December 14, 2007
SLIQ is Pretty Slick
Libor Fails to Drop From 7-Year High; Crunch Persists
“The actions by the central banks were just a placebo, a tranquilizer that doesn’t solve the problem of the mistrust among banks on one hand and the potential for more losses in credit on the other.”
Bloomberg has a slick function called SLIQ (Short-term Liquidity) which lets you plot various short-term (O/N, 7-day, 15-day, 30-day) interest rates in different regions (America, Japan, Europe, Australia, etc.) over any period. You can see how that 30-day asset-backed commercial paper spreads have re-exploded in December.
You can also see that short-term rates in Europe have jumped dramatically in December. End of year liquidity squeeze or something more ominous?
Cat: | Time: 11:47 am (utc+8)
December 14th, 2007 at 12:13 pm
Third graphic down - look at the discount rate spread.
Worse than August.
Worse than 9/11.
http://tinyurl.com/2jpz68
December 14th, 2007 at 12:24 pm
CapGain: Yeah, thanks for the link. It would look much worse if they plotted AA asset backed versus AA nonfinancial … I guess the trouble is that supposed AA asset backed isn’t really thought of us AA — the ratings have become meaningless and it’s all being treated as junk — all asset backed debt is being treated as toxic (right or wrong no one is taking chances). I think that’s what’s going on but it’s just my, as usual, uninformed guess.
December 14th, 2007 at 12:30 pm
CapitalGain must have come from calculatedrisk.
Love that blog, even though I probably understand only 5% of it.
December 14th, 2007 at 12:35 pm
Dan: Yeah, CalcRisk is one of those rare bloggers who actually knows what he’s talking about… shocking. ;-)
December 14th, 2007 at 1:51 pm
The ratings are being discarded like medical waste because of the flawed alchemy of the agencies.
How much credence would you give to a ratings model that has recently downgraded issues from AAA to nothing in a matter of hours?
As long as bond insurers like Ambac or MBIA were triple-A then the thousands of tax-exempt bonds and CDOs they insured were also triple-A.
It didn’t matter if the bonds really merited just a double-A, or a single-A, or a triple-B. It didn’t even matter if they were pure junk (double-B or lower).
All that mattered was that they had the insurance. And like magic, the Fairy Godmother agencies — Fitch, Moody’s and S&P — transformed all of Cinderella’s mice into dashing coachmen: Every single one of the thousands of states, cities, towns and CDO issuers that bought bond insurance waltzed away with a triple-A rating.
How are them there monoline insurers doing now, eh pilgrims?