Eurodollar Futures, LIBOR and the SFOR

Muhammad Mustafa Rashid

MPRA Paper from University Library of Munich, Germany

Abstract: The Chicago Mercantile Exchange is a global derivatives market place. The CME group is an order driven exchange that facilitates the trading of forward, futures and options contract on numerous products within key asset classes such as agriculture/ energy/metals, equities, interest rates, and exchange rates. Hence a very popular US interest rate futures contract is the three-month Eurodollar futures traded on the CME. The article historical in nature explores the Eurodollar, LIBOR, and the Secured Overnight Financing Rate which is to be the LIBOR replacement in 2021.

Keywords: Eurodollar; LIBOR; Interest Rates; Financial Crises; Secured Overnight Financing Rate (SOFR). (search for similar items in EconPapers)
JEL-codes: E4 E5 G21 N1 N14 N2 (search for similar items in EconPapers)
Date: 2020-03-19, Revised 2020-07-19
New Economics Papers: this item is included in nep-his and nep-mac
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:101760

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