Can anyone help me? Short Sterling/Euribor/Libor

[borla123]

I have been searching the forums for these topics but it seems all the information are very scattered. I am looking for a basic explanation of these products, in particular the short sterling. I understand that LIBOR is the average rate of credit worthy banks for unsecured deposits, and Euribor is the same except the banks are from the EU. What is short sterling? From what I read, it is a pool of banks from England but the futures contract only trades in 3months? As compared to the LIBOR and Euirbor has a duration across multiple time frames.

 

[Martinghoul]

Why don't you go to the LIFFE website and read the product specs for these futures?

In answer to your basic question, short sterling is a future referencing 3M GBP LIBOR and Euribor future - 3M EURIBOR.

 

[borla123]

Why don't you go to the LIFFE website and read the product specs for these futures?

In answer to your basic question, short sterling is a future referencing 3M GBP LIBOR and Euribor future - 3M EURIBOR.

thanks for your help. So the LIBOR that we normally hear (as in libor is at all time high!! on cnbc, etc..)is the 3 month USD Libor ( futures contract, the 3 month eurodollar future)? So the Short sterling is the same thing but it's for GBP denominated assets? Is euribor simply the EUR LIBOR? referencing rate for EUR denomiated assets?

I guess I just keep hearing about LIBOR and eurodollars that I have a frame cast in my head. Also, if eurodollar is an interest rate product, the the same news that moves currencies should impact these futures no?

 

[Martinghoul]

Yes, the one that's been in the news recently is the USD LIBOR (as you correctly said, Eurodollar futures are the ones that settle to USD 3M LIBOR). BBA publishes LIBOR fixings for a whole bunch of currencies, not just USD. Among them is GBP and the 3M GBP LIBOR is what LIFFE short sterling futures settle to. EURIBOR is also an unsecured lending rate, but the setting is slightly different, in that the fixings are published by the EBF, not the BBA (BBA does publish EUR LIBOR, but it's not used as much as the EURIBOR). Also, the mechanics used to determine EURIBOR are different and some of the differences are significant (size of the panel, the exact question asked in the poll, etc).

Yes, correct. Things that move the ccies should move interest rate futures, but it's not as simple as that. You need to think about what the implications of the particular news is for interest rates and, specifically, for LIBOR.

 

[TheBigDog]

NB Euro libor does not equal Euribor

short sterling is a future referencing 3M GBP LIBOR and EURIBOR future - 3M Euro Libor

 

[Martinghoul]

NB Euro libor does not equal Euribor

short sterling is a future referencing 3M GBP LIBOR and EURIBOR future - 3M Euro Libor

EURIBOR futures reference index is 3M EURIBOR, not 3M EUR LIBOR.

 

[r4jen]

Short sterling, is the UK interest rate future, just like euribor is with the EU and eurodollar is in the US

 

[TheBigDog]

EURIBOR futures reference index is 3M EURIBOR, not 3M EUR LIBOR.

no its not. its eur libor it doesnt reference itself

 

[MrGecko]

no its not. its eur libor it doesnt reference itself

Yes it is.

3M EUR LIBOR is published by the BBA
EURIBOR is published by... well, someone else.

The two aren't the same - sample size, nature of the Q?...

 

[Martinghoul]

Yes it is.

3M EUR LIBOR is published by the BBA
EURIBOR is published by... well, someone else.

The two aren't the same - sample size, nature of the Q?...

Yes, as MrG says, EURIBOR futures reference 3M EURIBOR, which is published by the EBF, not the BBA.

 

[arabianights]

I understand there was a euro libor contract for a little bit through, and even a euro libor-euribor roll quoted on LIFFE. Dunno anything about it though and could be talking ********!

 

[Martinghoul]

I understand there was a euro libor contract for a little bit through, and even a euro libor-euribor roll quoted on LIFFE. Dunno anything about it though and could be talking ********!

There was one, but Euribor took over. It's kinda like there's a Eurex Euribor contract, but nobody cares.

 

[arabianights]

There is a market maker on eurodollar on LIFFE still. I've often thought a cunning plan, if one has a long term view on a large (say 1000 ticks in the front greens) move on eurodollar, would be to hit them in massive size... then because they can't fully offset the margin on their LIFFE contracts against CME (by my understanding) they may be forced to liquidate as VaR goes up to you at better prices than you would get at CME.

Or that may make no sense.

 

[Martinghoul]

There is a market maker on eurodollar on LIFFE still. I've often thought a cunning plan, if one has a long term view on a large (say 1000 ticks in the front greens) move on eurodollar, would be to hit them in massive size... then because they can't fully offset the margin on their LIFFE contracts against CME (by my understanding) they may be forced to liquidate as VaR goes up to you at better prices than you would get at CME.

Or that may make no sense.

Interesting, but somewhat scary... You may never again be able to walk in the street without fearing a drive-by.

 

[arabianights]

Was just shot by gooseman, fooking large calibre too. Only have third leg now. Ideas?