Answered By: Barbara Coffey Last Updated: Sep 25, 2019 Views: 47
This spread is used as a health measure on banks. The following piece from the St. Louis Fed details how this spread is used. https://files.stlouisfed.org/files/htdocs/publications/es/09/ES0924.pdf - the following description is from the St. Louis Fed article.
"The term Libor-OIS spread is assumed to be a measure of the health of banks because it reflects what banks believe is the risk of default associated with lending to other banks"
For the the 3-month LIBOR and the overnight index swap (OIS) rate use LOIS <go> on Bloomberg.
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