Looking at Libor data

Libor is in the news. Barclays, and probably some other banks have been fidding it. There will be a lot of lawsuits soon enough. It’s interesting to look at the actual Libor rate values and get a feel for how they vary. The British Bankers Association (BBA) publish the Libor rates for the last 6 months with a 2 month delay – data from Dec 2011 to May 2012 is currently available here. The data is for 10 currencies and for 15 tenors from overnight to 12 months. I’ve used the May data to create the three graphs below.

Figure 1 shows the yield curve on May 1st for each currency. This is a motion chart – you can use the slider to move through the month and see how the yield curve changes from day to day.

Figure 2 shows how the various LIBOR rates for each currency change through the month for a particular selected tenor.

Figure 3 shows how the various LIBOR rates for each tenor change through the month for a particular selected currency.

The graphs highlight some notable features, for example

  • Something happened to the DKK rate on the 24th May and for the next few days – it drops suddenly.
  • The DKK rate is above the GBP rate for all tenors – except the two month tenor (until it has its drop on May 24th)
  • Some rates are almost completely flat (e.g. JPY) most seem to drop very slightly during the month (e.g. GBP) whereas the USD rate was the exception to the rule – it rose slightly.