Tuesday, December 18, 2007
3:00 p.m. CT

Reduced liquidity in the bank funding markets due to the collapse of the subprime mortgage market in the summer of 2007 resulted in a significant increase in the volatility of the spread between the Fed Funds rate and the London Interbank Offered Rate (LIBOR). This presentation will analyze the relationship between these two key short-term interest rates and the spreading opportunities they create.

• Banking Background
• Overview of Fed Funds and LIBOR Futures
• History of the Fed Funds-LIBOR Spread
• Constructing a Fed Fund-LIBOR Spread Trade

If you have questions or problems, please contact CME Customer Service at 1-800-331-3332 or info@cme.com.