Friday October 26, 2007 - 11:05:19 GMT
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FX Blog- Libor Fixings
Libor fixings. Note the three mo USD libor has broken thru the 5.00% barrier ahead of the expected -25bp Fed rate cut next week. The level below the current discount rate is now greater than 25bp. Suggests funding pressures have eased significantly. Also the other short maturities are down significantly in the past week.
Significant moves higher have been seen in AUD ahead of an expected RBA rate HIKE in early November and in CAD.
libor tgt O/N 1mo 2mo 3mo 3m chg Outlook
US 4.75% 4.794 4.793 4.848 4.984 -2.7 -25
UK 5.75% 5.796 6.034 6.138 6.268 -0.4 -25?
EUR 4.00% 4.051 4.157 4.302 4.605 -0.8 UNCH
JPY 0.50% 0.556 0.640 0.751 0.909 0.0 UNCH
CHF 2.75% 2.077 2.343 2.532 2.769 0.0 UNCH
CAD 4.50% 4.672 4.745 4.787 4.898 2.0 UNCH
AUD 6.50% 6.415 6.773 6.880 7.043 2.0 +25
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