De LIBOR_OIS spread kan beschouwd worden als een graadmeter voor de gezondheid van het bancaire systeem in Europa en een soort van tegenhanger van de TED spread in de VS. Het wordt ook wel eens de ‘risico barometer’ genoemd. Via Wikipedia:
3-month LIBOR is generally floating rate of financing, which fluctuates depending on how risky a lending bank feels about a borrowing bank. The OIS is a swap derived from the overnight rate, which is generally fixed by the local central bank. The OIS allows LIBOR banks to borrow at a fixed rate of interest over the same period. In the United States the spread is based on the LIBOR Eurodollar rate and the Federal Reserve’s Fed Funds rate. LIBOR is risky in the sense that the lending bank loans cash to the borrowing bank, and the OIS is considered stable as both counterparties only swap the floating rate of interest for the fixed rate of interest. The spread between the two is therefore a measure of how likely borrowing banks will default. This reflects risk premiums in contrast to liquidity premiums.
Sinds augustus klom de LIBOR-OIS spread fors hoger, wat wijst op toenemende stress in het Europese bancaire systeem (lees: slinkende liquiditeiten)