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Randor
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Joined: October 8th, 2005, 8:33 am

libor. ois. usd vs australia

March 23rd, 2018, 3:02 pm

in australia the bank bills market is alive and well and so the ibor swap market has a sound basis.

whereas in usa , libor i think ive heard is really become pretty meaningless as 3m noncollateralised interbank deposits do not trade any more

also the fed funds market , ie the ois rate, is apparently completely ineffectual now that bank reserves are 100x what they used to be...

so in the usa in both libor and ois, what is driving these.rates... i guess its the tail wagging the dog - ie the swaps driving the index?
 
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Martinghoul
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Joined: July 18th, 2006, 5:49 am

Re: libor. ois. usd vs australia

March 27th, 2018, 9:21 am

Commercial paper, mostly, in USD...  That's the predominant way to short-term borrow/lend USD unsecured.
 
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Randor
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Joined: October 8th, 2005, 8:33 am

Re: libor. ois. usd vs australia

March 27th, 2018, 6:02 pm

are you saying banks and CP have same credit quality?
is there a CP index that one can compare with LIBOR?
 
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Martinghoul
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Joined: July 18th, 2006, 5:49 am

Re: libor. ois. usd vs australia

March 28th, 2018, 9:10 am

Well, banks issue CP as well, right?  And it's not that they have to be the same credit quality to serve as a useful indication for a LIBOR submitter, right?

I am not sure about an index. I think there's something in BBG, but I don't recall the ticker.  I know that some people produce something like it, but it's been a while since I looked at the exact details.
 
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Randor
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Re: libor. ois. usd vs australia

March 30th, 2018, 7:24 am

its a bit weird that the CP market (non collateralised short term corporate bills) would be fine, but LIBOR not - its as if its easier for a corporate to fund itself than for banks!  are banks so heavily regulated now that that is the case?  
Would be very interesting to see the CP rates to see how they compare with LIBOR, maybe AAA CP might even below !
 
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Martinghoul
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Joined: July 18th, 2006, 5:49 am

Re: libor. ois. usd vs australia

March 30th, 2018, 9:14 am

Well, that's what I was getting at, actually...  LIBOR fixings were actually the laggard in this case.  CP yields started climbing a while back and then LIBOR began to catch up.  To be fair, I haven't looked very recently.
 
jaw
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Joined: September 29th, 2016, 10:34 am

Re: libor. ois. usd vs australia

April 3rd, 2018, 8:26 am

Don't banks fund short-term using predominantly CP also? Lots of work nowadays on IBOR reform/replacement. Main reason: not enough transactions, hence IBOR does not reflect actual market conditions very well.