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.

id var Sep-21 Dec-21 Mar-22 Jun-22 Sep-22 Dec-22 Mar-23 Jun-23 Sep-23 Dec-23 Mar-24 Jun-24 Sep-24 Dec-24
3 USD 3M LIBOR 0.140 0.210 0.210 0.290 0.385 0.550 0.660 0.800 1.020 1.155 1.270 1.385 1.495 1.590

LIBOR forward curve (1 week)

id var 21-Sep 21-Dec 22-Mar 22-Jun 22-Sep 22-Dec 23-Mar 23-Jun 23-Sep 23-Dec 24-Mar 24-Jun 24-Sep 24-Dec
3 USD 3M LIBOR 0.000 0.005 0.005 0.005 0.005 0.025 0.025 0.025 0.030 0.045 0.050 0.060 0.065 0.065

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.