January 13, 2009 / 11:48 AM / 10 years ago

Interbank Libor rates ease again, dlr spread narrows

 LONDON, Jan 13 (Reuters) - The interbank cost of borrowing
three-month dollar, euro and sterling funds eased again on
Tuesday, according to the latest daily fixing from the British
Bankers' Association.
 The spread of three-month London interbank offered rates
over OIS rates for dollars contracted further to 93 basis points
-- the narrowest since mid-September before official news of the
collapse of Lehman Brothers broke.
 The equivalent euro and sterling spreads held steady at 112
basis points and 138 basis points respectively.
 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 2.06250 (-0.00750) 1.50000 (+0.00000) 0.10375 (+0.00000) 
1WK 2.14500 (-0.02375) 1.58375 (+0.00750) 0.23625 (-0.01000) 
2WK 2.18875 (-0.03125) 1.65000 (-0.00625) 0.27750 (-0.00750) 
1MO 2.31700 (-0.04988) 1.70125 (-0.02250) 0.33313 (-0.00937) 
2M0 2.49875 (-0.04500) 2.10750 (-0.03500) 0.84750 (-0.05000) 
3MO 2.60750 (-0.04063) 2.29500 (-0.03250) 1.09438 (-0.06562) 
6MO 2.67250 (-0.04250) 2.49375 (-0.03125) 1.46500 (-0.04125) 
1YR 2.73688 (-0.04750) 2.63750 (-0.02750) 1.73750 (-0.02750) 
    3MTH LIBOR/OIS SPREAD (BPs)    
   112   (unchanged)    138 (unchanged)    93  (-6 BPS) 
For RICs to the above rates, go to <0#LIBORSUPERRICS>.
 (Reporting by Ian Chua)

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