Eurodollar futures
E17345
Eurodollar futures are interest rate futures contracts based on U.S. dollar deposits held outside the United States, widely used to hedge or speculate on short-term dollar interest rates.
Statements (48)
| Predicate | Object |
|---|---|
| instanceOf |
exchange-traded derivative
→
financial derivative → interest rate futures contract → |
| alsoUsedFor |
arbitrage between cash and futures interest rate markets
→
speculation on future short-term interest rates → |
| clearedBy |
CME Clearing
→
|
| contractMonths |
December
→
June → March → September → |
| contractType |
standardized exchange-traded contract
→
|
| currencyOfTrade |
USD
→
|
| denominatedIn |
United States dollar
→
|
| distinguishedFrom |
over-the-counter interest rate forwards
→
|
| hedgingHorizon |
short-term interest rate exposures up to several years ahead
→
|
| introducedBy |
Chicago Mercantile Exchange
→
|
| introducedIn |
1981
→
|
| linkedInPracticeTo |
Eurodollar time deposits
→
interest rate swaps → money market instruments → |
| marginSystem |
exchange clearinghouse margining
→
|
| marginType |
performance bond (initial margin)
→
|
| marketParticipants |
asset managers
→
commercial banks → corporate treasurers → hedge funds → investment banks → proprietary trading firms → |
| maturity |
3 months
→
|
| priceMoveConvention |
quoted in price points and ticks
→
|
| priceRelationship |
futures price falls when expected interest rates rise
→
futures price rises when expected interest rates fall → |
| primaryUse |
hedging short-term U.S. dollar interest rate risk
→
|
| quotedAs |
100 minus the annualized 3‑month USD LIBOR rate
→
|
| regardedAs |
benchmark for short-term U.S. dollar interest rate expectations
→
|
| regionOfUnderlyingDeposits |
banks outside the United States
→
|
| riskManagementUse |
hedging bank funding costs
→
hedging corporate floating-rate borrowing costs → hedging interest rate swap exposures → |
| settlementDayBasis |
actual/360 day-count convention
→
|
| settlementType |
cash settled
→
|
| tickSize |
0.005 price points
→
|
| tickValue |
12.50 U.S. dollars per contract
→
|
| tradedOn |
CME Globex electronic trading platform
→
Chicago Mercantile Exchange → |
| typicalContractSize |
1,000,000 U.S. dollars notional
→
|
| underlyingAsset |
U.S. dollar time deposits held outside the United States
→
|
| underlyingReference |
3-month U.S. dollar LIBOR
→
|
Referenced by (5)
| Subject (surface form when different) | Predicate |
|---|---|
|
Eurodollar time deposits
→
Fed funds futures → |
relatedTo |
|
CME Group
→
|
hasKeyProduct |
|
CME
→
|
notableContract |
|
Chicago Mercantile Exchange
→
|
notableProduct |