G-20 proposals fail to lift interbank confidence

The proposals of world leaders to stabilise financial markets had little significant impact on the interbank market, with the Ted spread and Libor figures remaining at similar levels to before the weekend.

The biggest movement was in the three-month markets, where dollar borrowing rates rose 0.15 percentage points from 2.24% on Friday, November 14 to 2.39% today. Three-month sterling Libor fell from 4.18% to 4.15% and three-month Euro borrowing rates fell from 4.22% to 4.19%.

In the overnight markets, dollar Libor and Euro Libor both declined from 0.41% to 0.4%, and 3.05% to 3.01% respectively. Overnight sterling rates remained at 3% from Friday November 14.

The Ted spread, a measure of perceived counterparty risk, closed on Friday, November 14 at 2.1%. At 12:45pm London time today, the Ted spread remained at 2.1%.

The Chicago Board Options Exchange's Vix volatility index, which measures the implied volatility of Standard & Poor's 500 index options, closed on Friday, November 14 at 66.31, up from 59.83 on Thursday, November 13.

World leaders met over the weekend to discuss efforts to strengthen economies and tackle the financial crisis. The meeting was intended to "lay the foundation for reform to help to ensure that a similar crisis does not happen again" by strengthening transparency and accountability; developing market regulation with strong oversight of credit rating agencies; promoting integrity and preventing market manipulation; and reinforcing international co-operation.

See also: Dollar Libor and Ted climb again