Tuesday July 28, 12:10 PM
Dollar, euro 3-mth Libor set new record, spreads tighten
LONDON, July 28 (Reuters) - The interbank cost of borrowing
three-month dollars, euros and sterling extended their decline
to fresh record lows on Tuesday, according to the latest daily
fixingfrom the British Bankers' Association.
The spreads of three-month London interbank offered rates
over OIS rates for all three currencies tightened.
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 0.26750 (+0.00000) 0.54625 (+0.00125) 0.22563 (-0.00125)
1WK 0.33250 (-0.00250) 0.55625 (-0.00125) 0.25938 (-0.00187)
2WK 0.36750 (+0.00125) 0.56250 (-0.00188) 0.27188 (-0.00250)
1MO 0.50375 (-0.00750) 0.58438 (-0.00187) 0.28500 (-0.00250)
2M0 0.69625 (-0.00938) 0.70875 (-0.00938) 0.34000 (-0.00438)
3MO 0.88313 (-0.00875) 0.90500 (-0.00938) 0.49125 (-0.00500)
6MO 1.15688 (-0.00750) 1.11750 (-0.01375) 0.93625 (-0.01125)
1YR 1.37000 (-0.00438) 1.44500 (-0.01125) 1.47875 (-0.01375)
3MTH LIBOR/OIS SPREAD (BPs)
44 (-2) 50 (-2) 30 (-3)
For RICs to the above rates, go to.
(Reporting by Emelia Sithole-Matarise)
Keywords: MARKETS LIBOR
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