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CME on LIBOR Settle, Sep Futures/Options Expiration

The CME Group has confirmed the final settlement price for Sep'22 Eurodollar (EDU2) futures (and 3M Sep options expiration) will be based on the 3M USD Libor fix published this Friday, Sep 16 due to UK bank closure for the Queen's funeral next Monday Sep 19. ICE Benchmark Administration (IBA) will not publish USD LIBOR on that day..
  • The CME will follow Chapter 452 of our rulebook in relation to Eurodollar futures, specifically “the final settlement price of an expiring contract shall be 100.0000 minus the three-month U.S. dollar ICE LIBOR wholesale funding rate (“rate”) for the second London bank business day immediately preceding the third Wednesday of the contract’s named month of delivery.”

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