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Hi,In the current market, it seems that more and more Institutions are switching from Libor rates to futures rates as input to build zero curves. Bloomberg has modified their default curves because "Libor rates are becoming less meaningful".Does this means that one have to give up Libor rates?I would welcome any comments on that topic. What are your respective bank currently doing?Many thanks for your input?

Futures are LIBOR rates... You might be talking about switching from LIBOR fixings to use live rates, implied by FRAs and futures. There have been many threads on these forums that discuss these issues.

Yes Martinghoul. This is what I wanted to say. I did not find any topic providing with clear info on that. But maybe I did not search enough.My question reformulated is that we can see very large diff between the futures' implied rates and the one we can recalculate form Libor. For instance GBP: as at 08/01/09 we have BP0003M = 2.56785% and BP0006M = 2.866625% and a future LH9 = 1.59% and this seems not to be consistent. If I want to enter an OTC IRS, what should I use to compute my par swap rate? Using one curve or the other one will definitely entail a difference. Or am I mistaken?

LH9 gives you the forward 3M LIBOR out of 18-Mar-2009. There is no contradiction...You need to read some books and, as I normally do, I recommend Tuckman.

Thanks Matinhoul. I do understand that LH9 is the forward 3M Libor but don't you think it is quite low compared to the Libor rates?Isn't it true that the 3M-6M forward rate has to be a bit higher than the 3M spot rate (if the curve is upward sloping)?I am a bit lost I have to say.

It's low, because there are cuts priced in, which means that the curve is, most definitely, not upward sloping.

The GBP Libor spot curve is not upward sloping?Well I think I am totally lost.