Historical Levels
In the United States, the LIBOR–OIS spread generally maintains around 10 bps. This changed abruptly, as the spread jumped to a rate of around 50 bps in early August 2007 as the financial markets began to price in a higher risk environment. Within months, the Bank of England was forced to rescue Northern Rock from failure. The spread continued to maintain historically high levels as the crisis continued to unfold.
As markets improved, the spread fell and as of October 2009, stood at 10 bps once again, only to rise again as struggles of the PIIGS countries threatened European banks. As of December 2011, the spread again stands at 40+ bps level.
Read more about this topic: Overnight Indexed Swap
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