[DcifrThs]

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Yeeeeesh, those are high rates.

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yea i think i must be missing something here. i haven't figured out exactly what the arbitrage here would be but there seems to be a gaping one.

according to the USD/GDP futures prices from CME, the implied 3F3 rate (the 3 month rate 3 months from now) is 5.8823%, yet the UK based LIBOR rate above 3F3 rate is 6.1868%. but since one comes from a currency i'm not exactly sure how to extract the arbitrage.

obviously you want to but low sell high so borrow at the 5.8823% rate and invest at the 6.1868% rate, but there is a currency transaction in there somehow that has to be round trip.

i've had some wine and scotch though so i'm probably not best equiped right now to figure it out. i'll try this again tomorrow...seems like there is either a) an explanation as to what i'm missing, or b) a really cool arbitrage opportunity

Barron