USD LIBOR and SOFR Forward Curves
1-month and 3-month USD LIBOR forward curves represent the market's expectation of future fixings derived from readily observable trade data, including Eurodollar Deposits, Eurodollar Futures, and LIBOR swap rates. The Secured Overnight Financing Rate (SOFR) forward curve represents the average implied forward rate based on SOFR futures contracts. Both curves reflect future expectations of Federal Open Market Committee (FOMC) policy, but LIBOR is a forward-looking term rate while SOFR is an overnight rate. LIBOR also includes a component of credit risk not inherent in SOFR. Forward curves are often useful for forecasting and underwriting floating-rate debt. Contact us to speak with an expert.
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Transactions in over-the-counter derivatives (or “swaps”) have significant risks, including, but not limited to, substantial risk of loss. You should consult your own business, legal, tax and accounting advisers with respect to proposed swap transaction and you should refrain from entering into any swap transaction unless you have fully understood the terms and risks of the transaction, including the extent of your potential risk of loss. This material has been prepared by a sales or trading employee or agent of Chatham Hedging Advisors and could be deemed a solicitation for entering into a derivatives transaction. This material is not a research report prepared by Chatham Hedging Advisors. If you are not an experienced user of the derivatives markets, capable of making independent trading decisions, then you should not rely solely on this communication in making trading decisions. All rights reserved.
ICE BENCHMARK ADMINISTRATION LIMITED MAKES NO WARRANTY, EXPRESS OR IMPLIED, EITHER AS TO THE RESULTS TO BE OBTAINED FROM THE USE OF ICE LIBOR AND/OR THE FIGURE AT WHICH ICE LIBOR STANDS AT ANY PARTICULAR TIME ON ANY PARTICULAR DAY OR OTHERWISE. ICE BENCHMARK ADMINISTRATION LIMITED MAKES NO EXPRESS OR IMPLIED WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE IN RESPECT OF ANY USE OF ICE LIBOR.