Skip to main content

The hairy chart: Historical accuracy of LIBOR forward curves

The graphs below plot the past forward curves over the actual path LIBOR followed. They show that the forward curve has been a somewhat accurate predictor over the next six months or so, pricing in more foreseeable market events in the near term. Beyond that, they have not generally been accurate as the market does not predict further and less certain events. This is the reason for the significant delta or “error” in forward rate predictions, particularly exaggerating the error when significant unanticipated events move LIBOR.

The forward curve remains an important base case for underwriting, with most investors adding a variety of scenarios for stress testing.

1-month USD LIBOR vs. historical forward curves

USD LIBOR historical forward curves q1 2022

Revised March 31, 2022

3-month GBP LIBOR / SONIA vs. historical forward curves

Revised March 31, 2022

3-month EURIBOR vs. historical forward curves

Revised March 31, 2022

Do you have questions about interest rates, forward curves, or underwriting?

Contact us to learn more