LIBOR still dropping...

inspector_monkfish

14:31 04Sep09 SWAPS: GBP Curve Poised to Move Steeper?

[13:31 SWAPS: GBP Curve Poised to Move Steeper?] London, September 04

The GBP curve has resisted the softer tone noted from the better than
expected US jobs data. The loss of 216k jobs was inside the consensus forecasts of 276k. Gilts have drifted higher after a mid afternoon pause with the curve making a parallel shift. Switches have been contained in a narrow trading range with 2s/10s pitched at a mid point of 204 bp with 10s/30s marked at 11.25 bp. Volumes continue to be thin with dealers expecting the curve to move steeper as support wanes.

Jacka87

What the hell happened to the swap rates!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!1

I just went onto see how they where doing as they have been stable (if anything gradually falling) in the last month or so. I looked at them today and they are rediculous!!!

http://www.swap-rates.com/UKSwap_extended.html

Tho I am confused as there are 2 bars that are usually the most recent levels and they are coming up with the same date at the moment yet showing very different numbers!

According to the graphs 5yr swaps have went from 3.5% to 5.2% in month yet they have dropped back to 3.34% for the most recent bar of the graph, even tho that has the same date as the 5.2% against it????

Can somebody explain? Was there some sort of crazy banking that caused the swap rates to suddnly shhot up then fall back down again? The lower 3.34% see,s to follow the trend for the last few months but the huge jump seems to be against all the swaps?

Confused???

RufusA

Jacka87 wrote: »

What the hell happened to the swap rates!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!1

Looks like a glitch on their website, rather than frantic futures activity. Have you tried contacting them?

Rufus.

inspector_monkfish

10:01 07Sep09 SWAPS: GBP Curve Trading in a Narrow Range

London, September 07

A cautious start to the week for the GBP curve in thin markets due to the US
Labour Day holiday. Talk of the Bank of England charging for holding reserves in
an attempt to force banks to feed cash back into the system has vied with
stronger equity space led by Friday"s payroll numbers. Outright yields are a
touch lower and the curve steeper but volumes remain light. Auction hangover is still prevalent in the long end with receivers noted in the 30-year. The belly of the curve has seen some two way flow. A British name has been a modest duration bid in the 4 to 6-year area. 2s/10s reached an early peak of 206.75 bp before easing back to 206 bp on the back of short sterling profit taking.

inspector_monkfish

LIBORs 7th Sep

3mth 0.65688
6mth 0.8675
12mth 1.1875

(all down about 1pt)

inspector_monkfish

since the last BOE base rate cut on 5th March, from 1.00pct to 0.50pct....

3mth LIBOR has fallen 133 basis pts
6mth LIBOR has fallen 131 basis pts
9mth LIBOR has fallen 124 basis pts
12mth LIBOR has fallen 114 basis pts

inspector_monkfish

LIBORs 8th Sep

3mth 0.64938
6mth 0.86125
12mth 1.18375

all down between 1/2 and 1pt

inspector_monkfish

LIBORs 9th Sep

3mth 0.64125
6mth 0.85625
12mth 1.1775

all down another point(ish)

morg_monster

Hi
probably a question that has already been answered in this thread somewhere, but what was the gap between BOE rate and LIBOR rate (I guess 3m?) before this whole credit crunch malarkey kicked off? Thinking absolute difference, but maybe relative is more important. IE, will the drops in LIBOR slow/stop soon purely because the rates are getting back to historical "normal" in terms of difference at least?

inspector_monkfish

morg_monster wrote: »

Hi
probably a question that has already been answered in this thread somewhere, but what was the gap between BOE rate and LIBOR rate (I guess 3m?) before this whole credit crunch malarkey kicked off? Thinking absolute difference, but maybe relative is more important. IE, will the drops in LIBOR slow/stop soon purely because the rates are getting back to historical "normal" in terms of difference at least?

here are a selection of 3mth LIBORs on certain dates, going back to August 2007, and incorporating dates where rates were cut....

31/08/07 base rate 5.75 3mth LIBOR 6.6925 (+0.9425)
12/09/07 base rate 5.75 3mth LIBOR 6.9025 (+1.1525)
28/09/07 base rate 5.75 3mth LIBOR 6.3038 (+0.5538)
06/12/07 base rate 5.50 3mth LIBOR 6.6425 (+1.1425)
31/12/07 base rate 5.50 3mth LIBOR 5.9938 (+0.4938)
23/01/08 base rate 5.50 3mth LIBOR 5.4838 (-0.0162) LOW
07/02/08 base rate 5.25 3mth LIBOR 5.5844 (+0.3344)
14/04/08 base rate 5.00 3mth LIBOR 5.93 (+0.93)
14/07/08 base rate 5.00 3mth LIBOR 5.82625 (+0.82625)
30/09/09 base rate 5.00 3mth LIBOR 6.30 (+1.30)
08/10/08 base rate 4.50 3mth LIBOR 6.27125 (+1.77125)
10/10/08 base rate 4.50 3mth LIBOR 6.2875 (+1.7875) PEAK
06/11/08 base rate 4.50 3mth LIBOR 5.5613 (+1.0613)
07/11/08 base rate 3.00 3mth LIBOR 4.4963 (+1.4963)
04/12/08 base rate 3.00 3mth LIBOR 3.71875 (+0.71875)
05/12/08 base rate 2.00 3mth LIBOR 3.3775 (+1.3775)
08/01/09 base rate 2.00 3mth LIBOR 2.5025 (+0.5025)
09/01/09 base rate 1.50 3mth LIBOR 2.3838 (+0.8838)
05/02/09 base rate 1.50 3mth LIBOR 2.15 (+0.65)
06/02/09 base rate 1.00 3mth LIBOR 2.1425 (+1.1425)
05/03/09 base rate 1.00 3mth LIBOR 1.99 (+0.99)
06/03/09 base rate 0.50 3mth LIBOR 1.95063 (+1.45063)
22/04/09 base rate 0.50 3mth LIBOR 1.49875 (+0.99875)
19/06/09 base rate 0.50 3mth LIBOR 1.23938 (+0.73938)
15/07/09 base rate 0.50 3mth LIBOR 0.99213 (+0.49213)
19/08/09 base rate 0.50 3mth LIBOR 0.73938 (+0.23938)
09/09/09 base rate 0.50 3mth LIBOR 0.64125 (+0.14125)

hope that helps