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USD LIBOR 3 months and USD Libor 6 month

Written by QuantArt Market

Forex Hedging | 10 min Read
Best Hedging Strategy For Importers, import port

  • USD Libor is at an almost all-time low due to the sharp interest rate cuts from the Fed on the back of the COVID-19 scare.
  • Current Fed futures indicating no change in the Fed fund rate by  2023.
  • The economic shock of COVID might not be temporary – the possibility of a jump in Libor is negligible.
  • Fed is not keen on negative rates – unless forced by a massive market crash – possible if a second infection wave comes back in a few months.
  • In all, expect that Libor would stay depressed for long.
  • The risk of keeping positions unhedged is minimal as the risk of a sharp rise in Libor is almost non-existent at this stage.

LIBOR Rates 

USD Libor 3 months 0.21838
USD Libor 6 months 0.25750

 IRS Levels

2Y 0.2350%
3Y 0.2729%
5Y 0.4092%

Against 3ML

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