) on the London Inter-Bank ...Read More

Yellen the Dove on inflation

“Inflation is a problem,” she said. Yet the problem isn’t excessive demand, rising wages, or a tight labor market, but “negative supply shocks.” Once the shocks wear off, the inflation rate can’t be sustained in the long run without a pick-up in wage growth, she said. “There’s no textbook answer to what ...Read More