U.S. Dollar (Eurodollar) LIBOR Rates

The London Interbank Offered Rate (LIBOR)
from the interest-rate specialists at www.FedPrimeRate.comSM

Friday, October 30, 2009

The One-, Three-, Six- and Twelve-Month Eurodollar LIBOR Rates All Slipped Lower On The Week

The one-, three-, six- and twelve-month Eurodollar LIBOR rates all slipped lower on the week. On the day, the 12-month rate rose while the 1-, 3- and 6-month rates remained static. The 3-month TED spread expanded on both the day and the week.

image courtesy: The Wall Street Journal
Image courtesy: The Wall Street Journal Online

52-Week Lows

The 52-week low for each of the above LIBOR rates is currently:

3-Month: 0.28063
6-Month: 0.56438
12-Month: 1.19813

Right now, the yield on the 3-month U.S. Treasury Bill is 0.045%. Therefore, the 3-month TED spread is currently 0.23563 percentage point; it was 0.23063 yesterday, 0.23188 last Friday and 4.60875 on October 10, 2008 during the peak of the global credit crisis.

For the 3-month TED spread, a figure between zero and 0.50 percentage point (0.50 percentage point = 50 basis points) is a strong indication that large, international banks are lending money to each other with confidence.

A Eurodollar is a U.S. dollar deposited in any bank outside the United States.

Click here for historical LIBOR values.

Click here for a chart comparing LIBOR to the Prime Rate and the target fed funds rate.

Click here to read about how U.S. Dollar LIBOR fixing works.

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