Abstract
Over-the-counter swaps are basically a retail market. The dealer community prices and hedges its LIBOR-based swaps off the eurodollar futures curve. A corporate treasurer can cut out the middleman and save money by using Eurodollar futures to replicate interest-rate swaps. This article provides 1) a primer on Eurodollar futures and 2) guidelines for hedging with Eurodollar futures in a manner that is compliant with FAS 133.
- © 2001 Pageant Media Ltd
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