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Stress in Europe: The Eurepo curve - the repo rate for euro borrowing amongst banks over a 1-day...

  • Tuesday, May 29, 2012, 8:53 AM ET
    Stress in Europe: The Eurepo curve - the repo rate for euro borrowing amongst banks over a 1-day to 1-year maturity - inverts. It suggests, says Sandy Chen, banks are unwilling to commit the collateral necessary for repos for much longer than a day.
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This news story has 4 comments:

  •  
    Didn't we have a repo problem in 2008 that contributed to liquidity issues? This doesn't appear to be a good sign and Hedge Funds are betting against core currencies in the EU.
    29 May 2012, 09:00 AM Reply Like
  •  
    Ok now tell the folks what actual numbers are...O/N .14....1 year .11
    doesn't sound as dramatic does It??? Look at the 2 year euro swap
    spread at 86....while well off its highs,,,it needs to be substantially
    lower than that ( like 60 or lower)...there is your worry...
    29 May 2012, 11:01 AM Reply Like
  •  
    The TED spread did not nudge in May which is quite surprising given all the turmoil in Europe. It has been very stable since February at around 0.40 which is within the historical normal. Another more comprehensive measurement of financial distress, the Saint Louis Financial Stress Index is also relatively low given all the panic in the markets.
    29 May 2012, 12:45 PM Reply Like
  •  
    Counterparty risk and the repo markets - at it again...
    29 May 2012, 12:46 PM Reply Like
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