Bloomberg News

Libor-OIS Spread Measure Increases to Highest Since May 2009

January 03, 2012

Jan. 3 (Bloomberg) -- The spread between the three-month dollar London interbank offered rate, or Libor, and the overnight indexed swap rate increased to the most in more than 2 ½ years, according to data compiled by Bloomberg.

The so-called Libor-OIS spread, a barometer of the reluctance of banks to lend, widened to 49.8 basis points at 1:14 p.m. London time, after breaching 50 basis points for the first time since May 20, 2009. Three-month dollar Libor rose to 0.58250 percent from 0.58100 percent on Dec. 30, the highest level since July 1, 2009, according to British Bankers’ Association data.

Three-month Libor, a benchmark for about $360 trillion of financial products worldwide, determines rates on everything from mortgages to student loans. It surged to 4.82 percent in October 2008 after Lehman Brothers Holdings Inc. collapsed. The Libor-OIS spread ballooned to 364 basis points.

--Editor: Matthew Brown

To contact the reporter on this story: Keith Jenkins in London at kjenkins3@bloomberg.net

To contact the editor responsible for this story: Daniel Tilles at dtilles@bloomberg.net


American Apparel's Future
LIMITED-TIME OFFER SUBSCRIBE NOW

(enter your email)
(enter up to 5 email addresses, separated by commas)

Max 250 characters

 
blog comments powered by Disqus