Tuesday, October 21, 2008

LIBOR Continues to Decline

by Bill McBride on 10/21/2008 09:37:00 AM

From the WSJ: Libor's Move Downward Continues

According to data from the British Bankers' Association, three-month U.S. dollar Libor dropped to 3.83375%, the lowest since September 26, from Monday's fixing of 4.05875%. The rate has shed nearly 100 basis points since peaking at 4.81875% on October 10.

The one-month rate fell to 3.5275% Tuesday from Monday's 3.75125%.
The three-month BOR/OIS spread narrowed to 271.4 basis points from around 293 basis points Monday as tensions eased.
The TED spread has dropped to 2.61 this morning. This is still above the peaks of the previous waves of the credit crisis: in August 2007 the TED spread peaked at around 2.4, in Dec 2007 at about 2.2, and in March of 2008 at just over 2.0. There is still a long way to go.

Also this just shows some loosening in the credit markets - an important step - but the economic data in general suggests the U.S. recession is still getting worse.