Recent content by thisisbabak

Feb Fed Funds futures trading at 96.43! That roughly implies the market expects a 72% chance of a 75 bp cut. WoW! Anyone else short and getting killed here?

Good point, I think the CME slashed fees in 2004 to fend off the Eurex threat - but then subsequently increased them once the threat was gone. It'll be interesting to see how this unfolds.

Anybody heard about the new futures exchange hoping to challenge the CME's monopoly on UST-futures? Apparently the likes of Citadel, Getco and Peak6 are backing the new exchange which should make it popular with high volume/frequency traders...

The other one might be EURIBOR (www.euribor.org) which is almost the same as the BBA's EUR LIBOR. From my understanding, EURIBOR is much more widely used than EUR LIBOR.

If you don't have access to a Bloomberg or Reuters terminal then I'd suggest looking at page 1204 of Fabozzi's "The Handbook of Fixed Income Securities" for a formula for implied repo rate (do a search for it on Google Books). Next get conversion factors from CBOT.com or calculate yourself...

Can anybody explain why Canada Mortgage Bonds (CMBs) are trading almost 40 bps back of Canadas? If I understand correctly, CMBs are direct obligations of the CMHC (Canada Mortgage and Housing Corporation) and carry the full faith of the Government of Canada with respect to timely payments of...

There's a USD index contract at GLOBEX (IB: USS) but I don't think it trades.

Money market funds invest in a variety of short-term debt products such as bankers' acceptances, commercial paper, eurodollar deposits, t-bills, muni notes, etc. Since t-bills are the safest of the bunch, you could assume that a fund holding t-bills exclusively is safer than a fund that holds...

Short of trading basis swaps, swap spreads, or other derivatives through a dealer the term TED spread that you described is probably the best way to take a position on liquidity/flight-to-quality. I was looking at buying a 2-year term TED spread during the summer but didn't place any trades...

You would have to take positions in both contracts to trade the spread. Check this out: http://www.cbot.com/cbot/pub/cont_detail/0,3206,1175+14428,00.html

When LIBOR futures prices rise, LIBOR forward rates fall. You’re correct that market expectation of rate cuts can cause this, but expectations of improved liquidity in the future can also cause this. Therefore it’s possible for LIBOR futures prices to rise without the markets' view on...

The Fed Funds rate is the interest rate that depository institutions lend balances (held at the Federal Reserve) to each other overnight. LIBOR is the average overnight offering rate of interest on deposits both inside and outside of the US. For more detail visit...

I remember having the same questions as you not too long ago. If you want a true and meaningful answer then you have to invest the time and learn the market. This means (as someone already mentioned) going to the CBOT site and learning all about the contract specs. You should watch the market...