3m EURIBOR/EONIA spread

jungle · Post by **jungle** » Wed Aug 08, 2007 9:54 pm

Anyone have any color on the recent move?

[img]/User%20Files/149/eboreonia.JPG[/img]

ig0r · Post by **ig0r** » Thu Aug 09, 2007 1:05 am

No color, but here's a paper on the spread ftp://mse.univ-paris1.fr/pub/mse/cahiers2003/B03055.pdf

bsycheng · Post by **bsycheng** » Tue Aug 28, 2007 6:39 pm

This is probably a bit obvious now, but....

Liquidity position as well. If you check OIS spread curve vs. EUREPO Fix they are pretty similar. It is EURIBOR/LIBOR that has got expensive.

jungle · Post by **jungle** » Tue Aug 28, 2007 7:02 pm

Yup - all kicked off on the 9th, the day after I posted.

tbretagn · Post by **tbretagn** » Thu Aug 30, 2007 11:24 am

some guys can't refinance in libor; so they wait for the ecb to come in with its extra candy;

See the last 40bn refinance where some guy paid 5% for 3M eonia?

Imagine what he'd have to pay in libor?

t0m · Post by **t0m** » Tue Sep 04, 2007 12:57 pm

Interestingly 3m LIBOR is now floating at 6.74%, which is pretty close to the Bank of England's "lender of last resort" penalty borrowing rate of 6.75%. Coincidence? Or evidence that the interbank market for 3 month debt has broken down?

shortvol · Post by **shortvol** » Tue Sep 04, 2007 2:31 pm

you can't borrow for 3m from the Bank, so no reason 3m libor has to stop here, can easily go to 7%, e.g. wait until the year-end turn comes in.

for more evidence of troubles in the interbank market, look at EUBS1 over the last 5 years, signs that non-USD funded banks are struggling to get dollars.

bsycheng · Post by **bsycheng** » Tue Sep 04, 2007 6:13 pm

I think this has all been caused by the structured market. No one wants to short term refinance any of the paper with repos, especially the conduit stuff. Therefore, everyone has to finance on balance sheet, and demand for cash has spiked consequently.