Libor

October 22nd, 2008 7:21 am | by John Jansen |

                 10/22        10/21      Change                     
OVERNIGHT       1.11875      1.28125    -.16250
1 WEEK          2.16875      2.43750    -.26875
2 WEEKS         2.51875      2.76875    -.25000
1 MONTH         3.27500      3.52750    -.25250
2 MONTH         3.38375      3.69750    -.31375
3 MONTH         3.54125      3.83375    -.29250
4 MONTH         3.50125      3.77125    -.27000
5 MONTH         3.49000      3.73125    -.24125
6 MONTH         3.48250      3.70000    -.21750
9 MONTH         3.45250      3.66875    -.21625
12 MONTH        3.42375      3.60188    -.17813

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  1. 6 Responses to “Libor”

  2. By Terminal on Oct 22, 2008 | Reply

    FT this morning comes round to the view I expressed here several days ago of a possible rerun of the ’97 Asian crisis, expanded to include more emerging markets.

    No one blinked when the won fell another 3% overnight as major currencies are falling even more just now.

    3M Libor-OIS spreads today actually increased slightly for the Euro and substantially for Sterling, but in both cases are not as wide as for the dollar, despite improvement there.

  3. By Dr.Dan on Oct 22, 2008 | Reply

    Terminal,

    This time around they seem to have lot of reserves. How can you parallel with the 97 crisis ?

    Could you please explicate ?

  4. By Terminal on Oct 22, 2008 | Reply

    My own observation is based on the behaviour of the currency and debt markets where the ’97 crisis originated.
    When and if this becomes more grave, there will be many explanations, but then most of the damage will be done.
    For one reasonable economic explanation of the roots of the problem see the comments of Sean Corrigan, chief investment strategist at Diapason as reported in FT Alphaville today under Emerging (markets) squeeze

  5. By yagij on Oct 22, 2008 | Reply

    If LIBOR comes down and yet no one borrows/lends, does it really make an impact?

  6. By Confused on Oct 22, 2008 | Reply

    It may not make a difference for the interbank lending – but it does make an impact because many loans (between banks and customers) are driven off of LIBOR?

  7. By Owe Jessen on Oct 22, 2008 | Reply

    @ Dr. Dan: I suppose there is a possibility of a spreading into emerging markets even with much stronger fundamentals, mainly for two reasons: Diminishing growth outlook because of declining imports from europe and us, and flight from risk. I think the EM’s have hold up rather well until now, but i would be surprised if they wouldn’t have to take hits similarly to europe. Reserves are not the be-all, end-all of currency crises, and the case for contagion from the US, and to a lesser extent from Europe looks strong to me.

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