CHAPTER 5
LIBOR
LIBOR is an imperative chapter because it represents the shortest-term open market interest rate after a General Collateral (GC) repo rate that is widely anticipated, widely viewed, and widely traded every trading day. It is an open market rate and the first rate to inform other rates in all markets. Because LIBOR is priced to the currency, it is one of the most important of rates as a trading day begins. This chapter addresses the various types of LIBOR and the various interest rates associated with each rate in order to understand a spot price. LIBOR may begin in the United Kingdom but LIBOR interest travels to all markets and is informed by an internal LIBOR inside each nation's bank market. Two types of LIBOR are released ...
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