| | | Bloomberg -- Once-Mighty Eurodollar Futures Contract Will Soon Be No More .................
bloomberg.com
or
archive.ph
excerpts :
<<<<< Eurodollars debuted in 1981 and became CME’s biggest product in terms of volume and open interest by 1988. They are futures on the three-month US dollar Libor, a decades-old reference rate for bonds, loans and other forms of credit. Their demise is a result of the emergence beginning in 2008 of evidence that Libor had been manipulated by the lenders that contributed the rates used to calculate it. >>>>>
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<<<<< A panel of industry representatives and regulators picked SOFR to replace US dollar Libor in 2017. Regular publication of three-month Libor will end on June 30, though a synthetic version will be available for another three months.
Under plans in development since 2019, eligible eurodollar futures will be converted to SOFR equivalents at a fixed spread of 26.161 basis points. That figure was established through the historical difference between Libor an unsecured rate and SOFR, which is based on secured loans and published by the New York Fed. >>>>>
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<<<<< The end of eurodollars would have been inconceivable before 2008, when lots of 25,000 to 50,000 were routinely traded, Muoio said. He said his biggest eurodollar trade was 96,000 contracts >>>>>
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<<<<< Most users of short-term interest-rate futures and options have already switched to SOFR from eurodollars. According to CME, open-interest in SOFR products is about 50 million, while open interest in eurodollars slated for conversion had dwindled to about 7 million as of last week. It peaked at nearly 85 million in June 2019. >>>>>
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