LIBOR still dropping...

dannykos

check https://www.swap-rates.com

crispy2_2

Here's a chart I created based on weekly 5 year swap stlg data from FT.

docs.google.com/File?id=dgdxqcx_1d95hx4ct_b [sorry, I'm a new user and can't post with links]

Source data is from FT Markets Data -> Research Data Archive (select bonds & rates / interest rate swaps)

My understanding is that 5 year fixed rate mortgages are priced based on these £ 5 year swaps, with perhaps a month lead time to set up the contract, and a 1-2% profit margin on the top. Is this right?

humfer

What is the best way to view what the city's view on where BoE interest rates will be in 12 months time? In this LIBOR or something else?

inspector_monkfish

humfer wrote: »

What is the best way to view what the city's view on where BoE interest rates will be in 12 months time? In this LIBOR or something else?

certainly not LIBORs at the moment!!
i think the City is too afraid to look beyond anything further than 1 month at a time lately

crispy2_2

humfer wrote: »

What is the best way to view what the city's view on where BoE interest rates will be in 12 months time? In this LIBOR or something else?

You should be able to use interest rate futures and swap futures to get a view on how the city views the future of interest rates. These are listed on the FT site for contracts to June, at present. So I guess this is a month out, not 12 months.

FT Markets Data -> Research Data Archive (select bonds & rates / interest rate swaps futures, or interest rate futures)

Unfortuantely I have no idea how to read these numbers. What does a interest rate swap future of 115 mean?

inspector_monkfish

crispy2 wrote: »

You should be able to use interest rate futures and swap futures to get a view on how the city views the future of interest rates. These are listed on the FT site for contracts to June, at present. So I guess this is a month out, not 12 months.

FT Markets Data -> Research Data Archive (select bonds & rates / interest rate swaps futures, or interest rate futures)

Unfortuantely I have no idea how to read these numbers. What does a interest rate swap future of 115 mean?

Sorry, IRS are not really my bag, but maybe these will help:

http://en.wikipedia.org/wiki/Interest_rate_swap

http://www.mysmp.com/video/bonds/interest-rate-swaps-explained.html

inspector_monkfish

LIBORs 06/05

3mth 1.43125 (down 1/2pt)
6mth 1.63625 (down 1pt)
12mth 1.89750 (down 1/4pt)

inspector_monkfish

LIBORs 07/05

3mth 1.4275 (down 1/2pt)
6mth 1.62813 (down 1pt)
12mth 1.89713 (unchanged)

inspector_monkfish

LIBORs 08/05

3mth 1.42063 (down 3/4pt)
6mth 1.62188 (down 3/4pt)
12mth 1.89563 (down 1/4pt)

crispy2_2

It's really interesting. Libor is dropping, but long term borrowing has shot up in cost over the last two days. Here is my graph of 5 year swap rates, updated weekly from FT:

docs.google.com/File?id=dgdxqcx_2dsz47pg3_b

5th May: 3.16
6th May: 3.23
7th May: 3.35