Libor Opening

October 10th, 2008 6:58 am | by John Jansen |

   *OVERNIGHT STERLING LIBOR RISES 39 BASIS POINTS TO 5.81%
    *LIBOR-OIS SPREAD WIDENS 11 BASIS POINTS TO 365 BASIS POINTS
   
    *THREE-MONTH DOLLAR LIBOR 4.82% VERSUS 4.75%,                                    BBA SAYS*OVERNIGHT DOLLAR LIBOR 2.47% VERSUS 5.09%, BBA SAYS

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  1. 4 Responses to “Libor Opening”

  2. By anon on Oct 10, 2008 | Reply

    I saw that on Bloomberg. Can you explain why overnight LIBOR fell so much AND three month LIBOR went up?

  3. By John Jansen on Oct 10, 2008 | Reply

    My guess is that there is so much central bank liquidity sloshing around the overnight market that it has forced that rate lower.

  4. By Doug on Oct 10, 2008 | Reply

    John, I’m a new reader and thanks very much for your commentary. Can you recommend a site with charts of overnight and 3-month Libor and Ted Spread?

  5. By fredw on Oct 10, 2008 | Reply

    John , due to the crisis mentality , aren’t we just seeing movement into the shortest durations ? Three month libor still remains under pressure despite the various government actions.

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