Current trends indicate that the spread between the London inter-bank offered rate (Libor) and the equivalent overnight index swap rate (OIS) is approaching the yearly high.
OIS refers to the predicted Federal funds rate over the time-period of a loan.
Libor for three-month loans is 0.88 per cent - just down on the 0.9 per cent record set on April 21st.
In turn, this is well up from the 0.24 per cent spread registered on January 24th - although down on 2007's high of 1.06 per cent, set in December.
A large disparity between Libor and OIS is indicative of banks' nervousness in advancing funds to each other.
This is, in turn, a key feature of the credit crunch - which has seen banks announce multi billion dollar write-downs due to their exposure the now-collapsed sub-prime sector.
Speaking to the news agency, Bulent Baygun at BNP Paribas commented: "Given the dynamics that have persisted in the past few weeks, it looks like there could be a little bit more room for an increase.''