Henry, I have a few questions that you could help me with regarding libor/eurodollar issues. TIA if you field some or all of these.
1. Do you know of site/sites on the net where I can get 1 month Libor physical (i.e. not a futures contract) on a daily basis? Bloomberg.com lists 3 month libor. I found one sight that has Bridge info believe it or not in Turkey, but it isn't that reliable a site. I have been referred to the BBA site but don't find it there.
2. Commercial banks are going much more to libor based pricing rather than prime based. Can you give some of the reasons for that? I initially thought that it had some reserve requirement issues...i.e. that banks have no reserve requirements in eurodollar based assets/liabilities versus United States based assets/liabilities. But the reasons I am getting from bankers these days are that the Eurodollar market is the largest in the world and it is easier to do asset/liability matching on the eurodollar futures market. I ask why is it so large? Why doesn't a futures market based on Fed funds get just as large? Tradition, I'm told. Sounds like a shallow answer to me.
3. I understand to some extent the swap process building a synthetic out of eurodollar futures from one month to ten years, etc. Can you differentiate for me libor versus eurodollar. I have repeatedly been told that they are the same. When I go to CME and look at their contract specifications, I see that the contract they call Libor is 1 month based and it seems that the Eurodollar contract is a three-month based. Bankers have told me that the terms libor and eurodollar are interchangeable. However, I don't believe this information. Daily on quote.yahoo.com under fannie mae i can find this link from bridge via ap
Eurodollar rates:
Overnight, 4.8125-4.875
1 month, 4.8125-4.875
3 months, 4.875-4.9375
6 months, 4.96875-5.03125
1 year, 5.15625-5.21875
London Interbk Offered Rate:
3 months, 5.00
6 months, 5.06
1 year, 5.31
biz.yahoo.com
Obviously they are not the same.
Again, tia. |
