Libor spread still indicates risk is high

Discussion in 'Wall St. News' started by Mvic, Jun 9, 2009.

  1. Mvic

    Mvic

    http://www.bloomberg.com/apps/news?pid=20601109&sid=atDUfrifHZ34

    Libor peaked in October when the one-month rate reached 4.59 percent and the three-month rate climbed to 4.82 percent. The spread widened to a record 1.02 percentage points in December. While both rates plunged this year, the gap remained almost 10 times wider than the historical average, according to Bloomberg data.

    One-month Libor was set at 0.32313 percent yesterday, while the three-month rate was 0.65 percent, according to the London- based British Bankers’ Association. The BBA calculates the measure based on 16 rates contributed by banks from New York- based Citigroup Inc. to Deutsche Bank AG in Frankfurt.
     
  2. Pls take this Bloomberg crap with a big grain of salt...

    The historical average they're referring too is way too low and LIBOR/OIS is never going back to those pre-crisis days. Thus, it's actually not too high now, really...
     
  3. Mvic

    Mvic

    You could be right but still seems high, look at the spread between 1 and 3 month treasuries compared to 1 and 3 month LIBOR.