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AftabAli
Jul 18, 2019 10:45 PM

LIBOR OIS Spread Long

Description

Spread b/w variable and fixed rates. As the spread widens, it expresses the propensity for banks to hold excess reserves over lending. During an expansion, the spread generally hovers between +/- 6 bps. During the credit crisis of 2008, the spread expanded wider than 360 bps. Moving into the back half of 2019, it will be critical to keep a close eye on this metric.
Comments
tpti
INterestng chart, could you maybe explain the logic behind the selected instruments? Why cannot you just look at ED (Libor) - fed fund future?
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