LIBOR-OIS spread/Definition: Difference between revisions
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imported>Nick Gardner (New page: <noinclude>{{Subpages}}</noinclude> The difference between ''LIBOR'' and the Overnight Indexed Rate[http://research.stlouisfed.org/publications/es/08/ES0825.pdf] that is used as an measure...) |
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The difference between | The difference between the [[LIBOR]] rate and the [[Overnight index swap]] rate that is used as an measure of the state of confidence in the [[money market]] and an indicator of banks' willigness to lend, and is normally within the range 0.1% to 0.3%. | ||
Latest revision as of 03:51, 3 August 2010
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LIBOR-OIS spread [r]: The difference between the LIBOR rate and the Overnight index swap rate that is used as an measure of the state of confidence in the money market and an indicator of banks' willigness to lend, and is normally within the range 0.1% to 0.3%.