Free Trial

More Red-Strip Rolls, LIBOR Transition Risk Mitigation?


Heavy volume centered in Eurodollar Reds (EDZ1-EDU2) centered around spreads most likely due to LIBOR transition to the Secured Overnight Financing Rate (SOFR) positioning and risk mitigation.

  • Over 114,000 Red Dec'21/Mar'22 spds trade so far, mostly from +0.060 to 0.040 with better sellers reported. Red Mar'22 volume leads with over 435k traded so far, Red Dec'21 second highest with 244k. Various additional spds reported include EDH2 vs. EDM2 and EDU2.
  • Expect volume pick-up to continue as myriad entities that use Eurodollar futures (real$, bank & insurance portfolios, global macro, etc) start to adjust to retirement of LIBOR benchmark at end of 2021, particularly 3M of which Eurodollar futures are based on.
  • Transition from the traditional LIBOR benchmark to SOFR has been relatively slow, partially due liquidity and fallback provisions costs. Should see pace pick up as 2021 proceeds.

To read the full story



MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.