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Kamil90
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Joined: February 15th, 2012, 2:02 pm

3M LIBOR in different curencies

May 4th, 2014, 6:20 pm

I have a few short questions with regards to the LIBOR:By definition LIBOR is the rate banks lend each other. But, this rate can be quoted in different currencies. Does that mean that 3M EUR = 3M USD * FX holds? where FX is the current exchange rate between USD and EUR? Is LIBOR 3M the same "thing" for different currencies or it has some sort of exposure to the country of the currency or only to the exchange rate?Are 3M LIBOR ED Futures settled in USD outside of US? Does it mean that I can buy in Japan or England the same 3M USD LIBOR ED Future and pay the same amount of cash for the contract in USD? Do I have any other risks by carrying the transaction in two different countries? Lastly, since the above are called "Eurodollar", what are the futures for a referebce rate which is a lending rate for the banks inside of US for the same 3 months? For example LIBOR3M ED Future, does it mean the rate it refers to should be equal to the lending rate outside of the US(to be precise not just outside but a between a particular set of banks outside of the US the LIBOR is calculated from)? Is FedFund Future the US alternative for the ED Future?It gets confusing when multiple ccys involved! Thanks!
Last edited by Kamil90 on May 3rd, 2014, 10:00 pm, edited 1 time in total.
 
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Martinghoul
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3M LIBOR in different curencies

May 5th, 2014, 8:09 am

These are very basic questions and you're way off...Why don't you try to see if you can find answers yourself? It seems to me that it would help you understand...
 
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Kamil90
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Joined: February 15th, 2012, 2:02 pm

3M LIBOR in different curencies

May 6th, 2014, 4:54 pm

QuoteOriginally posted by: MartinghoulThese are very basic questions and you're way off...Why don't you try to see if you can find answers yourself? It seems to me that it would help you understand...I have been searching on web and I am still confused: "Libor rates are calculated for ten currencies and fifteen borrowing periods ranging from overnight to one year ". So, the published numbers come in different currencies. But I can always convert one ccy to another on the FX market, but I can't find a statement that the LIBOR quotes are connected through an exchange rate. Is this true?
Last edited by Kamil90 on May 5th, 2014, 10:00 pm, edited 1 time in total.
 
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Traden4Alpha
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3M LIBOR in different curencies

May 6th, 2014, 5:11 pm

QuoteOriginally posted by: Kamil90QuoteOriginally posted by: MartinghoulThese are very basic questions and you're way off...Why don't you try to see if you can find answers yourself? It seems to me that it would help you understand...I have been searching on web and I am still confused: "Libor rates are calculated for ten currencies and fifteen borrowing periods ranging from overnight to one year ". So, the published numbers come in different currencies. But I can always convert one ccy to another on the FX market, but I can't find a statement that the LIBOR quotes are connected through an exchange rate. Is this true?Think about what you are hypothesizing for a minute. Are you suggesting that because there's 101 YEN to the USD, that the 3M YEN rate is 101 times larger than the 3M USD rate?
 
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Martinghoul
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3M LIBOR in different curencies

May 6th, 2014, 6:24 pm

QuoteOriginally posted by: Kamil90QuoteOriginally posted by: MartinghoulThese are very basic questions and you're way off...Why don't you try to see if you can find answers yourself? It seems to me that it would help you understand...I have been searching on web and I am still confused: "Libor rates are calculated for ten currencies and fifteen borrowing periods ranging from overnight to one year ". So, the published numbers come in different currencies. But I can always convert one ccy to another on the FX market, but I can't find a statement that the LIBOR quotes are connected through an exchange rate. Is this true?Why would LIBOR quotes have a direct relationship with exchange rates? Like T4A suggested, try to apply common sense and you'll see the light, for sure...
 
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Kamil90
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3M LIBOR in different curencies

May 6th, 2014, 7:23 pm

QuoteOriginally posted by: Traden4AlphaThink about what you are hypothesizing for a minute. Are you suggesting that because there's 101 YEN to the USD, that the 3M YEN rate is 101 times larger than the 3M USD rate?yes, sure, I understand. But when they collect the quotes, say for USD LIBOR, do they ask for the quotes only banks that are located in US or they also use a quote from a bank that can be located outside but lending will be in USD?
 
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xpatagon
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Joined: June 1st, 2011, 1:31 pm

3M LIBOR in different curencies

May 6th, 2014, 7:37 pm

QuoteOriginally posted by: Kamil90QuoteOriginally posted by: Traden4AlphaThink about what you are hypothesizing for a minute. Are you suggesting that because there's 101 YEN to the USD, that the 3M YEN rate is 101 times larger than the 3M USD rate?yes, sure, I understand. But when they collect the quotes, say for USD LIBOR, do they ask for the quotes only banks that are located in US or they also use a quote from a bank that can be located outside but lending will be in USD?The "L" in LIBOR is the answer to your questionThe panel banks are listed on the administrator website
 
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cemil
Posts: 221
Joined: September 16th, 2005, 7:44 am

3M LIBOR in different curencies

May 7th, 2014, 7:09 am

================ ICE LIBOR* FIXING Interest Settlement Rates ========================= The definition of LIBOR was further refined during 1998 as part of a review of the LIBOR Fixing process by the British Bankers Association (BBA). The following definition came into effect on 01 October 1998: The ICE LIBOR* fixing is based upon rates supplied by ICE LIBOR Contributor Panel Banks. An individual ICE LIBOR Contributor Bank contribute the rates at which it could borrow funds, were it to do so by asking for and then accepting inter-bank offers in reasonable market size, just prior to 1100hrs. Contributor rates are ranked in order and the middle two quartiles averaged arithmetically. Such average rate will be the ICE LIBOR Fixing for that particular currency, maturity and fixing date. Basis: GBP is calculated on a 365-day basis USD, CHF, EUR, JPY is calculated on a 360-day basis Value Dates: The value date for the GBP ICE LIBOR fixing is the date on which the rate was actually fixed. EUR is 2 Target open days after the fixing and on all other currencies the value date is 2 London business days after the fixing. Further information on the ICE LIBOR fixing process is available on ICE's website: www.theice.com/iba.jhtml *Formerly known as BBA LIBORNB: 1. there is no relation between rates and ccy. 2. you can see the list of panel banks
Last edited by cemil on May 6th, 2014, 10:00 pm, edited 1 time in total.
 
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bearish
Posts: 5704
Joined: February 3rd, 2011, 2:19 pm

3M LIBOR in different curencies

May 7th, 2014, 9:29 am

QuoteOriginally posted by: cemil================ ICE LIBOR* FIXING Interest Settlement Rates ========================= The definition of LIBOR was further refined during 1998 as part of a review of the LIBOR Fixing process by the British Bankers Association (BBA). The following definition came into effect on 01 October 1998: The ICE LIBOR* fixing is based upon rates supplied by ICE LIBOR Contributor Panel Banks. An individual ICE LIBOR Contributor Bank contribute the rates at which it could borrow funds, were it to do so by asking for and then accepting inter-bank offers in reasonable market size, just prior to 1100hrs. Contributor rates are ranked in order and the middle two quartiles averaged arithmetically. Such average rate will be the ICE LIBOR Fixing for that particular currency, maturity and fixing date. Basis: GBP is calculated on a 365-day basis USD, CHF, EUR, JPY is calculated on a 360-day basis Value Dates: The value date for the GBP ICE LIBOR fixing is the date on which the rate was actually fixed. EUR is 2 Target open days after the fixing and on all other currencies the value date is 2 London business days after the fixing. Further information on the ICE LIBOR fixing process is available on ICE's website: www.theice.com/iba.jhtml *Formerly known as BBA LIBORNB: 1. there is no relation between rates and ccy. 2. you can see the list of panel banksWhat exactly do you mean by "NB: 1. there is no relation between rates and ccy"? Superficially, it makes no sense at all, but there may be some sort of subtle meaning that I am missing.
 
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cemil
Posts: 221
Joined: September 16th, 2005, 7:44 am

3M LIBOR in different curencies

May 7th, 2014, 12:11 pm

it is an answer to his question ("By definition LIBOR is the rate banks lend each other. But, this rate can be quoted in different currencies. Does that mean that 3M EUR = 3M USD * FX holds? ")
 
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Kamil90
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Posts: 178
Joined: February 15th, 2012, 2:02 pm

3M LIBOR in different curencies

May 7th, 2014, 5:43 pm

Thank you all! I think I grasped an idea of what LIBOR is and it has nothing to do with the FX market.
 
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riskguru
Posts: 79
Joined: August 11th, 2004, 4:24 pm

3M LIBOR in different curencies

May 8th, 2014, 4:35 pm

QuoteOriginally posted by: Kamil90Thank you all! I think I grasped an idea of what LIBOR is and it has nothing to do with the FX market.What about if you also included FX forwards (and not just spot) in your defintion of FX markets??
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