USD LIBOR 3 months and USD Libor 6 month
Forex Hedging |
We have been getting a few queries on USD libor rates and wanted to provide details for 3 months USD libor and 6 months USD libor
- 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