Measures of credit tightness in the United States made another breakthough on Monday with a decline in the three-month Libor bringing down some technical measures of credit tightness to their September levels.
The three-month Libor declined 10 bps to 1.16%, bringing the Libor/OIS spread, a key measure of credit tightness, down 9 bps to 99 bps, the lowest since Sept. 12.
The overnight U.S. dollar Libor rate was marginally higher but nevertheless at 0.10% on Monday.
Elsewhere, the Canadian dollar Libor was flat at 1.50%, while the three-month Libor was down 3.67 bps to 1.76%. The Euro Libor declined 0.13 bps to 2.07%, while the three-month Libor fell 4.06 bps to 2.65%. The Sterling Libor was flat at 1.50%, while the three-month Libor lost 5.63 bps to 2.33%.
By Erik Kevin Franco and edited by Nancy Girgis
©CEP News Ltd. 2009