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’Front-running money market fear
You are probably familiar with parallels between current money market stress and that experienced post the collapse of Lehman Brothers in 2008.
But there’s a key difference, as highlighted by the fixed income analysts at Deutsche Bank.
‘Heightened levels of interbank funding could be with us for some time’
As tensions rise in the interbank markets, Brian Yelvington of Knight Research argues current levels might represent a ‘new normal’.
But first, an historical view (emphasis FT Alphaville’s):
The pre-2007 history of LIBOR-OIS is not very checkered,
How bad in Europe? Your cut-and-paste guide
Courtesy of the fixed income team at Deutsche Bank and drawn up before overnight events.
It’s a handy table of Lehman-Greece parallels, or, financial system stress measures now versus the fourth-quarter of 2008 — after Lehman Brothers collapsed.
Libor-gazing, counterparty-casing
Does anyone remember Libor?
The London Interbank Offered Rate, the reported cost of borrowing between banks, has fallen by the wayside a bit since it shot to infamy — and a record high — in October 2008,
“The Lehman Brothers bankruptcy is fading into history”
Bloomberg appears to be a paid-up member of the green shoots brigade, if recent stories are any indication. On Monday, the newswire ran a piece trumpeting bond traders’ belief that the memory of Lehman’s collapse was no longer cause for angst:
Libor revisited
It’s been a while since anyone really paid much attention to Libor.
Back in September, when Lehman failed, the daily Libor numbers from the BBA were anticipated with a rather grim hawkishness. Now though,
Libor fixes: credit and phase transitions
From the BBA:
LIBOR OVERNIGHT STERLING RATES FIX AT 4.76875% VS 4.68750%
LIBOR OVERNIGHT DOLLAR RATES FIX AT 1.51250% VS 1.66875%
LIBOR OVERNIGHT EURO RATES FIX AT 3.57250% VS 3.66125%
An inefficient truth
From Bloomberg, the Libor-OIS spread:
The tiny move down over the past few days is in spite of an absolutely unprecedented splurge from the world’s central banks.
Alea picks up the latest numbers from the Fed:
What price, risk?
The Libor-OIS spread is the metric the Fed uses to capture the perception of risk in the credit markets. It measures the premium on the dollar interbank lending rate over the US dollar overnight swaps,