Sunday, 19 April 2020

Updates on LIBOR/ON spread

Some updates on the LIBOR/Overnight compounded in arrears spreads. Posted without comments.

We refer to the previous post on Signing the LIBOR fallback protocol: a cautionary tale for the first graph, Forward looking the spread between forward looking and backward looking rates  for the second one and to LIBOR Fallback: a median in a crisis for the third one.

Using the forward ON curves for the next 3 months, the spread is 29.21 bps (computed with the median). The spread if computed with mean would be 35.34 bps, a difference of more than 6 bps.