USD LIBOR 3 months and USD Libor 6 month

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