Libor
Joining the SABR and Libor models together
Fabio Mercurio and Massimo Morini propose a Libor market model consistent with SABR dynamics and develop approximations that allow for the use of the SABR formula with modified inputs. They verify that the approximations are acceptably precise, imply…
Joining the SABR and Libor models together
Fabio Mercurio and Massimo Morini propose a Libor market model consistent with SABR dynamics and develop approximations that allow for the use of the SABR formula with modified inputs. They verify that the approximations are acceptably precise, imply…
Libor forecast to lose status as key benchmark
Libor's days as a key benchmark for a variety of derivatives and as a measure of interbank lending rates may be numbered, a leading interest rates strategist has suggested.
Ted spread returns to pre-Lehman levels
The New Year has seen the Ted spread, a perceived level of counterparty risk, reach its lowest level since Lehman Brothers filed for Chapter 11 bankruptcy on September 15 last year. Elsewhere, interbank lending rates continued to fall.
Interbank lending rates continue to fall
Despite continued market unrest, healthier interbank lending rates over the past week indicate financial institutions are increasingly confident in lending to one another, while the perceived level of counterparty risk, as measured by the Ted spread, has…
Interbank confidence falls in the US, rises in Europe
The cost of dollar lending in the interbank market rose 17bp overnight, but the cost of euro and sterling borrowing was down marginally today.
Overnight euro Libor unaffected by news of €200 billion EU support
Overnight euro Libor remained unchanged from yesterday at 2.9%, despite the announcement a €200 billion stimulus package to shore up the struggling economies of European Union (EU) member states.
Interbank markets stabilise despite 'unprecedented' volatility
Volatility in the US equity market is at near-record levels, but the interbank market remained stable today.
Dollar Libor shoots up overnight
Overnight dollar lending rates rose today following the news that US banking giant Citi will receive additional government assistance.
Libor untouched by market turbulence
Interbank confidence has shown no signs of falling today even as global equity markets have plummeted.
Interbank confidence continues to rise
The perceived level of counterparty risk in the market continued to fall today, shown by a drop in the Ted spread and Libor.
Dollar Libor falls further
Interbank lending confidence rose today, marked by a 0.17 percentage point fall in three-month dollar Libor.
G-20 proposals fail to lift interbank confidence
The proposals of world leaders to stabilise financial markets had little significant impact on the interbank market, with the Ted spread and Libor figures remaining at similar levels to before the weekend.
Dollar Libor and Ted climb again
Dollar Libor and the Ted spread, which tracks the difference between three-month dollar Libor and Treasury bills, were up today as confidence in the US interbank lending market dipped again.
Dollar Libor up after Tarp priorities change
Dollar Libor was up today following US Treasury secretary Hank Paulson's admission yesterday that the Troubled Asset Relief Programme (Tarp) will not be used to buy illiquid mortgage-backed securities.
UK Libor unmoved by recession news
The Bank of England (BoE)'s predictions of continued economic downturn failed to move the sterling interbank markets today.
Ted spread continues to fall
Following last week's rate cuts, the Ted spread, which tracks the difference between three-month Libor and Treasury bills, had fallen today to 2.01 when trading opened, the same level as September 15, when Lehman Brothers filed for bankruptcy.
BoE announces 1.5% rate cut
At 1200 GMT, the Bank of England (BoE) announced a 1.5% reduction of the official bank rate, while interbank lending rates fell further.
Interbank markets remain stable
Confidence in the interbank market climbed today, reflected in the decline of the Ted spread and Libor rates.
Ted spread and Libor continue to fall
Interbank confidence continued to rise today, reflected in the fall of the Ted spread and certain Libor rates.
Dollar Libor leads the way down after Fed rate cut
Libor rates fell across the board today, as stock markets in Europe and Asia continued to pick up and the US Federal Reserve announced a 50 basis point rate cut.
Governments step up and Ted spread goes down
The Ted spread, the difference between US Treasury bills and three-month Libor, fell today for the first time since October 6, following the news of the planned European bank rescue package.
Ted spread rises and Libor rates drop across the board
Perceived counterparty risk in the financial system reached new heights today as the Ted spread, the difference between three-month Libor and US Treasury bills, opened at a record 4.64%.
Ted spread continues to rise as markets fall
The daily record-breaking climb of the Ted spread, an index which tracks the difference between three-month Libor and US Treasury bills, continued today as world stock markets plummeted.