With USD LIBOR scheduled to cease to be provided or representative from end-June 2023, to ensure a seamless transition from CME Eurodollar futures and options to CME Three-Month SOFR futures and options, CME Group has worked closely with market participants to develop and implement both robust SOFR-based fallbacks for Eurodollar contracts as well as efficient trading mechanisms for shifting positions to SOFR prior to June 2023.

1. What happens to open Eurodollar futures positions upon the cessation of USD LIBOR from end-June 2023?

Trading in Eurodollar futures will be terminated and all open positions will be converted on a 1:1 basis into same month CME Three-Month SOFR futures (SR3) contracts with a price adjustment of 26.161bp (the fixed ISDA Fallback Spread Adjustment for 3M USD LIBOR) to the latest Eurodollar (ED) futures daily settlement price.

Conversion formula: SR3 futures assignment price = ED futures settlement price + 26.161 bps.

Additional information:


2. What happens to open Eurodollar options positions upon the cessation of USD LIBOR from end-June 2023?

Trading in Eurodollar options will be terminated and all open positions will be converted on a 1:1 basis into same month/expiry CME options on SR3 futures with a 25 bp higher price strike. Prices will be adjusted to account for the difference in movement of 25 bp in strike vs 26.161bp ISDA Fallback Spread Adjustment. 

Specifically, positions will be converted into corresponding CME options on SR3 futures via a simultaneous two-step conversion process by CME:

  1. Eurodollar options inventories will be mapped to a corresponding non-standard options on SR3 futures strike calculated by adding the ISDA Fallback Spread Adjustment to the original Eurodollar option strike. The resultant strike prices would very likely not align with the standard exercise price arrays (which feature integer multiples of 12.5 basis points).
  2. Positions assigned in conversion therefore will be allocated to the nearest optimal standard strike(s) and like contract months in CME options on SR3 futures according to standard options valuation methodologies determined by CME. [The methodology will be discussed with clients and made transparent before its application on the relevant date of termination of trading.] 

3. How can I proactively move Eurodollar futures positions to SOFR ahead of June 2023?

While CME’s conversion process will operate to convert any open positions at end-June 2023, CME Group also offers two efficient trading mechanisms for shifting Eurodollar futures positions to Three-Month SOFR (SR3) futures to support market participants that wish to move ED futures positions into equivalent SR3 futures positions at any time ahead of June 2023.

  1. Reduced-tick SR3-ED spreads
    • Tradable in 0.1 bp increments around the ISDA Fallback Spread for 3M USD LIBOR
    • Simultaneously executes a buy (sell) in SR3 vs. a sell (buy) in Eurodollars at a spread equal to 26.16 + the traded price
    • Available for same contract month Inter-commodity spreads (ICS), Sep 2023 and beyond
    • Listed on CME Globex under the ticker SED and SEAA<Comdty> on Bloomberg
    • Executable as a block trade provided the sum of the legs of the spread meets the smaller of the threshold requirements for the underlying products
  2. Traditional SR3-ED ICS
    • Quoted in 0.25 bp increments for the nearest term SOFR vs. ED, and 0.50 bp for all others listed in this spread
    • Listed as SOFR vs. ED on Globex (SR3Z2-EDZ2) and SFRED on Bloomberg
    • Executable as a block trade provided the sum of the legs of the spread meets the larger of the threshold requirements for the underlying products
    • One of the deepest pools of SOFR-based liquidity with ADV exceeding 250K contracts

4. How can I proactively move Eurodollar options positions to SOFR options ahead of June 2023?

All Eurodollar options have an equivalent 3-Month SOFR option listed. Inter-commodity spreads between ED and SR3 options are available to help facilitate market-led switching prior to June 2023.

SOFR options resources:

SR3 options have grown at an unprecedented pace since the start of 2022 with open interest jumping from 2.6K contracts on Jan. 3 to over 1.26 million contracts on Mar. 22. 

SOFR futures

SOFR futures offer the deepest centralized pool of liquidity, price discovery, and risk management on the Secured Overnight Financing Rate (SOFR).


All examples in this report are hypothetical interpretations of situations and are used for explanation purposes only. The views in this report reflect solely those of the author and not necessarily those of CME Group or its affiliated institutions. This report and the information herein should not be considered investment advice or the results of actual market experience.

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