PT  - JOURNAL ARTICLE
AU  - Jeff Bauman
AU  - John Coleman
AU  - Rob Powell
TI  - Using Eurodollar Futures to Create Inexpensive, Synthetic Swaps That Qualify for Hedge-Accounting Treatment
DP  - 2001 Sep 21
TA  - Special Issues
PG  - 80--85
VI  - 2001
IP  - 1
4099  - https://pm-research.com/content/2001/1/80.short
4100  - https://pm-research.com/content/2001/1/80.full
AB  - 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.