Eurodollar Future [ED, CME] - Financial definition
Concise definition of the term Eurodollar Future [ED, CME]
The Eurodollar future is a short term interest rate futures contract listed on the CME. It's underlying is a 1 million dollar deposit with a duration of 90 days.
Comprehensive definition of the term Eurodollar Future [ED, CME]
Created in 1982, the eurodollar future is one of the world's most liquid futures contracts.
Contract specifications
| Market codes | ED (floor) GE (CME Globex) |
| Price quote | Quoted in IMM Three-Month LIBOR index points or 100 minus the rate on an annual basis over a 360 day year (e.g., a rate of 1.5% shall be quoted as 98.50). 1 basis point = .01 = $25. |
| Currency | USD |
| Market | Chicago Mercantile Exchange (CME) |
| Contract value | 1 000 000 USD |
| Minimum price change (tick) | One-quarter of a basis point (0.0025) in the nearest expiring contract month; One-half of one basis point (0.005) in all other contract months. The "new" front-month contract begins trading in 0.0025 increments on the same Trade Date as the Last Trading Day of the expiring "old" front-month contract. |
| Tick value | 6.25 USD for the front month, 12.50 USD for the other contract months |
| Quoted contract months | March, June , September, December, extending out 10 years (total of 40 contracts) plus the four nearest serial expirations (months that are not in the March quarterly cycle). The new contract month terminating 10 years in the future is listed on the Tuesday following expiration of the front quarterly contract month. |
| Trading hours | 7.20h - 14.00h (floor), 17.00h - 16.00h (Globex) |
| Last trading day | The second London1 bank business day prior to the third Wednesday of the contract expiry month. Trading in the expiring contract closes at 11:00 a.m. London Time on the last trading day. |
| Settlement | Cash settlement, based on the BBA fixing for 3 month eurodollar interbank deposits. |
1If that day is not a business day in New York, the date is changed to the following business day.