Thanks, Dave, my thought are the Fed will also ‘do what it takes’ which means setting price and letting quantity for term funding float.

The ECB doing 500 billion without ‘monetary consequences’ beyond lowering the term rates should have been no surprise to anyone who understands monetary ops, and confirmation of same for those central bankers who may have needed it demonstrated.


Libor rates; no surprises, most of them are down, especially in longer expiries (3mth+) -see table below-. GBP3m -18bp helped by yesterday’s auction. EUR 3m -4.75bp and probably more tomorrow.

Libor spreads.- In 3mth -spot- rates, sharp declines in EUR (-6bp to 78bp) and GBP (-14bp to 76bp) while the US spread remains fairly stable at 80.3bp (-1bp).

It seems the BoE and ECB have taken bolder actions to provide liquidity (see this morning’s message on the ECB LTRO). Let’s see the results of the 1st $20bn TAF later today.

19-Dec
Libor Rate
18-Dec
Libor Rate
Change in
% Points
18-Dec
Libor
17-Dec
Libor
Change in
% Points
USD Overnight 4.34500% 4.40000% -0.05500% 4.40000% 4.41750% -0.01750%
USD 1 Week 4.38875% 4.38625% 0.00250% 4.38625% 4.36375% 0.02250%
USD 3 Month 4.91000% 4.92625% -0.01625% 4.92625% 4.94125% -0.01500%
USD 12 Month 4.41750% 4.47188% -0.05438% 4.47188% 4.51875% -0.04687%
EUR Overnight 3.86125% 3.82750% 0.03375% 3.82750% 3.98875% -0.16125%
EUR 1 Week 4.01000% 4.01625% -0.00625% 4.01625% 4.06625% -0.05000%
EUR 3 Month 4.80125% 4.84875% -0.04750% 4.84875% 4.94688% -0.09813%
EUR 12 Month 4.80250% 4.80750% -0.00500% 4.80750% 4.88313% -0.07563%
GBP Overnight 5.58750% 5.59750% -0.01000% 5.59750% 5.59750% 0.00000%
GBP 1 Week 5.61125% 5.63250% -0.02125% 5.63250% 5.64125% -0.00875%
GBP 3 Month 6.20563% 6.38625% -0.18062% 6.38625% 6.43125% -0.04500%
GBP 12 Month 5.88000% 5.94500% -0.06500% 5.94500% 5.96375% -0.01875%

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