Interest rate futures

This topic has 1 reply, 2 voices, and was last updated 7 years ago by John Moffat.

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September 6, 2018 at 10:51 am #471812
goeswhatever
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Dear Sir, when calculating the basis for IRFs, will the futures move in accordance to LIBOR rate, or the rate the company is able to borrow at? For e.g. LIBOR is 5%, company borrowing rate is 6%, futures is 95.45 currently, do we calculate the futures movements in 1 month’s time using the difference between LIBOR and current futures or between company borrowing rate and current futures? Thanks!
September 6, 2018 at 2:02 pm #471846
John Moffat
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Futures prices always move in line with LIBOR. (I do explain this in my free lectures on interest rate risk management 🙂 )
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