LIBOR-OIS spread

LIBOR-OIS spread closed up by 19.05% to 0.05 on 23 January 2021 and +-8.05% on a weekly basis. LIBOR-OIS spread momentum was last calculated at +0.0/100 indicating positive momentum. LIBOR-OIS spread trend is -25.0/100 indicating a negative trend. LIBOR-OIS spread momentum exhaustion is -0.42012 indicating LIBOR-OIS spread is oversold.LIBOR-OIS spread RSI is 48.6003 .

LIBOR-OIS spread Chart

LIBOR-OIS spread

LIBOR-OIS spread Statistics

SecuritySymbolLastMomentumTrendOscillatorRSI1D%1W%1M%1Y%
LIBOR-OIS spreadUS.SPREAD.LIBOROIS0.050-0.25-0.4201248.600319.05-8.05-50.37-0.59672

The Libor-OIS spread is the difference between LIBOR – the floating rate at which banks lend to each other for short-term unsecured loans and overnight index swap rates which are set by central banks.
Since LIBOR reflects bank credit risk, and OIS is risk-free, a significant rise in the LIBOR-OIS spread signals rising bank credit risk and liquidity risk.

During the subprime crisis for example, banks desire to keep ample cash balances, and their reluctance to lend to other banks, led to an unusual widening of the LIBOR-OIS spread which signaled global liquidity drie upa and predicted the upcoming global financial and economic crisis.

LIBOR-OIS spread closed at 0.05 on 23 January 2021. LIBOR-OIS spread trend was last calculated at -25.0/100 (range: -100 to +100) indicating a negative trend based on MacroVar models. LIBOR-OIS spread momentum was last calculated at +0.0/100 (range: -100 to +100) indicating positive momentum. LIBOR-OIS spread momentum exhaustion is -0.42012 (normal range: -2.5 to +2.5, overbought values: greater than 2.5, oversold values: less than 2.5) indicating LIBOR-OIS spread is oversold and a possible reversal is imminent. LIBOR-OIS spread RSI was last calculated at 48.6003. LIBOR-OIS spread moving averages were last recorded as follows: 1-month moving average: 0.15068 in an uptrend , 1-quarter moving average: 0.14268 in an uptrend and 1-year moving average: 0.27981 in a downtrend. LIBOR-OIS spread annual return was last recorded at None%, daily return was last recorded at 19.05%, and weekly return was last recorded at -8.05%. LIBOR-OIS spread histrorical 20-day volatility was last recorded at 77.5482%, LIBOR-OIS spread alpha None, LIBOR-OIS spread beta None and LIBOR-OIS spread maximum drawdown was recorded at None%. MacroVar models monitor LIBOR-OIS spread statistics based on historical data since 1970.

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