Monday, May 18, 2009

Three Month Dollar LIBOR Falls to 79 basis points

by Calculated Risk on 5/18/2009 11:51:00 AM

From Bloomberg: Dollar Libor Drops Most in Two Months as Markets Thaw

The London interbank offered rate, or Libor, for three- month loans slid four basis points to 79 basis points today, the biggest decline since March 19, according to British Bankers’ Association data. It decreased for the past 34 days, including a drop of 11 basis points last week, the most since January.
Anyone with a LIBOR ARM is happy right now.

And a couple of other credit indicators:

A2P2 Spread There has been improvement in the A2P2 spread. This has declined to 0.47. This is far below the record (for this cycle) of 5.86 after Thanksgiving, and only slightly above the normal spread.

This is the spread between high and low quality 30 day nonfinancial commercial paper.

TED SpreadMeanwhile the TED spread has decreased further over the last week, and is now at 61.97. This is the difference between the interbank rate for three month loans and the three month Treasury. The peak was 463 on Oct 10th and a normal spread is around 50 bps.

Last week, FDIC Sheila Bair said "the liquidity crisis is over for good". That might be a little optimistic (some ARS markets are still frozen), but it does appear the Fed has eased the liquidity crisis for now. The Treasury is still working on the solvency issues.