{"id":559,"date":"2021-03-16T13:25:56","date_gmt":"2021-03-16T13:25:56","guid":{"rendered":"https:\/\/www.stirfutures.co.uk\/?p=559"},"modified":"2021-03-16T13:25:56","modified_gmt":"2021-03-16T13:25:56","slug":"endgame","status":"publish","type":"post","link":"https:\/\/www.stirfutures.co.uk\/?p=559","title":{"rendered":"Endgame"},"content":{"rendered":"\n<p>The&nbsp;FCA announced&nbsp;on 5<sup>th<\/sup> March 2021 future cessation of the 35 LIBOR benchmark settings currently published by ICE Benchmark Administration (IBA), which constitutes an index cessation event under the IBOR&nbsp;Fallbacks Supplement and the ISDA 2020 IBOR&nbsp;Fallbacks Protocol. This announcement triggers the official fallback spread calculation&nbsp;published by Bloomberg<\/p>\n\n\n\n<p>The announced&nbsp;end-dates are the same as the ones in the&nbsp;IBA consultations launched in late November.<\/p>\n\n\n\n<ul class=\"wp-block-list\"><li>Immediately after 31 December 2021, in the case of all sterling, euro, Swiss franc and Japanese yen settings, and the 1-week and 2-month US dollar settings;<\/li><li>Immediately after 30 June 2023, in the case of the remaining US dollar settings<\/li><\/ul>\n\n\n\n<p>Short Sterling futures (and Swiss Franc futures) are likely to cease trading post December 2021 with the Eurodollar futures likely to cease trading post June 2023. Euribor futures will continue.&nbsp;&nbsp;<\/p>\n\n\n\n<p>Any contracts settling after these end-dates will include the official fallback spread.&nbsp; The Eurodollar M3U3 spread therefore should lock to 26.26bps for 3M USD LIBOR and the Short Sterling Z1H3 spread should be 12.93bps<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><a href=\"https:\/\/www.stirfutures.co.uk\/wp-content\/uploads\/2021\/03\/1.jpg\"><img loading=\"lazy\" decoding=\"async\" width=\"940\" height=\"603\" src=\"https:\/\/www.stirfutures.co.uk\/wp-content\/uploads\/2021\/03\/1.jpg\" alt=\"\" class=\"wp-image-560\" srcset=\"https:\/\/www.stirfutures.co.uk\/wp-content\/uploads\/2021\/03\/1.jpg 940w, https:\/\/www.stirfutures.co.uk\/wp-content\/uploads\/2021\/03\/1-300x192.jpg 300w, https:\/\/www.stirfutures.co.uk\/wp-content\/uploads\/2021\/03\/1-768x493.jpg 768w\" sizes=\"auto, (max-width: 940px) 100vw, 940px\" \/><\/a><\/figure>\n\n\n\n<p><strong>Eurodollar M3U3 spread<\/strong><\/p>\n\n\n\n<p>The Eurodollar M3U3 spread closed at 0.24 on 15<sup>th<\/sup> March, a discount of \u22482bps.<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><a href=\"https:\/\/www.stirfutures.co.uk\/wp-content\/uploads\/2021\/03\/2.jpg\"><img loading=\"lazy\" decoding=\"async\" width=\"940\" height=\"603\" src=\"https:\/\/www.stirfutures.co.uk\/wp-content\/uploads\/2021\/03\/2.jpg\" alt=\"\" class=\"wp-image-561\" srcset=\"https:\/\/www.stirfutures.co.uk\/wp-content\/uploads\/2021\/03\/2.jpg 940w, https:\/\/www.stirfutures.co.uk\/wp-content\/uploads\/2021\/03\/2-300x192.jpg 300w, https:\/\/www.stirfutures.co.uk\/wp-content\/uploads\/2021\/03\/2-768x493.jpg 768w\" sizes=\"auto, (max-width: 940px) 100vw, 940px\" \/><\/a><\/figure>\n\n\n\n<p><strong>Short Sterling Z1H2 spread<\/strong><\/p>\n\n\n\n<p>The Short Sterling Z1H2 spreadclosed at 0.09 on 15<sup>th<\/sup> March, a discount of \u22484bps.<\/p>\n\n\n\n<p>These discounts reflect potential uncertainty surrounding the FCA announcement that it plans to consult on requiring IBA to continue to publish a synthetic GBP Libor&nbsp;(for a &#8220;further period&#8221;&nbsp;after end-December 2021).&nbsp;It&nbsp;has&nbsp;also said it will &#8220;consider a case&#8221; for a synthetic USD Libor to be published for use in tough legacy contracts after end June 2023.&nbsp;This means that there could be a small possibility of these futures continuing beyond the cessation dates.<\/p>\n\n\n\n<p>The eventual discontinuation of Short Sterling, Swiss Franc and Eurodollar futures will mean that there will be no exchange traded derivative product offering a credit element. No more TED spreads or invoice spreads. Eurodollar futures account for about 8% of CME Group revenues with no early indications that SOFR futures will be a viable replacement in terms of volume and open interest.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>The&nbsp;FCA announced&nbsp;on 5th March 2021 future cessation of the 35 LIBOR benchmark settings currently published by ICE Benchmark Administration (IBA), which constitutes an index cessation event under the IBOR&nbsp;Fallbacks Supplement and the ISDA 2020 IBOR&nbsp;Fallbacks Protocol. This announcement triggers the official fallback spread calculation&nbsp;published by Bloomberg The announced&nbsp;end-dates are the same as the ones in [&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-559","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\/559","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=559"}],"version-history":[{"count":1,"href":"https:\/\/www.stirfutures.co.uk\/index.php?rest_route=\/wp\/v2\/posts\/559\/revisions"}],"predecessor-version":[{"id":562,"href":"https:\/\/www.stirfutures.co.uk\/index.php?rest_route=\/wp\/v2\/posts\/559\/revisions\/562"}],"wp:attachment":[{"href":"https:\/\/www.stirfutures.co.uk\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=559"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.stirfutures.co.uk\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=559"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.stirfutures.co.uk\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=559"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}