Libor-OIS
Libor-OIS: 271 bp (previous 293)
TED Spread: 261 bp (previous 327, record was 463)
Rates used:
Libor: 383 (previous 406)
OIS: 112 (previous 113)
T-bills: 122 (previous 79)
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jck [at]
aleablog [dot] com
October 21st, 2008 at 7:51 am
Libor: 383 (previous 406)
T-bills: 122 (previous 79)
TED Spread: 263 bp?
October 21st, 2008 at 8:13 am
thx, corrected.
October 21st, 2008 at 9:04 am
Question. Why is dollar libor coming down at such an accelerated rate compared to euro or sterling? It seems dollar is falling by 20+ basis points per day while euro falls by 4 or 5 basis points (or even less). Any ideas on this?
October 21st, 2008 at 9:09 am
$ swap lines
October 21st, 2008 at 12:42 pm
[...] 21Oct08 More signs the credit markets are tentatively returning to normalcy. (Alea, WSJ.com, Curious [...]