CHAPTER 2The Eurodollar Time Deposit
A Eurodollar time deposit is nothing more than a dollar deposit with a bank or bank branch outside of the United States or with an international banking facility (IBF) located in the United States. The world’s center for Eurodollar trading is London, but there are active Eurodollar markets in other parts of the world as well.
In this chapter, we cover various aspects of the Eurodollar time deposit market, including:
• Maturities and settlement
• LIBOR and LIBID
• Interest rate calculations
MATURITIES AND SETTLEMENT
Exhibit 2.1 shows the bid and ask rates for Eurodollar time deposits with maturities ranging from overnight to 10 years. The rates begin with two 1-day term deposits: overnight (O/N) and ...