How to go long US 3-month T-Bills vs US 3-month LIBOR spread

Discussion in 'Financial Futures' started by 4XQs, Sep 17, 2008.

  1. 4XQs


    I don't trade much interest rate futures, but now I want to take a position in the 3m T-bills vs US 3-month LIBOR. Could anyone let me know how to size it and which contracts to use? I don't suppose there's an exchange-traded combo on CME, but have to be legged into?
  2. oriol88


    buy corporate debt, sell treasuries
  3. Badoit


    you might find it easier to trade a term spread out to 2 years - the 13wk futures dont see much activity usually.

    there are a few ways to trade the TED, but basically you gotta trade the differences in yields between a 2 yr and an equivalent synthestic bond made up from 8 sequential STIRS

    if you use Eurodollars, you should decide whether you want to use an unweighted or weighted GE Strip... in these conditions, I'd suggest a weighted strip as you get the credit spread and don;t have to worry about any changes in the yield curve...

    also, how do you want to measure it? Implied GE yield vs Treasury yield, or fixed BP spread to a GE futures rate? It matter how you contrust the trade...

    although, really, if you have to ask how to do it, you shouldnt really trade it.
  4. Charlescy


    Hello,Good Afternoon,

    Could someone tell me wich contracts to use to see TED with ESignal

    Is Libor exactly the same as the rate implied by EuroDollar?
    If Not what is the Difference ?

    Many Thanks

    Charles Cygler