Exhibit 1: 3 month LIBOR, 3 month Treasuries & Overnight Index Swap rates


Today there are comparable spreads as existed immediately prior to the 0.75% slash on 18 March. Exhibit 2, put up today on the Cleveland Fed's site, is already badly dated: CBOE Fed Fund futures imply a 90% chance of a cut.

Exhibit 2: Fed Futures via the Cleveland Fed



Related links:
Money-Market Rates Double Amid Global Credit Seizure
Interbank dollar crisis deepens as overnight Libor surges
Lehman Collapse Spurs Call for Credit Clearinghouse
Banks wary of Lehman plague
Central banks strain to contain market crisis
Nervous mood sees interbank lending dry up
A black swan in the money market

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