We compute estimates of the historical spread adjustment for USD-LIBOR on a regular basis. The data below is as of 2020-12-22.
| Spread type | USD-LIBOR-1M | USD-LIBOR-3M | USD-LIBOR-6M | |
| Current Median | 11.8796 | 26.9280 | 45.5777 | |
| Minimum Median | 11.6466 | 26.2982 | 42.8282 | |
| Maximum Median | 12.2351 | 28.1811 | 49.1824 | |
| Mean | 13.9231 | 33.6027 | 50.9622 | |
| Mean-Median | 2.0435 | 6.6747 | 5.3845 |
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 USD-LIBOR-1M / USD-SOFR compounded in arrears over 1M.