Pegasus Capital

The £ 3mth LIBOR fix has been moving higher without any notion of change to BOE rate. As rates have been moving up generally, and there is always additional premium across the year-end turn, it is easy to overlook that higher credit risk is now appearing in the £ LIBOR fix. Market expectations for base rates over next 12 months have fallen back to zero, but £3m LIBOR is at a new cycle high of just above 0.9%

Chart 1: £3m FRA/OIS


Chart2: £3m LIBOR fix

£3M LIBOR 06Dec18.png

PegasusCapital - Thu 6th Dec

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£ LIBOR spreads to implied BOE rate close in on 2016 high

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PegasusCapital - Thu 6th Dec