Fixed Income Charts — May 18, 2020

Bank funding risk returns to normal after a brief spike

Chart Highlights

  • The 3Month LIBOR-OIS spread has come back as rapidly as it widened.
  • It is a measure of bank credit risk and liquidity of lending.
  • The COVID-19 related widening was the largest since the Global Financial Crisis, but reached only half those levels.
  • The spread is back to pre-COVID levels.

Source: Qontigo