UST 2 YR yield vs LIBOR 3 month

[sishya]

I came upon this blog where the author says that if 3 month LIBOR rate(currently 0.51%)
exceeds US Treasury 2 year yield(currently 0.74%), it is a dangerous time, since banks are funding the UST purchase.

I am not able to compare these 2 - $UST2Y and $LIBOR3 via stockcharts.com. If anyone can do and have time, please post here.

Short 2-Year Notes

Monday, May 24th, 2010
By David Goldman Only 23 basis points of daylight separate LIBOR (at 51 bps) from 2-year Treasury notes (at 74 bps). Banks are financing roughly two-thirds of the Treasury deficit, and foreign banks are doing most of that. If banks’ cost of funds rises above LIBOR, it’s Katie, bar the door. Bloomberg reports today

The market turmoil has made banks reluctant to lend to each other. The London interbank offered rate, or Libor, for three- month loans in dollars rose to more than 0.5 percent for the first time since July 24, data from the British Bankers’ Association showed today.
The rate climbed to 0.51 percent, the highest level since July 16, from 0.497 percent at the end of last week, on concern about the quality of banks’ collateral amid the euro-region’s financial crisis. Citigroup Global Markets Inc. strategistNeela Gollapudi in New York said in a report that the rate may reach 1.5 percent “over the next several months” after the U.S. Senate approved a financial-regulation overhaul that may increase banks’ uncertainty about how they will be able to fund themselves.

European banks have massive unrealized losses in government debt markets, and the interbank market freeze is likely to worsen. Whether LIBOR hits the 1.5% level projected by Citibank is beside the point. It only has to creep up to 75 bps for the 2-year-note to get clobbered.

[Chomsky]

Re: UST 2 YR yield vs LIBOR 3 month

Very interesting, thanks for posting.

[FRED]

Re: UST 2 YR yield vs LIBOR 3 month

I came upon this blog where the author says that if 3 month LIBOR rate(currently 0.51%)
exceeds US Treasury 2 year yield(currently 0.74%), it is a dangerous time, since banks are funding the UST purchase.

I am not able to compare these 2 - $UST2Y and $LIBOR3 via stockcharts.com. If anyone can do and have time, please post here.

Short 2-Year Notes

Both are reported daily but the days that the UST market are open are not the same as the EU LIBOR market. No one's charting software can handle the difference it seems, certainly not our economagic tools.