ドル・LIBOR

投稿者: whitegru3

オーバーナイト・Index・Swap(OIS)のH11が急上昇している。23.13(前日22.80)

 

 

08:01 10/19 US DOLLAR LIBOR: U.S. dollar LIBOR rates set steady across the curve
with the exception of a slightly lower O/N rate this morning. LIBOR/OIS
and forward FRA/OIS basis lvls steady to wider; 3M financial CP at
0.27%, effective funds rate steady at 0.19%.

O/N: 0.22625% (-0.00) vs. 0.22688% since last Thu
1W: Unched at 0.25150% for last 4 sessions
1M: Unched at 0.25625% for last 9 sessions
3M: Unched at 0.28906% for last 9 sessions
6M: Unched at 0.45250% for last 3 sessions
12M: Unched at 0.76550%, 0.76663% last Fri

Overnight Index Swap (OIS) has 3M unched at 11.80, 1M at 7.72 vs. 7.42;
forward 3M IMM FRA/OIS spds has Dec’10 at 18.25 vs. 18.94, Mar11 at
23.13 vs. 22.80, Jun11 at 25.61 vs. 25.0.

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