As LIBOR falls, the Eurodollar futures rise (see chart).
from Bloomberg:
The cost of borrowing in dollars between banks had its biggest two-day drop in more than four months amid confidence record low interest rates and a recovery among financial institutions is unlocking credit.
The London interbank offered rate, or Libor, for three- month dollar loans declined three basis points today to 0.75 percent, the British Bankers’ Association said, bringing its drop in the past two days to seven basis points, the most since Jan. 13. The rate has decreased in each of the past 35 days.
“The tension has disappeared and we are gradually normalizing,” said Patrick Jacq, a senior fixed-income strategist in Paris at BNP Paribas SA, the biggest French lender. “There’s less stress in the market and banks know they will get liquidity.”
