is there a US version of LIBOR?

This is a discussion on is there a US version of LIBOR? within the First Steps forums, part of the Reception category; seems strange that the eurodollar interest rate contract at CME is based on Dollar Libor. Why don't they base it ...

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Old Jul 15, 2008, 12:33pm   #1
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is there a US version of LIBOR?

seems strange that the eurodollar interest rate contract at CME is based on Dollar Libor. Why don't they base it on American banks rate?

short sterling is based on the bank rate in its home country. why don't the US do the same?
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Old Jul 15, 2008, 1:39pm   #2
 
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Actually ICAP have recently introduced a competitor to LIBOR for the USD called NYFR for more or less the reasons you mentioned.

See http://www.icap.com/news/2008/icap-l...r-fixings.aspx
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Old Jul 15, 2008, 1:46pm   #3
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Old Jul 15, 2008, 1:48pm   #4
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Originally Posted by arabianights View Post
Actually ICAP have recently introduced a competitor to LIBOR for the USD called NYFR for more or less the reasons you mentioned.

See http://www.icap.com/news/2008/icap-l...r-fixings.aspx
I thought they introduced it as an opportunistic thing in direct response to the investigation in to alleged manipulation of the BBA daily fix by the clearers trying to do a bit of smoke and mirrors around their funding costs......

You know different?

curious

GJ
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Old Jul 15, 2008, 1:50pm   #5
 
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GJ, by now you should have twigged I don't know anything
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Old Jul 15, 2008, 1:53pm   #6
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Old Jul 15, 2008, 2:17pm   #7
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Originally Posted by brut View Post
seems strange that the eurodollar interest rate contract at CME is based on Dollar Libor. Why don't they base it on American banks rate?

short sterling is based on the bank rate in its home country. why don't the US do the same?
Eurodollars are dollars on deposit (or for loan) outside the US. As such domestic US rates are not really appropriate - though obviously they influence. That's what LIBOR is all about. If you want to trade the US equivalent of short sterling then trade the T-Bill contract.
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Old Jul 15, 2008, 6:53pm   #8
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brut started this thread john, thanks. so t bill is the equivalent to short sterling.

am i correct in saying that the t-bill is a bond however? ie is the t-bill future an interest rate future or a bond future?
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Old Jul 15, 2008, 7:28pm   #9
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john, thanks. so t bill is the equivalent to short sterling.

am i correct in saying that the t-bill is a bond however? ie is the t-bill future an interest rate future or a bond future?
No. A T-Bill is a discount security and they have initial maturities of 1 year or less. The T-Notes are in the 2-10 year maturity ranges. T-Bonds are longer, generally 30 years at issuance.

T-Bill futures are futures on T-Bill prices, which are discounted based on their yields.
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Old Jul 15, 2008, 10:22pm   #10
 
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thanks john, sorry for more questions. am i right to say the t-notes and t-bonds are considered bonds, but not the t-bills? what category of securuty do t bills fall into?
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