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3 See also
TED spread
4 References
[1] CSFB Zurich note on OIS
Risk barometer
Three-month LIBOR is generally a oating rate of nancing, which uctuates depending on how risky a lending
bank feels about a borrowing bank. The OIS is a swap
derived from the overnight rate, which is generally xed
by the local central bank. The OIS allows LIBOR-based
banks to borrow at a xed rate of interest over the same
period. In the United States, the spread is based on the
LIBOR Eurodollar rate and the Federal Reserves Fed
Funds rate.[3]
[6] Capo McCormick, Liz (January 24, 2008). InterestRate Derivatives Signal Banks Still Reluctant to Lend.
Bloomberg.com.
[7] 3 MO LIBOR OIS SPREAD. Bloomberg.com. January 12, 2009.
External links
Dollar LiborOIS Spread at 2-Year High Amid Europe Bank Concern
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