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LIBOR, Eurodollar Futures and Options Days are Numbered

US EURODLR FUTURES
  • It's been a long time coming, but daily LIBOR settlements will cease after June 30, 2023. The latest 3M LIBOR settlement climbs to new 16 year high of 5.25129% (+0.05343/wk) with SOFR term rates the new reference.
  • Link to CME term SOFR daily settles at 0600ET.
  • MOST Eurodollar futures/options* that have not already been rolled will automatically transition to SOFR this Friday. *April 2023, May 2023 and June 2023 Eurodollar futures, and associated options will be excluded from the conversion and will continue to be available for trading until expiration. SR3 futures Onset Price = 3-Month Eurodollar futures settlement price + 26.161 bps.
  • Eurodollar futures are trading -0.030-0.010 through Mar'24, while SOFR futures trading firmer as well: the lead SFRM3 quarterly at 95.01 (-0.015), and -0.025-0.015 through SFRH4.
  • Fed funds implied hike for May'23 at 18.4bp, Jun'23 climbs to +22.2bp cumulative at 5.048%, while projected rate cuts later in the year gradually decline: Nov'23 cumulative -21.9bp to 4.607%, Dec'23 cumulative -38.7bp at 4.422.Fed Terminal currently at 5.03% in Jun'23.
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