3-mth dlr, euro, stg Libor rates reach new lows

inspector_monkfish

11:36 08Jul09 LIBOR THREE-MONTH DOLLAR RATES <USD3MFSR=> FIX AT 0.52500 PCT VS 0.53750 PCT - BBA

11:37 08Jul09 LIBOR THREE-MONTH EURO RATES FIX AT 1.00000 PCT <EUR3MFSR=> VS 1.01688 PCT - BBA

11:37 08Jul09 LIBOR THREE-MONTH STERLING RATES FIX AT 1.08188 PCT <GBP3MFSR=> VS 1.10813 PCT - BBA

11:43 08Jul09 3-mth dlr, euro, stg Libor rates reach new lows

LONDON, July 8 - The interbank cost of borrowing
dollar, euro and sterling funds for three months marked fresh
all-time lows on Wednesday, according to the latest daily fixing
from the British Bankers' Association.

The spreads of three-month London interbank offered rate
over OIS rates for sterling and dollars narrowed slightly while
the equivalent spread for euros held steady at 51 basis points.

The spread expresses the three-month premium paid over
anticipated central bank rates, or Overnight Index Swap rates
and is seen as a gauge of banks' willingness to lend to each
other -- a wider spread is seen as an indication of decreased
inclination to lend.

Below is a table of the London interbank offered rates
(Libor) for dollar, euro and sterling funds in percentage terms,
with the change from the previous session in parentheses.

EURO STERLING DOLLAR
O/N 0.28125 (-0.15125) 0.54375 (+0.00000) 0.25125 (-0.00750)
1WK 0.39000 (-0.01125) 0.56250 (-0.00750) 0.27625 (-0.00313)
2WK 0.44375 (-0.02125) 0.58375 (-0.00375) 0.28563 (-0.00125)
1MO 0.60250 (-0.03250) 0.61750 (-0.00750) 0.30000 (-0.00188)
2M0 0.80625 (-0.02250) 0.87875 (-0.03000) 0.37625 (-0.01250)
3MO 1.00000 (-0.01688) 1.08188 (-0.02625) 0.52500 (-0.01250)
6MO 1.24250 (-0.01125) 1.31438 (-0.02812) 1.00500 (-0.01750)
1YR 1.43750 (-0.01313) 1.61063 (-0.02437) 1.49375 (-0.01750)
3MTH LIBOR/OIS SPREAD (BPs)
51 (unch) 69 (-2) 33 (-1)

Thrugelmir

inspector_monkfish wrote: »

11:36 08Jul09 LIBOR THREE-MONTH DOLLAR RATES <USD3MFSR=> FIX AT 0.52500 PCT VS 0.53750 PCT - BBA

11:37 08Jul09 LIBOR THREE-MONTH EURO RATES FIX AT 1.00000 PCT <EUR3MFSR=> VS 1.01688 PCT - BBA

11:37 08Jul09 LIBOR THREE-MONTH STERLING RATES FIX AT 1.08188 PCT <GBP3MFSR=> VS 1.10813 PCT - BBA

11:43 08Jul09 3-mth dlr, euro, stg Libor rates reach new lows

LONDON, July 8 - The interbank cost of borrowing
dollar, euro and sterling funds for three months marked fresh
all-time lows on Wednesday, according to the latest daily fixing
from the British Bankers' Association.

The spreads of three-month London interbank offered rate
over OIS rates for sterling and dollars narrowed slightly while
the equivalent spread for euros held steady at 51 basis points.

The spread expresses the three-month premium paid over
anticipated central bank rates, or Overnight Index Swap rates
and is seen as a gauge of banks' willingness to lend to each
other -- a wider spread is seen as an indication of decreased
inclination to lend.

Below is a table of the London interbank offered rates
(Libor) for dollar, euro and sterling funds in percentage terms,
with the change from the previous session in parentheses.

EURO STERLING DOLLAR
O/N 0.28125 (-0.15125) 0.54375 (+0.00000) 0.25125 (-0.00750)
1WK 0.39000 (-0.01125) 0.56250 (-0.00750) 0.27625 (-0.00313)
2WK 0.44375 (-0.02125) 0.58375 (-0.00375) 0.28563 (-0.00125)
1MO 0.60250 (-0.03250) 0.61750 (-0.00750) 0.30000 (-0.00188)
2M0 0.80625 (-0.02250) 0.87875 (-0.03000) 0.37625 (-0.01250)
3MO 1.00000 (-0.01688) 1.08188 (-0.02625) 0.52500 (-0.01250)
6MO 1.24250 (-0.01125) 1.31438 (-0.02812) 1.00500 (-0.01750)
1YR 1.43750 (-0.01313) 1.61063 (-0.02437) 1.49375 (-0.01750)
3MTH LIBOR/OIS SPREAD (BPs)
51 (unch) 69 (-2) 33 (-1)

So can this be read as QE beginning to have an impact on liquidity in the banking system?

inspector_monkfish

Thrugelmir wrote: »

So can this be read as QE beginning to have an impact on liquidity in the banking system?

well, markets are certainly very liquid in short end
nothing really going on in longer periods
thats just because banks are hoarding it still, and dumping back at the Central Banks daily

inspector_monkfish

11:29 09Jul09 LIBOR THREE-MONTH DOLLAR RATES <USD3MFSR=> FIX AT 0.51000 PCT VS 0.52500 PCT - BBA
11:30 09Jul09 IBOR THREE-MONTH EURO RATES FIX AT 0.99250 PCT <EUR3MFSR=> VS 1.00000 PCT - BBA
11:30 09Jul09 LIBOR THREE-MONTH STERLING RATES FIX AT 1.06250 PCT <GBP3MFSR=> VS 1.08188 PCT - BBA


11:39 09Jul09 3-mth dlr, euro, stg Libor rates mark fresh lows

LONDON, July 9 - The interbank cost of borrowing
dollar, euro and sterling funds for three months marked fresh
lifetime lows on Thursday, according to the latest daily fixing
from the British Bankers' Association.

The fixings came just ahead of the monthly interest rate
decision from the Bank of England. The central bank is expected
to leave rates at a historic low 0.5 percent at 1100 GMT but
investors are looking for any news on how much bond buyback the
Bank of England may conduct to inject liquidity. [BOE/INT]

The spreads of three-month London interbank offered rate
over OIS rates for sterling and dollars narrowed slightly while
the equivalent spread for euros widened.

The spread expresses the three-month premium paid over
anticipated central bank rates, or Overnight Index Swap rates
and is seen as a gauge of banks' willingness to lend to each
other -- a wider spread is seen as an indication of decreased
inclination to lend.

Below is a table of the London interbank offered rates
(Libor) for dollar, euro and sterling funds in percentage terms,
with the change from the previous session in parentheses.

EURO STERLING DOLLAR
O/N 0.26500 (-0.01625) 0.54500 (+0.00125) 0.24813 (-0.00312)
1WK 0.38125 (-0.00875) 0.55875 (-0.00375) 0.27563 (-0.00062)
2WK 0.43250 (-0.01125) 0.58125 (-0.00250) 0.28375 (-0.00188)
1MO 0.58875 (-0.01375) 0.61125 (-0.00625) 0.29625 (-0.00375)
2M0 0.79625 (-0.01000) 0.86125 (-0.01750) 0.36750 (-0.00875)
3MO 0.99250 (-0.00750) 1.06250 (-0.01938) 0.51000 (-0.01500)
6MO 1.23500 (-0.00750) 1.28875 (-0.02563) 0.98563 (-0.01937)
1YR 1.43125 (-0.00625) 1.59125 (-0.01938) 1.47500 (-0.01875)
3MTH LIBOR/OIS SPREAD (BPs)
52 (+1) 66 (-3) 32 (-1)

inspector_monkfish

11:38 10Jul09 LIBOR THREE-MONTH STERLING RATES FIX AT 1.04500 PCT <GBP3MFSR=> VS 1.06250 PCT - BBA
11:39 10Jul09 LIBOR THREE-MONTH DOLLAR RATES <USD3MFSR=> FIX AT 0.50500 PCT VS 0.51000 PCT - BBA
11:39 10Jul09 LIBOR THREE-MONTH EURO RATES FIX AT 0.97875 PCT <EUR3MFSR=> VS 0.99250 PCT - BBA

LONDON, July 10 - The interbank cost of borrowing
dollar, euro and sterling funds for three months marked fresh
lifetime lows on Friday, according to the latest daily fixing
from the British Bankers' Association.

The fixings came a day after the Bank of England decided not
to expand its 125 billion pound asset buying scheme, raising
questions about whether it was ending its quantitative easing
programme or just pausing.

Gilt yields have jumped on the back of the decision with the
10-year gaining more than 20 basis points to 3.8 percent
<GB10YT=RR>.

The spreads of three-month London interbank offered rate
over OIS rates for sterling and euros narrowed slightly while
the equivalent spread for dollars held steady.

The spread expresses the three-month premium paid over
anticipated central bank rates, or Overnight Index Swap rates
and is seen as a gauge of banks' willingness to lend to each
other -- a wider spread is seen as an indication of decreased
inclination to lend.

Below is a table of the London interbank offered rates
(Libor) for dollar, euro and sterling funds in percentage terms,
with the change from the previous session in parentheses.

EURO STERLING DOLLAR
O/N 0.26875 (+0.00375) 0.54500 (+0.00000) 0.24313 (-0.00500)
1WK 0.37250 (-0.00875) 0.55750 (-0.00125) 0.27125 (-0.00438)
2WK 0.42500 (-0.00750) 0.57625 (-0.00500) 0.28000 (-0.00375)
1MO 0.58500 (-0.00375) 0.60625 (-0.00500) 0.29250 (-0.00375)
2M0 0.78188 (-0.01437) 0.84375 (-0.01750) 0.35750 (-0.01000)
3MO 0.97875 (-0.01375) 1.04500 (-0.01750) 0.50500 (-0.00500)
6MO 1.23000 (-0.00500) 1.27000 (-0.01875) 0.96750 (-0.01813)
1YR 1.42688 (-0.00437) 1.57000 (-0.02125) 1.45625 (-0.01875)

3MTH LIBOR/OIS SPREAD (BPs)
51 (-1) 64 (-2) 32 (UNCH)

michaels

Do you have access to historic rates? HSBC did not pass on either of the last two interest rate cuts to their svr and I was wondering how much libor has fallen since then (IE how much extra profit they are making)

Thrugelmir

michaels wrote: »

Do you have access to historic rates? HSBC did not pass on either of the last two interest rate cuts to their svr and I was wondering how much libor has fallen since then (IE how much extra profit they are making)

Libor is set the rate that banks lend to each other. Why do you think it influences the margin on SVR?

inspector_monkfish

michaels wrote: »

Do you have access to historic rates? HSBC did not pass on either of the last two interest rate cuts to their svr and I was wondering how much libor has fallen since then (IE how much extra profit they are making)

yes i do.
what dates do u want to know?

chucky

michaels wrote: »

Do you have access to historic rates? HSBC did not pass on either of the last two interest rate cuts to their svr and I was wondering how much libor has fallen since then (IE how much extra profit they are making)

Thrugelmir wrote: »

Libor is set the rate that banks lend to each other. Why do you think it influences the margin on SVR?

the below gives you an indication of what is happening to spreads in the market - it's for Fixed rate deals not SVR's but shows that the banks are absorbing extra profit on deals by not passing on the margins.


http://www.gscape.com/images/econ/charts/fixedratespreads.gif

inspector_monkfish

michaels wrote: »

Do you have access to historic rates? HSBC did not pass on either of the last two interest rate cuts to their svr and I was wondering how much libor has fallen since then (IE how much extra profit they are making)

last boe rate cut was March 5th from 1.00pct to 0.50pct
on that date 3mth Libor was 1.99pct, today it is 1.045pct
6mth was 2.18pct, today it is 1.27pct
12mth was 2.33pct, today it is 1.57pct

boe rate cut before that was on Feb 5th from 1.50pct to 1.00pct
on that date, 3mth Libor was 2.15pct
6mth was 2.33pct
12mth was 2.47pct

hope that helps vent your frustration !!

purch

Libor is set the rate that banks lend to each other

....or at the moment don't :eek:

Why do you think it influences the margin on SVR?

Forumonics !!! :rolleyes: