Today's LIBOR Rates
1 M |
0.25781 |
 |
3 M |
0.29281 |
|
6 M |
0.49363 |
|
1 YR |
0.83488 |
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LIBOR-OIS Spreads Remain Steady |
October 21, 2009
Reuters reports that the LIBOR-OIS Spread measured in Dollars, Sterling, and Euros remained stable with all spreads relatively tight. LIBOR stands for London Interbank Offered Rate and is a filtered average of rates that banks charge each other for unsecured, short-term loans.
The LIBOR-OIS Spread compares 3-Month LIBOR rates to the Overnight Index Swap, an anticipated monthly average of central bank rates. LIBOR-OIS Spreads are calculated in major currencies using individual currencies’ LIBOR rates and figures from their respective central banks:
- Dollar, United States Federal Reserve
- Sterling, Bank of England
- Euro, European Central Bank
At press time, the LIBOR-OIS spread for each currency was:
- Dollar, 13 basis points
- Sterling, 18 basis points
- Euro, 25 basis points
A tighter LIBOR-OIS spread indicates increased bank confidence as LIBOR rates are hewing to traditionally more stable central bank rates. Sterling LIBOR has been edging up with indications that the Bank of England would not expand the quantitative easing (QE) program that had injected liquidity into that banking system. Bank of England minutes reinforced this market suspicion, sending Sterling LIBOR to its highest level since mid-September.