Euro Libor falls on ECB rate cut
Three month euro Libor dropped 20bp over the week to 2.45% today from 2.65% on Monday, January 12, following Thursday's 0.5% cut in interest rates by the European Central Bank, while sterling and dollar Libor remained stable.
The Ted spread, which measures perceived counterparty risk by tracking the difference between three-month dollar Libor and US treasury bills, closed yesterday at 0.98% from 1.01% at close on Monday, January 12. At 15:45 London time today, the Ted spread was up to 1.03%.
The overnight markets have been stable this week with euro Libor moving from 2.07% to 2.04% over the week, while
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