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C2&')&0 /0'&285/ /04&0+08, 60/ 30-17- LIBOR 5& :12:&03: 31/./'5/< /0 7%&'+05/;/ %+37-, $/37/287) '-=& $&%1/72-35(& 7%&'+05(& +530+0)0( 3 %&<0+5;-4+ EEE /.2-'-F0, ,/08 + /6&58 5+97/<, 1&%/:05/308F '&H/20-. OIS LIBOR-OIS !"#$%. L-334/0%+4 +530%)4&50 Overnight Indexed Swap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–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mLIBOR-3mOIS 3$%&'- ?- %+3. 2 $%/+22F30%+%/1-5- '+5-4+7- 3$%&'- 4&=') 30-17/< LIBOR + 30-17/< '&$/9+05/;/ 3&%0+H+7-0- 5- 3%/7 3 4&3:>-. "-7 4/=5/ 9-4&0+08, 3$%&' /6&58 )97+<, 60/ $/91/2:&0 ;/1/%+08 / 0/4, 60/ 3&%8&95(, $%/.2&4 3 2+71+'5/308F .-57/137/< 3+30&4( CDE 5& .(2/. B2-;/'-%: I0/4), 4/=5/ 3'&2-08 1(1/' / 0/4, 60/ %-3J+%&5+& 3$%&'- LIBOR-OIS (34. %+3. 1) 31:9-5/ 5& 3 1/9%/3J+4+ %+37-4+ 2+71+'5/30+, - 3 1/9%/3J+4+ %+37-4+ 7/50%-;&50/1, 0.&. 3 %+37-4+ 5&$2-0&=&3$/3/.5/30+. 9 8 7 LIBOR-OIS $6"!+ 6 LIBOR 3m 5 4 3 2 1 0 2010 2009 2008 2007 2006 2005 2004 2003 2002 2001 2000 1999 1998 1997 -1 L+3. 2. !+5-4+7- 3mLIBOR-3mCD 3$%&'103 AAA corp – T-Bills !"#$%. C)*&301)&0 &*& /'+5 +50&%&35(< $/7-9-0&28, $/91/2:F*+< />&5+08 %+37+ I7/5/4+7+ 1 >&2/4. Q0/0 $/7-9-0&28 %-336+0(1-&03: 7-7 %-95+>- 4&=') 30-17/< $/ /.2+;->+:4 7/4$-5+< 3 %&<0+5;/4 EEE + 30-17/< $/ 0-7 5-9(1-&4(4 T-Bills, ;/3)'-%301&55(4 /.2+;->+:4 CDE 5/'+5 + 0/0 =& 3%/7. C4(32 '-55/;/ 3$%&'- 9-72F6-&03: 1 0/4, 60/ %-95+>- 4&=') )32/15/ .&9%+37/1/< 30-17/< + 30-17/< '2: 7/4$-5++ 3 1(3/7+4 %&<0+5;/4, 5&9-1+3+4/ /0 '&<301)F*&< /0%-32+, $/91/2:&0 />&5+08 )%/1&58 %+37-, $%+3)*+< I7/5/4+7& 1 >&2/4, - 5& /0'&285/ .-57/137/4) 3&70/%), 7-7 I0/ .(2/ 1 32)6-& 3 LIBOR-OIS. ?- %+3. 3 $%+1&'&5- '+5-4+7- 3$%&'- LIBOR-OIS + 3$%&'AAA corp – T-Bills. R/=5/ 9-4&0+08, 60/ 1 2006–2007 ;/'-, +, $/1&'&5+& 1&3843,/=&, /'5-7/ 5-6+5-: 3 2008 ;/'- ./2&& -;%&33+15(< %/30 '&4/530%+%)&0 3$%&' AAA corp – T-Bills, 60/ $/91/2:&0 3'&2-08 1(1/', 60/ %+37+ I7/5/4+7+ 95-6+0&285/ $%&1(J-F0 %+37+ .-57/137/;/ 3&70/%- CDE. 7 6 AAA corp - T-Bills $6"!+ LIBOR-OIS $6"!+ 5 4 3 2 1 07.2010 04.2010 01.2010 10.2009 07.2009 04.2009 01.2009 10.2008 07.2008 04.2008 01.2008 10.2007 07.2007 04.2007 01.2007 10.2006 07.2006 04.2006 01.2006 0 L+3. 3. !+5-4+7- LIBOR-OIS 3$%&'- + AAA corp – T-Bills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uarterly review, December 2010 [Q2&70%/55(< %&3)%3]. – URL: http://www.bis.org/statistics/otcder/dt1920a.pdf 2. Daniel L. Thornton What the Libor-OIS spread says // Economic synopses. – 2009. – T 24. 3. Frisancho-Mariscal I., Howells P. Interest rate pass-through and risk / Center for Global Finance, Bristol Business School. – Bristol, 2009. 4. Taylor J., Williams J. A black swan on money markets // NBER Working Paper. – 2008. – T 13943. G/2)6&5/ 26.04.2011 V.P. Pervadchuk, D.E. Galkin Perm state technical university THE ROLE OF THE LIBOR INTERBANK RATE IN THE WORLD ECONOMY The article considers the role of the LIBOR interest rate in economy as well as various modifications of indicators to assess credit, insolvency and liquidity risks. A snap analysis of the global financial market with investigated instruments was carried out. Keywords: LIBOR, LIBOR-OIS spread, LIBOR-CD spread, credit risks.