This Year’s Trend

 

Chart last month

Chart last year

Chart full term

Take a moment to ponder the chart in the middle above. The solid trend for the year has been the long slog up in 12 month LIBOR. A long time ago in a galaxy far far away, Eurodollar futures were the playground for CTAs looking to ride the big trend. ZIRP has anchored the roll downs and disguised the steady rise in money rates behind 3 months. (helpful hint: Eurodollar strips are still tied to 3 month sets - think stacks of zero coupons) Convergence forces overwhelm the reality of capturing the move pictured above.

On the right, the multi-year post crisis slide can be seen. The near doubling of rates this year is barely a blip. As 2015 wraps up, we expect a plethora of summaries on missed Fed hike calls and botched Treasury rate prognostications. As long time readers know, 12 month LIBOR is a barely followed set that is very important to us. We're excited about what we're seeing. Here's the 2015 retrospective headline we would write that no one else will print:

RATES ROSE.

P.S. EDH17 has dropped 33 since 10/14.

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