Monday, 11 August 2008

Sterling LIBOR yield curve falls

Here is some tentative evidence that the credit curve may have moderated slightly in the last month or so. According to the British Bankers Association, the Sterling LIBOR yield curve has fallen slightly. The moderation is most marked at the 12 month section of the curve. The 12-month LIBOR rate has fallen some 27 basis points.

Has this drop in LIBOR rates convinced the banks to start lending to each other? To find out, we will need to wait until the Bank of England publishes interbank lending data.

3 comments:

CWS said...

You should track these numbers more regularly. Very interesting.

Patrick Crozier said...

Do you have a link to where these numbers came from? I am not suggesting you made them up or anything but it's always nice to be able to check for oneself.

Alice Cook said...

Patrick,

www.bba.org.uk

I always quote my sources (well, nearly always, I occasionally I forget).

This post mentions the source: the British Bankers Association, who publish LIBOR data with a one week delay.

Feel free to check, and if you find I have made a mistake (which is more than possible) let me know and I will make a correction.

Alice