US 3-month T-bill rate vs Libor narrows to 422 bps

NEW YORK Tue Oct 14, 2008 9:13am EDT

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NEW YORK Oct 14 (Reuters) - A widely watched market gauge of fear that reflects demand for ultra safe short-dated government paper versus interbank lending markets narrowed slightly on Tuesday on details of a U.S. rescue plan for banks.

The gap of the 3-month dollar denominated Libor or London interbank offered rate over rates on 3-month U.S. Treasury bills narrowed to about 422 basis points early on Tuesday in New York, from about 459 basis points late on Friday, which was near the widest in a decade.

U.S. fixed income markets were closed on Monday for the Columbus Day public holiday. (Reporting by John Parry and Chris Reese; Editing by Theodore d'Afflisio)

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