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)

Posted by jck at 6:46 am ET on October 21st, 2008 |

5 Responses to “ Libor-OIS ”

  • # 1 anonymous Says:

    Libor: 383 (previous 406)
    T-bills: 122 (previous 79)

    TED Spread: 263 bp?

  • # 2 jck Says:

    thx, corrected.

  • # 3 PureGuesswork Says:

    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?

  • # 4 jck Says:

    $ swap lines

  • # 5 Tuesday links: buyback blow-ups « Abnormal Returns Says:

    [...] 21Oct08 More signs the credit markets are tentatively returning to normalcy.  (Alea, WSJ.com, Curious [...]

  • jck [at]

    aleablog [dot] com


    © 2008 Alea | Powered by Wordpress


    E-mail It