What’s In A Spread? Euro$ Futures Have Been Anticipating LIBOR-OIS For Seven Months
Since LIBOR is a hot topic again, though no 2a7 in sight, I thought I’d add one additional perspective that isn’t found in any other analysis. LIBOR is, of course, a money rate applied not to domestic funding but eurodollars on offer in London. The current criticism of the rate stems from the fact that there isn’t volume in unsecured [...]
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