Could you have a negative LIBOR?

[arabianights]

that better not be sarcasm

 

[gooseman]

of course it is theoretically possible....

i reckon liffe will have to introduce them soon.

 

[arabianights]

goose I emailed LIFFE before the new year requesting them and the ****ing useless ******s have done sod all about it claiming an IT issue... if it happens then at the moment you can't offer above 99.99 on the futures and anyone short is completely ****ed.

 

[gooseman]

i know their models are a bit knackered but i'm fairly certain they'll have to start publishing them as prices.

 

[gooseman]

yeah, sort of.

 

[davedavethetrader]

so all my offers up there arent that safe then??

neg libor.... to have that we would have to be completely f*cked. (did write 'pretty' but were already that, so...) Libor only started behaving because the central banks guaranteed interbank lending. now, for there to be a scenario where we are completely screwed, every countries credit rating down graded to junk(ish) would that not then cause libor to do just the opposite, due to the fact the central banks words would be worth sh*t? I know the swiss scenario you talked about is different to this one, this is more general, but i cant see it working. so, im offered at 99.99..... for the time being!!!

 

[Martinghoul]

AN, the link is dead, could you pls repost?

LIBOR can go negative, would be my 2c. Have been looking into this for a while and see no reason why it can't happen.

 

[arabianights]

Don't think the link exists any more, but here's the paper.

 

[davedavethetrader]

thankyou for the pdf.

i think the question in relation to this theory is, have the events of the past 18 months affected its risk assumptions.

dont like papers much... makes it seem predictable....