Today's LIBOR Rates
1 M |
0.31563 |
 |
3 M |
0.47500 |
|
6 M |
0.68794 |
|
1 YR |
1.06438 |
|
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LIBOR-OIS Spread Varies Among Major Currencies |
December 21, 2009
According to iMarketNews.com, the LIBOR-OIS Spread for three major currencies exhibited three different movements: Euro, wider; Sterling, narrower; US Dollar, stable. 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 LIBOR rates to an anticipated monthly average of central bank rates. The more LIBOR veers from the historically more stable OIS index, the more uncertainty banks see in the market, reflected in higher rates. The LIBOR-OIS Spread for the Euro widened to 28.7 basis points in anticipation of Moody’s rating of Greek debt. The country’s debt rating has suffered in the face of large budget deficits and skepticism regarding its fiscal policies and reporting. Concurrently, the LIBOR-OIS Spread for the British Pound Sterling tightened to 15.663 basis points. The LIBOR-OIS Spread for the U.S. Dollar remained essentially unchanged at 9.175 basis points.