LIBOR still dropping...

inspector_monkfish

LIBORs 19th June

3mth 1.23938 (down 1pt)
6mth 1.46188 (down 1pt)
12mth 1.74438 (unchanged)

inspector_monkfish

LIBORs 22nd June

3mth 1.22875 (down 1pt)
6mth 1.45125 (down 1pt)
12mth 1.73625 (down 1pt)

foreversummer

What are swap rates doing today and how often are they updated?

The site I use which was recommended on this board only seems to update them every two - four days.

I really enjoy your updates Inspector Monkfish, keep up the good work!

Foreversummer

inspector_monkfish

foreversummer wrote: »

What are swap rates doing today and how often are they updated?

The site I use which was recommended on this board only seems to update them every two - four days.

I really enjoy your updates Inspector Monkfish, keep up the good work!

Foreversummer

09:40 22Jun09 SWAPS: GBP Curve Treads Water Ahead of Next QE Buying

[08:39 SWAPS: GBP Curve Treads Water Ahead of Next QE Buying] London, June 22

Thin volume exaggerated the underlying bid this morning as the market had little to focus on. Traders were most concerned the next round of QE action where the Bank of England will purchase GBP3.5bn 11 to 23-year assets. Pricing was arduous however with little appetite noted for the intermediate sector which had drawn healthy support late last week. BAT International Finance, rated has mandated BNPP, Deutsche and HSBC for a GBP 13-year benchmark but the market is waiting for the next round of buybacks to pass before looking to handle the issue. 2s/10s eased off of the 189 bp open as the short end absorbed the early buying. 10s/30s was marked a touch steeper in compensation for the short end drift. The mid was last quoted at 7.5 bp.

crispy2_2

foreversummer wrote: »

What are swap rates doing today and how often are they updated?

5 YEAR RATES 22nd June
Swap 3.66
Gilt 2.63

Here is my latest chart:



Swap rates are from the FT Data Archive, updated each night at around 5-6pm.

inspector_monkfish

LIBORs 23rd June

3mth 1.22125 (down almost 1pt)
6mth 1.44250 (down 1pt)
12mth 1.7275 (down 1pt)

inspector_monkfish

10:52 23Jun09 SWAPS: GBP Auction Results Fail to Excite

[09:52 SWAPS: GBP Auction Results Fail to Excite] London, June 23

The underlying curve is trading a touch lower as the market digests a soft showing at the auction. Cover was a tepid 1.69 against the last 1.8 cover.

Sources cited that the increased size of GBP4bn will have diluted the results but in general the sale looks to be disappointing. Swappers stepped into the fray as the results left traders with little concern. Duration grab led short sterling players into the short end with payers of 2s/3s. Quotes got as low as 67/68 bp before technicals triggered more buying as the switch touched historical highs to drive quotes out to 69 bp. 10-year saw some light flow at 4.19% from some EUR/GBP unwinds into the steepening of 2s/10s at 193.75 bp.

inspector_monkfish

LIBORs 24th June

3mth 1.21438
6mth 1.43563
12mth 1.7200

all down just under 1pt each

inspector_monkfish

12:03 24Jun09 Key US Dollar Libor Rate Hits Record Low



LONDON - The cost of borrowing longer-term U.S. dollars in the London interbank market headed lower Wednesday in subdued activity, with the key three-month rate falling to its lowest level since the British Bankers' Association first introduced Libor fixings back in 1986.

Market participants await the Federal Open Market Committee's interest rate decision and statement, due around 1815 GMT, for any development in the Fed's quantitative easing program.

The Federal Reserve is widely expected to leave its Fed funds target rate unchanged at zero-to-0.25%.

Analysts at UniCredit said the accompanying statement "will at best contain some minor changes."

"The Fed will pledge to keep interest rates at exceptionally low levels for an extended period, while the long-term asset purchase program is unlikely to be modified," they added.

Data from the British Bankers' Association showed three-month dollar Libor, seen as a key gauge of the effectiveness of the Federal Reserve's monetary policy, moved down to 0.60438% from Tuesday's 0.6075%.

The three-month rate peaked at 4.81875% on Oct. 10.

The one-month Libor rate slipped to 0.31125% from 0.31375%, while the overnight rate edged lower to 0.27563% from Tuesday's 0.2775%, but remained above the Federal Reserve's Fed funds target range of zero-to-0.25%.

According to current valuations in eurodollar futures contracts, Libor rates are expected to move higher over the next three months.

The September eurodollar contract trades around 99.28, indicating that the BBA three-month Libor rate will have risen to 0.72% by the contract expiry date, Sept. 15.

The three-month BOR/OIS spread, a gauge of stress in the money markets, narrowed marginally to 36.8 basis points from Tuesday's 36.9bps.

The spread has tightened significantly from its widest point of 366.0 bps, seen on Oct. 10 when interbank market tensions peaked.

Term lending rates in the U.K. were lower Wednesday.

The key three-month sterling Libor dropped to a new record low of 1.21438% from Tuesday's 1.22125%, while the one-month rate edged down to 0.65875% from 0.66%.

The three-month sterling Libor rate peaked at 6.3075% on Oct. 1.

The overnight rate remained unchanged at 0.55%, holding above the BOE's Bank Rate of 0.50%.

Term euro Libor rates headed lower after the European Central Bank's inaugural unlimited long-term repurchase operation, where banks were able to secure 12-month funding at the refinancing rate of 1.0%.

The ECB allotted EUR442.24 billion in the fixed-rate tender to a total of 1,121 bidders. The Bank also allocated EUR6.431 billion in three-month funding at 1.0%.

The key three-month euro Libor rate fell to a record low of 1.185% from Tuesday's 1.21063%.

The one-month rate dropped to 0.84375% from 0.89938%, while the overnight rate climbed to 1.275% from Tuesday's 0.685%, moving above the ECB's refinancing rate of 1.0%, and the deposit facility rate of 0.25%.

Analysts at BNP Paribas said the overnight rate will likely head lower as the 12-month funding operation will lead to a large extension of excess liquidity.

inspector_monkfish

LIBORs 25th June

3mth 1.20375
6mth 1.42375
12mth 1.7075

all down just over 1pt each