CME Group has unveiled its proposed plan for eurodollar futures and options in the event of a fallback trigger after the FCA stops compelling banks to submit the data used to calculate LIBOR at the end of 2021. “Eurodollar futures and options remain deeply liquid and continue to grow year after year.” The proposal is designed to provide liquidity support to traders who are forced into selling their contracts ahead of the deadline on July 31. However, in the event of a fallback trigger, eurodollar futures would be converted into SOFR futures with the same expiry month and a strike determined by adding a spread adjustment to the pre-fallback eurodollar price. Options would still be listed because conversion would result in different strike prices to the standard listed strike prices. Upon exercise, the resulting eurodollar futures would immediately convert SOFR futures.
CME Group has unveiled its proposed plan for eurodollar futures and options in the event of a fallback trigger after the FCA stops compelling banks to submit the data used to calculate LIBOR at the end of 2021. The proposal is designed to provide liquidity support to traders who are forced into selling their contracts ahead of the deadline on July 31. However, in the event of a fallback trigger, eurodollar futures would be converted into SOFR futures with the same expiry month and a strike determined by adding a spread adjustment to the pre-fallback eurodollar price. Options would still be listed because conversion would result in different strike prices to the standard listed strike prices. Upon exercise, the resulting eurodollar futures would immediately convert SOFR futures.