Eurodollar (LIBOR): Building Blocks for Interest Rate Swaps

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Course: Eurodollars and interest rate swaps allow market users to increase or decrease exposure to interest rate changes by converting a floating rate to a fixed rate, or vice versa. During this intermediate-level seminar, we discuss how Eurodollar futures are used to price interest rate swaps, and explore how Eurodollar futures may be used to lend or borrow money synthetically. We further examine the connection between Eurodollar futures and over-the-counter (OTC) interest rate swaps.

After the course you will be able to:

  • Quantify the Basis Point Value (BVP) exposure at each reset date on the loan
  • Calculate the strip rates by combining any number of successively deferred LIBOR futures maturities into a compound strip rate
  • Judge the cheap/rich attributes of swapping using exchange-traded product vs. and OTC interest rate swap
  • Explain CME's bundles and packs nomenclature
  • Understand the basis risk of -hedging a loan tied to the EDCOFI (Eleventh District Cost of Funds Index) with LIBOR futures
  • Recognize that loans with embedded caps and/or floors can be uncapped and de-floored by trading options with strike prices at the barrier points

Class Size: Registration is limited to approximately 15 participants to promote student participation and interaction.

Who Should Attend: Asset and liability managers who are prone to the volatility of short term rates. End-users of OTC interest rate swaps who desire to learn how OTC fixed-for-floating quote compares to what can be achieve in the exchange-traded derivative market, while obviating their counterparty risk. Representative of companies who have debt liabilities.

Level: Intermediate

Cost: $250 early-bird ends 4 weeks prior to course date; $375 standard registration.
Complimentary refreshments are provided.

To Register: Online click here, contact
the Institute at 202.223.1528
or via e-mail at

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