-->EZB hat gestern 50 Mrd EUR (=75 MRD USD) injiziert. Das war etwa dreimal so viel wie die Fed, dort warens 25 Mrd USD. Kein Wunder, da√ü der USD etwas gewinnt. Ich w√ľrde noch gerne wissen, was die BoJ gemacht hat, denn der JPYUSD carry trade ist von 108 auf fast 110 hochgeschossen.
Die Krise ist aber immer noch brisant, denn die Liquidit√§t scheint knapp zu sein. Libor auf h√∂chstem Stand seit 2001, 65 bp auf einmal als Anstieg toppt selbst die Y2K Zeit.
UPDATE 1-Money market tensions worsen as year-end nears
Thu Nov 29, 2007 1:27 PM GMT
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By Natsuko Waki
LONDON, Nov 29 (Reuters) - Pressure on the interbank money market intensified on Thursday after banks, feeling the heat from the credit crisis, scrambled for cash to cover the year-end period and pushed euro rates to fresh 6-1/2 year highs.
The money market liquidity crunch, which began in August after the U.S. subprime mortgage fallout, is deepening further as banks pay a higher premium for cash to meet funding requirements around the Christmas and New Year period -- typically the time banks close their books.
Liquidity has been thin generally since August as banks hoard cash as a contingency against credit-related losses and uncertainty lingers over their exposure to credit markets. One-month euro Libor rates -- the rate at which banks lend to each other -- rose to 4.80938 percent <LIBOR> from Wednesday's 4.16625 percent. That's the highest since May 2001.
That rise of around 65 basis points marked the biggest jump at the daily fixing since early 1995, according to Reuters charts, and higher than any increase seen in the run-up to the"Y2K" scramble for liquidity at the 1999-2000 millennium crossover.
The gap between market interest rates and expected policy rates -- an important gauge for money market stress -- is 81 basis points, the widest since at least 2005, according to Reuters data.
Goldman Sachs said money market tensions stemmed from banks aiming to shore up their balance sheets before year-end in the face of pressure on capital ratios.
"While a year-end effect in the money market is typical, it is exacerbated this year due to deterioration in capital ratios arising from U.S. subprime and other credit market losses," the bank said in a note to clients.
The liquidity squeeze persists even as central banks pledge to inject more liquidity to prevent a financial system seizure.
"Money market pressures are likely to escalate towards year-end... Central bank actions are less likely to alter these trends before year-end. Liquidity operations can help smooth out spikes in spreads, but it is doubtful this will stop long-dated money spreads from trending wider," Goldman said.
Earlier at the Euribor fixing, one-month euro rates <EURIBOR1MD=> rose to 4.809 percent, their highest since May 2001.
The European Central Bank's benchmark interest rate is 4.00 percent. Interest rates markets are pricing in a no-change in the euro zone cost of borrowing, with one-month EONIA rate -- which shows policy rate expectations -- at 3.998 percent.
UBS said liquidity tensions, which have been apparent in unsecured interbank lending, are reaching the secured, collateralised market as the spread widened between rates in euro repo and the European Central Bank's long term financing operation (LTRO).
In its regular monthly auction on Wednesday, the European Central Bank allotted 50 billion euros of three-month funds at an average rate of 4.7 percent, highest since April 2001. Euro repo rates for three-month was 4.02 percent.
"Both LTRO and EurRepo term rates are secured but the EurRepo rate is based on collateral for government bonds, whereas the LTRO reflects the rate given to eligible collateral - most of which will be asset-backed paper," it said.
"The gradual widening of the EurRepo/LTRO spread reflects an evolving credit premia within the collateralised market."
Pressures were also apparent on other currencies, with two-month sterling Libor rates hitting two-month highs of 6.64875 percent.
The Bank of England said it would hold a 5-week cash auction next week, offering 10 billion pounds to help alleviate year-end funding concerns in the money markets.
Testifying at a UK parliamentary committee, BoE governor Mervyn King said there was a clear sign that credit was tightening for corporates and risky borrowers, although it was not having a big impact on investment decisions.
Dollar 1-month Libor rates also jumped at Thursday's fixing, rising 40 basis points to 5.22500 percent <USD1MFSR=>, the biggest jump since the pre-YTK period. (Reporting by Natsuko Waki; Editing by Ron Askew)