Question is moot, Daal... LIBOR/OIS basis is being lifted on the back of the Greek panic. Fixing is gonna move.
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- Thread starter Daal
- Start date
Quote from Martinghoul:
Nah, this is most certainly not an OIS issue... This is a mini-blowout in LIBOR. I think it's wrong and shouldn't happen, but you know what they say about insurance.
Are you saying libor for today only?The front GE(May) is down less than one basis, it looks like the market is not concerned
1bp is a big move this days, dude... EUR front FRA/OIS is wider by 3bps, which is massive.Quote from Daal:
Are you saying libor for today only?The front GE(May) is down less than one basis, it looks like the market is not concerned
All I am saying is that LIBOR fixings are, in my view, now driven by the convergence to the Jun IMM date's fixing. When basis gets lifted, fixing goes up. Basis is getting lifted, OIS is stable.
Quote from Martinghoul:
1bp is a big move this days, dude... EUR front FRA/OIS is wider by 3bps, which is massive.
All I am saying is that LIBOR fixings are, in my view, now driven by the convergence to the Jun IMM date's fixing. When basis gets lifted, fixing goes up. Basis is getting lifted, OIS is stable.
Hey Martin,
How is the libor market today?the Jun GE is down 1.5bps but I'm not sure how much of that is the decline in ZQ
Calm today, after yesterday's storm... Basis is stable and is, in fact, coming off a little bit in EUR. So, knock on wood, things seem to have stabilized. Not sure for how long, 'cause it's all about Greece and that can change in an instant.