From the BBA:

LIBOR OVERNIGHT STERLING RATES FIX AT 4.68750% VS 5.17500%

LIBOR OVERNIGHT DOLLAR RATES FIX AT 1.66875% VS 1.93750% 

LIBOR OVERNIGHT EURO RATES FIX AT 3.66125% VS 3.75000%

LIBOR THREE-MONTH STERLING RATES FIX AT 6.16000% VS 6.18250%

LIBOR THREE-MONTH DOLLAR RATES FIX AT 4.41875% VS 4.50250% 

LIBOR THREE-MONTH EURO RATES FIX AT 5.02000% VS 5.08125%

Putting today’s Libor-OIS spread at 331.93bps bs 341.75bps yesterday. The overnight easing continues at a moderate rate, but long-term, there’s still plenty of stress.

This entry was posted by Sam Jones on Friday, October 17th, 2008 at 11:51 and is filed under Capital markets. Tagged with Libor. Edit this entry.