the Futures Industry Association has unveiled its proposed plan for eurodollar futures and options in the event of a fallback trigger after the SOFR stops compelling banks to submit the data used to calculate LIBOR at the same expiry month . Without a fallback trigger, the exchange will continue to support eurodollar futures and options; the most-traded interest-rate derivatives tracked by FCA . 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 the Futures Industry Association 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. Without a fallback trigger, the exchange will continue to support eurodollar futures and options; the most-traded interest-rate derivatives tracked by the Futures Industry Association. 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.