What can be used to replace the Libor - OIS indicator in assessing fear in money markets?

Question

Libor is dead and used to be uncollateralised. Libor-OIS was a useful indicator to measure the spread between risk free (central bank e.g. Fed funds) rate and the interbank lending rate. For example in 2008 the spread shot up reflecting fear in the money markets sector.

Now SOFR has replaced LIBOR and SOFR is collateralised with US treasuries. Therefore there is virtually no credit risk in SOFR, it's a collateralized rate. If I lend 100m for 6 months to another bank though, it's not collateralized.

What can Treasury desk use nowadays to assess the fear factor in interbank lending, other than CDS baskets?

Thanks

Answer 1

At this point most Libors are dead but not all. USD Libor goes away in June 23 so you have some time there. Also, Euribor lives on in a reformed state so you can continue to look at the Euribor- Ester spread. In addition, several credit sensitive indices have been started recently in the US. For example , BSBY and Ameribor are now published and are meant to provide an alternative to SOFR. Other sources of information you could look at include bank issued commercial paper and certificate of deposit prices. Indeed these are included in the calculation of the two indices I mentioned.