Looks like le plan, negatifs taux dâintérêt is being tested. Nice spot on Wednesday by Citigroupâs Michael Saunders: Swiss 3-month rate futures today have rallied beyond 100.0 (the September contract is at 100.08), hence projecting that 3-month interbank rates will turn negative in coming months. Actual 3-month interbank rates fixed today at 8bp, matching the low recorded in mid-2010. However, this is the first time that Swiss 3-month rate futures have moved to price in negative rates. There have been exceptional and rare cases in other countries where an interest rate has turned negative (eg on treasury bills amidst a flight to quality). However, we are not aware of any previous case in any major industrial country where 3-month interbank rates or rate futures have priced in negative rates. Saunders goes on to recount Wednesdayâs moves by the Swiss National Bank to expand the monetary base (via increasing banksâ sight deposits from SFr80bn to SFr120bn) and use FX swaps in order to respond to the âmassiveâ appreciation in the franc. Last week Citi picked up that the December contract was trading a whisker away from 100.00 at 99.98 and said it may only be a matter of time before someone pays 100.00. That time is here. And with it yet more signs of the massive demand for high quality collateral. The SNB could have its work cut out yet http://ftalphaville.ft.com/blog/2011/08/10/650031/swiss-rates-go-negative/
Weren't 90 day Treasuries above par during the worst of the '08 debacle? Memory fails me, I could be mistaken.
That's a hell of a depressing recap, thanks for the link. FFR to nearly -4% during the worst of it - truly stunning.