by Calculated Risk on 10/24/2008 01:48:00 PM

From Bloomberg: Libor for Overnight Dollars Rises as Recession Concern Mounts

The London interbank offered rate, or Libor, that banks charge for such loans climbed 7 basis points to 1.28 percent today, British Bankers' Association said. It gained for the first time in 10 days yesterday. The comparable rate for U.K. pounds jumped 19 basis points to 4.75 percent. The Libor-OIS spread, a measure of cash scarcity, widened by the most since Oct. 10.

The yield on 3 month treasuries: 0.80% down from 0.94% (Worse)

The Fed is expected to lower rates next week by anywhere from 25 bps to even 75 bps, but I'd still like to see the three month treasury closer to 1.0% (or whatever the Fed Funds rate is next week). The effective Fed Funds rate is aoubt 0.80%, so this isn't horrible.

The TED spread: 2.70 up from 2.58 yesterday (Worse)

The two year swap spread from Bloomberg: 125.02 up from 117.00 (Worse)

Activity in the Treasury's Supplementary Financing Program (SFP). This is the Treasury program to raise cash for the Fed's liquidity initiatives. If this program slows down borrowing, I think that would be a good sign.

Here is a list of SFP sales. Three days without an announcement, so maybe the Fed is easing up a little. possible progress.

The A2P2 spread is 4.48, down from 4.6. A little better.

During a recession, this spread usually increases because the risk of default for lower quality paper increases. However the recent values (over 400 bps) are far in excess of normal. If the credit crisis eases, I'd expect a significant decline in this spread.

Industry contacts. Still no positive news. I'm tracking some financing deals there are being held up right now. If these deals complete that would be a good sign. Still no word.

Another disappointing day in the credit markets.