We compute estimates of the historical spread adjustment for GBP-LIBOR on a regular basis. The data below is as of 2021-01-04.
| Spread type | GBP-LIBOR-1M | GBP-LIBOR-3M | GBP-LIBOR-6M | |
| Current Median | 3.4773 | 12.2818 | 27.8621 | |
| Minimum Median | 3.4305 | 11.4454 | 25.2390 | |
| Maximum Median | 3.5505 | 12.4071 | 28.9121 | |
| Mean | 3.6657 | 13.8936 | 27.095 | |
| Mean-Median | 0.1884 | 1.6118 | -0.7671 |
Contact us for more details on the hypothesis and methodology used.
We can provide production grade code that run those estimates on a daily basis.
Figure: Distribution of GBP-LIBOR-1M / GBP-SONIA compounded in arrears over 1M.