Friday April 17, 12:04 PM
Libor falls, euro Libor/OIS spread tightest since Lehman
LONDON, April 17 (Reuters) - The interbank cost of borrowing
three-month dollars, euros and sterling funds slipped on Friday,
according to the latest daily fixing from the British Bankers'
Association.
The spread of three-month London
interbank offered rates
over OIS rates for euros tightened by four bsis points to 62
basis points, the narrowest since the collapse of U.S.
investment bank Lehman Brothers in September last year.
The spread expresses the three-month premium paid over
anticipated central bank rates, or Overnight Index Swap rates
and is seen as a gauge of banks' willingness to lend to each
other -- a wider spread is seen as an indication of decreased
inclination to lend.
Below is a table of the London interbank offered rates
(Libor) for dollar, euro and sterling funds in percentage terms,
with the change from the previous session in parentheses:
EURO STERLING DOLLAR
O/N 0.86375 (+0.03500) 0.60000 (+0.00000) 0.23500 (-0.01500)
1WK 0.88375 (+0.02375) 0.65500 (+0.00000) 0.34750 (-0.00313)
2WK 0.90375 (+0.00625) 0.70875 (-0.00125) 0.39688 (-0.00187)
1MO 0.98938 (+0.00188) 0.90875 (-0.00688) 0.44750 (+0.00062)
2M0 1.20750 (-0.00313) 1.32750 (-0.00875) 0.88094 (-0.00094)
3MO 1.40688 (-0.00437) 1.51813 (-0.00625) 1.10188 (-0.00500)
6MO 1.59938 (-0.00125) 1.75250 (-0.00500) 1.63625 (-0.00438)
1YR 1.77000 (+0.00125) 1.97688 (-0.00437) 1.91500 (+0.00875)
3MTH LIBOR/OIS SPREAD (BPs)
62 (-4) 111 (-2) 92 (UNCHANGED)
For RICs to the above rates, go to.
(Reporting by Emelia Sithole-Matarise)
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