TY - JOUR T1 - London Inter–Bank Offer Rate (LIBOR) versus Treasury Rate JF - The Journal of Fixed Income SP - 71 LP - 83 DO - 10.3905/jfi.1999.319232 VL - 9 IS - 1 AU - Robert Brooks AU - David Yong Yan Y1 - 1999/06/30 UR - https://pm-research.com/content/9/1/71.abstract N2 - The Treasury curve and the London Inter–Bank Offer Rate (LIBOR) curve are the two most widely used proxies for the risk-free rate or the basis of a discount rate. We find there are significant structural differences between these two curves. On average, the LIBOR curve has a higher level and is steeper, while the Treasury curve has more curvature. In some extreme cases, the two curves could be completely different and move in opposite directions. We also find that, in short term, the difference in the slope dominates the difference in the curvature. The findings of this study are important to asset valuation and interest rate risk management. ER -