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yuhtyng
Topic Author
Posts: 25
Joined: June 5th, 2007, 2:15 am

3 Month T-bill rate

September 6th, 2007, 2:59 pm

I want to find the 3M T-Bill rates of some countries from Bloomberg-Treasury & Money Markets. In US and UK, there is T-Bill rate. However, in Japan, EURO, Austria, Switzerland, there is no information about T-Bill rate. How can I find these rates ? Or there is some other rate that means T-Bill rate? Tks.
 
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Martinghoul
Posts: 3255
Joined: July 18th, 2006, 5:49 am

3 Month T-bill rate

September 6th, 2007, 4:57 pm

I think for EURO the closest thing you might be able to use is Bubills, and maybe Italian CCTs, but these are somewhat idiosyncratic mkts...I don't believe there's anything like T-bills in a conventional US sense... What do you need bills for?
 
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yuhtyng
Topic Author
Posts: 25
Joined: June 5th, 2007, 2:15 am

3 Month T-bill rate

September 7th, 2007, 12:01 am

In Bloomberg for EURO and Austria, can I use "EUR LIBOR FIX" to replace T-bill rate? And for Japan, can I use "LIBOR FIX" ? For Switzerland, can I use "CHF LIBOR FIX"? Tks. I need these data to do macro economics analysis, or anyone can tell me whatelse can I do?Tks.
 
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cemil
Posts: 221
Joined: September 16th, 2005, 7:44 am

3 Month T-bill rate

September 7th, 2007, 7:02 am

For euro, you need to use french tbills (benchmark) till 1year instead of german tbills.you cannot use libor fixing to replace tbills rate.
 
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Martinghoul
Posts: 3255
Joined: July 18th, 2006, 5:49 am

3 Month T-bill rate

September 7th, 2007, 7:51 am

Hehehe, you most certainly don't wanna be using LIBORs these days... There's some very interesting shenanigans going on there.And for Italy, I meant BOTs, not CCTs, sorry... I think for short stuff in EMU there isn't quite the degree of unanimity that you're looking for, so every mkt can be different, as I mentioned.
 
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cemil
Posts: 221
Joined: September 16th, 2005, 7:44 am

3 Month T-bill rate

September 7th, 2007, 8:22 am

EMU don't exist :-)Actually the short term benchmark for euro is the french tbills.And if you want to build a yield curve for each county you need to get the tbills of this country.
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