{"id":534,"date":"2020-12-07T11:38:15","date_gmt":"2020-12-07T11:38:15","guid":{"rendered":"https:\/\/www.stirfutures.co.uk\/?p=534"},"modified":"2020-12-08T16:12:55","modified_gmt":"2020-12-08T16:12:55","slug":"december-2020-eurodollar-ed-futures-react-to-libor-transition","status":"publish","type":"post","link":"https:\/\/www.stirfutures.co.uk\/?p=534","title":{"rendered":"Eurodollar (ED) futures react to Libor transition announcements"},"content":{"rendered":"\n<p><em>For an explainer on Libor transition, see preceding post.<\/em><\/p>\n\n\n\n<p>On Monday, 30<sup>th<\/sup> November, IBA announced the start of a consultation that involves an extension of the discontinuation timeline for key tenors in US Libor to mid-. This announcement caused ED futures settling pre-June 2023 to move higher since expectations are that these contracts will now reference actual Libor, expected to be lower than fallback Libor that would affect contracts settling post-June 2023.\u00a0<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img loading=\"lazy\" decoding=\"async\" width=\"739\" height=\"473\" src=\"https:\/\/www.stirfutures.co.uk\/wp-content\/uploads\/2020\/12\/EDM2.png\" alt=\"\" class=\"wp-image-537\" srcset=\"https:\/\/www.stirfutures.co.uk\/wp-content\/uploads\/2020\/12\/EDM2.png 739w, https:\/\/www.stirfutures.co.uk\/wp-content\/uploads\/2020\/12\/EDM2-300x192.png 300w\" sizes=\"auto, (max-width: 739px) 100vw, 739px\" \/><\/figure>\n\n\n\n<p><strong>EDM2 reacts to IBA announcement on 30<sup>th<\/sup> November. Chart by Refinitiv<\/strong><\/p>\n\n\n\n<p>On Friday 4<sup>th<\/sup> December, ISDA stated, \u201c<em>an announcement early next year for all US dollar LIBOR tenors would fix the spread for all tenors. And in that instance, the spread would be applied \u2013 that is to say, contracts would fall back to the fall-back rate after June 2023.\u201d<\/em><\/p>\n\n\n\n<p>ED futures continued their post 30th November trend more aggressively by re-pricing the post-June 2023 strip (referencing the fall-back rate) about 10bps higher (futures price fall 10 ticks) than those settling pre-June 2023 (which would continue to reference USD 3m LIBOR).\u00a0 ED M3U3 widened by about 10 ticks from 30<sup>th<\/sup> November. This was effectively a 10 standard deviation event on a one-year trading range of 4.5 ticks.\u00a0\u00a0<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img loading=\"lazy\" decoding=\"async\" width=\"674\" height=\"481\" src=\"https:\/\/www.stirfutures.co.uk\/wp-content\/uploads\/2020\/12\/EDM3U3.png\" alt=\"\" class=\"wp-image-538\" srcset=\"https:\/\/www.stirfutures.co.uk\/wp-content\/uploads\/2020\/12\/EDM3U3.png 674w, https:\/\/www.stirfutures.co.uk\/wp-content\/uploads\/2020\/12\/EDM3U3-300x214.png 300w\" sizes=\"auto, (max-width: 674px) 100vw, 674px\" \/><\/figure>\n\n\n\n<p><strong>ED M3U3 spread widens 10 ticks on elevated volume<\/strong>. <strong>Chart by Refinitiv<\/strong><\/p>\n","protected":false},"excerpt":{"rendered":"<p>For an explainer on Libor transition, see preceding post. On Monday, 30th November, IBA announced the start of a consultation that involves an extension of the discontinuation timeline for key tenors in US Libor to mid-. This announcement caused ED futures settling pre-June 2023 to move higher since expectations are that these contracts will now [&hellip;]<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[1],"tags":[],"class_list":["post-534","post","type-post","status-publish","format-standard","hentry","category-uncategorized"],"_links":{"self":[{"href":"https:\/\/www.stirfutures.co.uk\/index.php?rest_route=\/wp\/v2\/posts\/534","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.stirfutures.co.uk\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.stirfutures.co.uk\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.stirfutures.co.uk\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/www.stirfutures.co.uk\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=534"}],"version-history":[{"count":5,"href":"https:\/\/www.stirfutures.co.uk\/index.php?rest_route=\/wp\/v2\/posts\/534\/revisions"}],"predecessor-version":[{"id":546,"href":"https:\/\/www.stirfutures.co.uk\/index.php?rest_route=\/wp\/v2\/posts\/534\/revisions\/546"}],"wp:attachment":[{"href":"https:\/\/www.stirfutures.co.uk\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=534"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.stirfutures.co.uk\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=534"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.stirfutures.co.uk\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=534"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}