Term SOFR, USD LIBOR, and Treasury Forward Curves
The Secured Overnight Financing Rate (SOFR) forward curve represents the implied forward rate based on SOFR futures contracts and other SOFR-indexed financial instruments. The 1-month USD LIBOR forward curve represents the market's expectation of future fixings derived from readily observable trade data, including Eurodollar Deposits, Eurodollar Futures, and LIBOR swap rates. 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. The 5-year, 7-year, and 10-year Treasury forward curves represent the market-implied future yields of on-the-run U.S. Treasury notes. Forward curves are often useful for forecasting and underwriting floating- and fixed-rate debt or for calculating yield maintenance. Contact us to speak with an expert.
See how past forward curve projections have stacked up
Review our "hairy charts" for an analysis showing 1-month USD LIBOR, 3-month GBP LIBOR, and 3-month EURIBOR forward curves versus actual rate fixings over time.
Market Rates and Calculators
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European Market Rates
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Chatham Hedging Advisors, LLC (CHA) is a subsidiary of Chatham Financial Corp. and provides hedge advisory, accounting and execution services related to swap transactions in the United States. CHA is registered with the Commodity Futures Trading Commission (CFTC) as a commodity trading advisor and is a member of the National Futures Association (NFA); however, neither the CFTC nor the NFA have passed upon the merits of participating in any advisory services offered by CHA. For further information, please visit chathamfinancial.com/legal-notices.
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.