PT - JOURNAL ARTICLE AU - Robert Brooks AU - David Yong Yan TI - London Inter–Bank Offer Rate (LIBOR) versus Treasury Rate AID - 10.3905/jfi.1999.319232 DP - 1999 Jun 30 TA - The Journal of Fixed Income PG - 71--83 VI - 9 IP - 1 4099 - https://pm-research.com/content/9/1/71.short 4100 - https://pm-research.com/content/9/1/71.full AB - 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.