arabianights
Legendary member
- Messages
- 6,721
- Likes
- 1,380
Agreed, I think it's a load of crap.
But I'm looking out for a surprise announcement at the same time. Whatever that plan is won't work either, but I'll hopefully trade the exuberance on short sterling.
More interesting to me is whether the BBA could be changing how they calculate LIBOR.
But I'm looking out for a surprise announcement at the same time. Whatever that plan is won't work either, but I'll hopefully trade the exuberance on short sterling.
More interesting to me is whether the BBA could be changing how they calculate LIBOR.
that was part of the reason for the collapse yesterday mid-afternoon and the follow through.
interesting times indeed.
arabianights
Legendary member
- Messages
- 6,721
- Likes
- 1,380
Yeah, I was ****ed on that. I've been thinking for a while LIBOR made little sense just watching the money market rates during the day - if a few more complain about it then they can change their sampling methods easily I'd have thought.
There is precedent with yen libor in the late 90s I think.
There is precedent with yen libor in the late 90s I think.
arabianights
Legendary member
- Messages
- 6,721
- Likes
- 1,380
P.S. http://www.bis.org/publ/qtrpdf/r_qt0803g.pdf and http://www.bis.org/publ/qtrpdf/r_qt0803f.pdf look useful
Last edited:
Was just about to make a post asking about the LIBOR situation...
...what kind of impact do you guys think it will have? (if BBA change the way LIBOR is measured). I mean, if we all agree that the fixing rate is whack out of line with the real cost of borrowing, once the BBA make changes to the sample, how is anything different? For the most part, won't all the LIBOR derivs correct in line with each other?
...what kind of impact do you guys think it will have? (if BBA change the way LIBOR is measured). I mean, if we all agree that the fixing rate is whack out of line with the real cost of borrowing, once the BBA make changes to the sample, how is anything different? For the most part, won't all the LIBOR derivs correct in line with each other?
will they have to re-brand the new LIBOR as a distinct measurement from the current one? and keep publishing the outdated version?
I mean, what happens to the Eurodollar contracts 5yrs out; surely any counterparty is short LIBOR this far out is going to say "it doesn't matter what the NEW LIBOR is, we made a trade on the OLD fixings".
Surely the BBA will have to change the way it's measured, they can't just tell the contributors to stop lying. And once it's changed, so has the underlying on all these contracts - nevermind all the OTC stuff - so they will have to keep publishing the current measure of LIBOR until no more trades (exchange contracts in the least) are made that use it as it's underlying, we're looking at 2019 and thats if they pull their finger out!
Or they say "f*ck it, it's your problem. You should have seen it coming" and LIBOR jumps XXXbp overnight and stays that way??
I mean, what happens to the Eurodollar contracts 5yrs out; surely any counterparty is short LIBOR this far out is going to say "it doesn't matter what the NEW LIBOR is, we made a trade on the OLD fixings".
Surely the BBA will have to change the way it's measured, they can't just tell the contributors to stop lying. And once it's changed, so has the underlying on all these contracts - nevermind all the OTC stuff - so they will have to keep publishing the current measure of LIBOR until no more trades (exchange contracts in the least) are made that use it as it's underlying, we're looking at 2019 and thats if they pull their finger out!
Or they say "f*ck it, it's your problem. You should have seen it coming" and LIBOR jumps XXXbp overnight and stays that way??
sorry- i see what you mean. yeah-that is going to be a massive bone of contnetion.
i genuinely have no idea. you'd be half inclined to think that they may go for the latter approach if the banks have been submitting false levels but that would have so many repercussions....
i genuinely have no idea. you'd be half inclined to think that they may go for the latter approach if the banks have been submitting false levels but that would have so many repercussions....
Depth Trade
Experienced member
- Messages
- 1,848
- Likes
- 99
Well, if you were only cross referencing 'said' product with only the Libor, there's your main issue.
You need to cross reference with more than one product for this exact reason, we don't know what 'they' may change in the future, that's why it's imperative to watch many product.
You need to cross reference with more than one product for this exact reason, we don't know what 'they' may change in the future, that's why it's imperative to watch many product.
arabianights
Legendary member
- Messages
- 6,721
- Likes
- 1,380
you understand these products are settled on libor, yes?
arabianights
Legendary member
- Messages
- 6,721
- Likes
- 1,380
I'm not taking any outright positions overnight at the moment, that's just asking for trouble imo.
Also honestly thinking about taking a couple of weeks off to preserve capital. After getting massacred yesterday I'm down on this month and in these markets will struggle to get even...
Depth Trade
Experienced member
- Messages
- 1,848
- Likes
- 99
Yeah, I think so.. but one can't guage the disceptancy without cross referencing with another associated product.
The problem is, you have to find a way to measure 'it' against something else, because the product is knowingly flawed.
..so guaging 'it' against it's self is fact-less, because the valuation was already off.
??
The problem is, you have to find a way to measure 'it' against something else, because the product is knowingly flawed.
..so guaging 'it' against it's self is fact-less, because the valuation was already off.
??
Depth Trade
Experienced member
- Messages
- 1,848
- Likes
- 99
I personally look for an inversion from Euribor.
tough markets. the red month sterling move today is mad. this libor is just massively distorting the markets.
arabianights
Legendary member
- Messages
- 6,721
- Likes
- 1,380
Sure you need to reference other instruments, fixed income primarily; maybe FRAs etc and stocks and currency can make a difference... but ulimately libor is what decides if you win or lose on the day the contract comes off the board. So it's of the utmost importance.
arabianights
Legendary member
- Messages
- 6,721
- Likes
- 1,380
Yep.
My "excellent" sterling trading today (I don't want to talk about yesterday 😛):
Buy June 09 at 415
scratch
Buy June 09 at 400
get out at 375
It's now 290. And high is 560.
Crazy stuff. Actually I'm in front month for another 5 minutes at 36 if a stop goes off, but looking less likely now. There's almost depth there by the standards of the last week.
arabianights
Legendary member
- Messages
- 6,721
- Likes
- 1,380
Yep - lots of guys spreading gilt and bund the other way as well who I assume are having fun 😉
And wtf is going on with cable?
checked some mid-curve downside today with a view to a sgradual tightening. it's there a;ready. sep 9 off 22.5 ticks. just unbelievable.
