LONDON (MNI) - Decline in dollar and sterling OIS rates Tuesday, following the Bank of Japan's announcement of further monetary stimulus, led to a widening of spreads with LIBOR rates little changed.
Dollar three month LIBOR/OIS widened by 0.387 basis points and sterling by 0.443 bps, with the euro spread little changed.
The BoJ cut its interest rate target to a range of 0.0% to 0.1% from 0.1% and increased the amount of quantitative easing it is undertaking by Y5 trillion. The BOJ will buy a range of financial assets, including Japanese government bonds, commercial paper and corporate bonds, with the extra QE.
With the BoJ increasing stimulus, the question is whether the Fed and BOE will eventually follow in its wake.
The following table shows LIBOR rates and LIBOR/OIS spreads:
LIBOR 1LIBOR LIBOR/ Latest Previous LIBOR LIBOR/ OIS Day Day Change OIS Bps % % Bps bps Day Ch.
euro o/n 0.50250 0.59000 -8.750 euro 1 wk 0.60625 0.61375 -0.750 euro 1 mo 0.68125 0.67750 0.375 euro 3 mo 0.89375 0.89250 0.125 19.575 -0.025 stg o/n 0.55000 0.55000 0.000 stg 1 wk 0.55500 0.55453 0.047 stg 1 mo 0.57125 0.57094 0.031 stg 3 mo 0.73756 0.73663 0.093 23.756 0.443 dlr o/n 0.22563 0.22563 0.000 dlr 1 wk 0.25025 0.25025 0.000 dlr 1 mo 0.25688 0.25688 0.000 dlr 3 mo 0.29000 0.29063 -0.063 11.000 0.387
euro 3 mo 0.9560 0.9530 0.3 25.3 -0.1
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