7
May
Libor-OIS Spread Suggests Money-Market Collateral Concern
7 May 2010 Business Week
The spread between the three-month dollar London interbank offered rate, or Libor, and the overnight indexed swap rate rose to the most in more than five months on concern about collateral quality in money markets.
The so-called Libor-OIS spread, a barometer of the reluctance of banks to lend, widened to 13.4 basis points today, the most since Nov. 19, as the three-month dollar Libor jumped to 0.374 percent, the highest level since Aug. 25, according to British Bankers’ Association data. The Libor-OIS spread narrowed to 6 basis points on March 15.
