Libor has been moving higher
Libor has been moving higher, in tandem with the climb in shorter dated Treasury yields, as the FOMC comes into full view now with a 25 bp tightening fully expected on Wednesday, and another hike increasingly priced in for December. As for Libor, the 3-month rate rose 1.3 bps to 2.36638% following yesterday's 1.59 bp gain. The 3-month rate is now at the highest since May 4. Meanwhile, the effective funds rate (EFFR) remains at 1.92%, where it's traded all month; it dipped to 1.91 on the August 31 month-end date. With IOER at 1.95%, the 3 bps spread to EFFR holds. There's talk the FOMC will again adjust IOER higher by 20 bps with next week's 25 bps interest rate hike, but analysts suspect the Committee will wait for the spread to collapse toward 0 again before acting, likely in December.