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Forward Curve

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Updated Daily. Last Update: 8/16/2022

The Forward Curve is the market’s projection of LIBOR based on Eurodollar Futures and Swap data. The forward curve is derived from this information in a process called “bootstrapping”, and is used to price Interest Rate Options like Caps and Floors, as well as Interest Rate Swaps.

Our Forward Curve includes additional indices and scenarios to help you run better analysis against your financials models. These include SOFR and Prime with the ability to shock the curve higher and lower using one or two standard deviation movements derived from implied option volatility, the FOMC’s own “dot plot”, as well as some more generic scenarios.

You can download the Forward Curve by clicking the link below. If you have any questions, please contact us at PensfordTeam@pensford.com, or (704) 887-9880.

Download              Forward Curve Archive

Reset Date
1-month Term SOFR
3-month Term SOFR
1-month LIBOR
8/16/2022 2.30% 2.74% 2.38%
9/16/2022 2.85% 3.10% 3.06%
10/16/2022 3.10% 3.31% 3.14%
11/16/2022 3.32% 3.46% 3.89%
12/16/2022 3.49% 3.54% 3.76%
1/16/2023 3.53% 3.59% 3.76%
2/16/2023 3.58% 3.63% 3.77%
3/16/2023 3.64% 3.64% 3.77%
4/16/2023 3.63% 3.62% 3.77%
5/16/2023 3.62% 3.58% 3.77%
6/16/2023 3.57% 3.46% 3.68%
7/16/2023 3.49% 3.37% 3.67%
8/16/2023 3.29% 3.30% 3.65%
9/16/2023 3.29% 3.30% 3.44%
10/16/2023 3.29% 3.30% 3.44%
11/16/2023 3.29% 3.30% 3.44%
12/16/2023 3.29% 3.18% 3.23%
1/16/2024 3.29% 3.05% 3.23%
2/16/2024 2.89% 2.89% 3.24%
3/16/2024 2.87% 2.89% 2.84%
4/16/2024 2.87% 2.89% 2.84%
5/16/2024 2.87% 2.89% 2.84%
6/16/2024 2.87% 2.75% 2.84%
7/16/2024 2.87% 2.63% 2.84%
8/16/2024 2.48% 2.48% 2.58%
9/16/2024 2.46% 2.47% 2.58%
10/16/2024 2.46% 2.48% 2.58%
11/16/2024 2.46% 2.48% 2.58%
12/16/2024 2.46% 2.48% 2.58%
1/16/2025 2.46% 2.48% 2.58%
2/16/2025 2.46% 2.48% 2.58%
3/16/2025 2.46% 2.48% 2.58%
4/16/2025 2.46% 2.48% 2.58%
5/16/2025 2.46% 2.48% 2.58%
6/16/2025 2.46% 2.39% 2.58%
7/16/2025 2.46% 2.30% 2.58%
8/16/2025 2.19% 2.21% 2.31%
9/16/2025 2.19% 2.21% 2.31%
10/16/2025 2.19% 2.21% 2.31%
11/16/2025 2.19% 2.21% 2.31%
12/16/2025 2.19% 2.21% 2.31%
1/16/2026 2.19% 2.21% 2.31%
2/16/2026 2.19% 2.21% 2.31%
3/16/2026 2.19% 2.21% 2.31%
4/16/2026 2.19% 2.21% 2.31%
5/16/2026 2.19% 2.21% 2.31%
6/16/2026 2.19% 2.21% 2.31%
7/16/2026 2.19% 2.20% 2.31%
8/16/2026 2.18% 2.20% 2.30%
9/16/2026 2.18% 2.20% 2.30%
10/16/2026 2.18% 2.20% 2.30%
11/16/2026 2.18% 2.20% 2.30%
12/16/2026 2.18% 2.20% 2.30%
1/16/2027 2.18% 2.20% 2.30%
2/16/2027 2.18% 2.20% 2.30%
3/16/2027 2.18% 2.20% 2.30%
4/16/2027 2.18% 2.20% 2.30%
5/16/2027 2.18% 2.20% 2.30%
6/16/2027 2.18% 2.23% 2.30%
7/16/2027 2.18% 2.27% 2.31%
8/16/2027 2.28% 2.30% 2.40%
9/16/2027 2.28% 2.30% 2.40%
10/16/2027 2.28% 2.30% 2.40%
11/16/2027 2.28% 2.30% 2.40%
12/16/2027 2.28% 2.30% 2.40%
1/16/2028 2.28% 2.30% 2.40%
2/16/2028 2.28% 2.30% 2.40%
3/16/2028 2.28% 2.30% 2.40%
4/16/2028 2.28% 2.30% 2.40%
5/16/2028 2.28% 2.30% 2.40%
6/16/2028 2.28% 2.32% 2.40%
7/16/2028 2.28% 2.34% 2.41%
8/16/2028 2.34% 2.36% 2.45%
9/16/2028 2.35% 2.37% 2.45%
10/16/2028 2.35% 2.37% 2.45%
11/16/2028 2.35% 2.37% 2.45%
12/16/2028 2.35% 2.37% 2.45%
1/16/2029 2.35% 2.37% 2.45%
2/16/2029 2.35% 2.37% 2.45%
3/16/2029 2.35% 2.37% 2.45%
4/16/2029 2.35% 2.37% 2.45%
5/16/2029 2.35% 2.37% 2.45%
6/16/2029 2.35% 2.39% 2.45%
7/16/2029 2.35% 2.40% 2.45%
8/16/2029 2.40% 2.42% 2.52%
9/16/2029 2.40% 2.42% 2.52%
10/16/2029 2.40% 2.42% 2.52%
11/16/2029 2.40% 2.42% 2.52%
12/16/2029 2.40% 2.42% 2.52%
1/16/2030 2.40% 2.42% 2.52%
2/16/2030 2.40% 2.42% 2.52%
3/16/2030 2.40% 2.42% 2.52%
4/16/2030 2.40% 2.42% 2.52%
5/16/2030 2.40% 2.42% 2.52%
6/16/2030 2.40% 2.45% 2.52%
7/16/2030 2.40% 2.48% 2.52%
8/16/2030 2.49% 2.51% 2.61%
9/16/2030 2.49% 2.51% 2.61%
10/16/2030 2.49% 2.51% 2.61%
11/16/2030 2.49% 2.51% 2.61%
12/16/2030 2.49% 2.51% 2.61%
1/16/2031 2.49% 2.51% 2.61%
2/16/2031 2.49% 2.51% 2.61%
3/16/2031 2.49% 2.51% 2.61%
4/16/2031 2.49% 2.51% 2.61%
5/16/2031 2.49% 2.51% 2.61%
6/16/2031 2.49% 2.54% 2.61%
7/16/2031 2.49% 2.58% 2.61%
8/16/2031 2.60% 2.62% 2.71%
9/16/2031 2.60% 2.62% 2.71%
10/16/2031 2.60% 2.62% 2.71%
11/16/2031 2.60% 2.62% 2.71%
12/16/2031 2.60% 2.62% 2.71%
1/16/2032 2.60% 2.62% 2.71%
2/16/2032 2.60% 2.62% 2.71%
3/16/2032 2.60% 2.62% 2.71%
4/16/2032 2.60% 2.62% 2.71%
5/16/2032 2.60% 2.62% 2.71%
6/16/2032 2.60% 2.67% 2.71%
7/16/2032 2.60% 2.72% 2.71%