A few quick observations, one from last week, one for next.
1) Major media coverage of Libor continues to miss the important distinction between crisis/post crisis submissions and potential customer encouraged shenanigans prior to the financial collapse. The BOE, ECB and Fed are all well aware of Libor metric activities post 2007 and are actively compressing spread as the benchmark is re-tooled across and through a variety of domestic and international reforms. The significant rise (decline in implied rates) in Eurodollar futures strips as the ECB deposit cut has phased in shows the gravitational pull of ZIRP is much stronger than the reality of the "scandal". IF, and it is a big if, a reform agenda brings about a re-benchmarking (say to OIS or OIS+) an abrupt fall in Libor rates would/could cause significant P/L movement to the massive existing open interest in Eurodollars. To a degree, that process is occurring NOW and needs to be watched closely.
2) Monday, the NYSE/Liffe will begin trading GCF repo futures in 3 contracts. The difference between Fed effective rates (FF contracts) and GC during periods of high excess reserves and significant players without accounts at the Fed is well explored. Fed Funds trading has been gutted by the IOER and damaged the money market to some extent. FF/OIS relationships over the term structure are "messy" and the current collateral squeeze is unlikely to abate. (Remember fantasies of "Fed Exit" and testing large tri-party repo reverses? A total failure) The contracts will open GC to a broader array of users and, of course, "evil speculators". Like Fed effective futures, and unlike Eurodollars, they will lose a variable every day as the month progresses and settle to the end date (Eurodollars settle to a forward term). Still, money markets rates and the money market are the foundation of the financial system and their robust health is critical to moving out of the economic torpor. Let's see how this new contract rolls out and keep an eye out for the CME Group's response to this threat on their STIR suite of products.