ICE Eurodollar

From MarketsWiki
Revision as of 19:14, 20 April 2021 by OwenRehling (talk | contribs) (Created page with "{{Random_adbox}} Cash settled future based on the USD LIBOR rate for three month deposits.<ref>{{cite web|url=|name=...")
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)
Jump to navigation Jump to search

Marex Logo -90px.jpg

Cash settled future based on the USD LIBOR rate for three month deposits.[1] A Eurodollar refers to any United States dollar held outside the U.S. banking system. This is American currency held in off-shore accounts in other countries.[2]

LIBOR is the abbreviation for the London Interbank Offered Rate, which is the interest rate that banks charge each other to borrow short-term on the London interbank market. It is also used more broadly to set short-term interest rates.

Contract Specs[edit]

Eurodollar Futures
Trading Screen Product Name Eurodollar Futures
Trading Screen Hub Name ICEU
Contract Symbol ED
Contract Series Mar, Jun, Sep and Dec quarterly expirations extending out 5-years and 1 additional quarterly expiration (21 quarterly expirations), plus the two (2) nearest serial monthly expirations (months that are not in the Mar, Jun, Sep, Dec quarterly cycle).
Trading Hours 7:45pm – 5:00pm Eastern (New York) Time, Sunday – Friday. Market pre-open at 7:30pm ET, Sunday – Friday.
Last Trading Day The second London bank business day prior to the third Wednesday of the contract expiry month, at 11:00am London time.
Contract Size $2,500 * Rate Index
Currency US Dollars and cents
Trading Price Quotation 100 minus the numerical value of the rate index
Tick Size One-quarter of one basis point (0.0025) or $6.25 per contract.
Daily Settlement Price Quotation One-quarter of one basis point (0.0025) or $6.25 per contract.
Final Settlement Price Quotation 1/100 of one basis point (0.0001) or $0.25 per contract
Floating Price In respect of daily settlement, the Floating Price will be determined by ICE using price data from a number of sources including spot, forward and derivative markets for both physical and financial products
Final Settlement Expiring contracts are cash settled to 100 minus the ICE Benchmark Administration survey of 3-month U.S. Dollar LIBOR on the last trading day. Final settlement will be rounded to four decimal places, equal to 1/100 of one basis point, or $0.25 per contract.
Minimum Price Fluctuation 0.0025 ($6.25)
Final Payment Date Final settlement occurs on the last trading day of the contract month.
Business Days ICE Clear Europe Business Days
Clearing Venues ICEU
NEW YORK 7:45 PM - 5:00 PM*

19:45 - 17:00

7:30 PM


LONDON 12:45 AM - 10:00 PM*

00:45 - 22:00

12:30 AM


SINGAPORE 7:45 AM - 5:00 AM*

07:45 - 05:00

7:30 AM


*Next Day
Codes Clearing Admin Name Eurodollar
Physical ED
Logical ED