How to get daily OIS-LIBOR Spread?

Discussion in 'Economics' started by Wolfgang1756, Feb 8, 2010.

  1. Does anyone know of a web site that one can obtain the daily OIS-LIBOR spread?

    For those that do not know, it the spread between the FedFunds and LIBOR, usually about 10 basis points... except during the Lehmann Brothers collapse, when it surged to 270!

  2. I don't think you'll find this data free out there... 3M FedFund swap rates never were. BBA has now decided that LIBOR historical data will only be available freely with a 2 month delay. If you really need this badly, PM me and I will help (all appropriate disclaimers apply).