LIBOR forward curve

MacroVar analyzes the LIBOR forward curve to monitor the market’s expectations for the Federal Reserve’s monetary policy actions (rate hikes/cuts) and its effects on financial markets and the US economic outlook.

The 3-month USD LIBOR forward curve represents the market’s expectation of future fixings derived from trade data of Eurodollar Futures and LIBOR swap rates. The 3-month USD LIBOR forward curve reflects future expectations of Federal Open Market Committee (FOMC) policy.

idvarSep-21Dec-21Mar-22Jun-22Sep-22Dec-22Mar-23Jun-23Sep-23Dec-23Mar-24Jun-24Sep-24Dec-24
3USD 3M LIBOR0.1400.2100.2100.2900.3850.5500.6600.8001.0201.1551.2701.3851.4951.590

LIBOR forward curve (1 week)

idvar21-Sep21-Dec22-Mar22-Jun22-Sep22-Dec23-Mar23-Jun23-Sep23-Dec24-Mar24-Jun24-Sep24-Dec
3USD 3M LIBOR0.0000.0050.0050.0050.0050.0250.0250.0250.0300.0450.0500.0600.0650.065

LIBOR forward curve prediction

The chart below presents historical data of LIBOR forward curve over the actual path LIBOR followed. The forward curve has been a very accurate predictor 6-months in advance, of market events.

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