Risk glossary

 

Libor-OIS spread

The Libor-OIS spread is the difference between Libor – the floating rate at which banks lend to each other – and overnight index swap rates, which are set by central banks. As Libor reflects bank credit risk, while OIS is considered risk-free, the Libor-OIS spread is widely seen as a gauge of the creditworthiness of the banking system. 

Click here for articles on the Libor-OIS spread. 

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