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YouTube T3-28: Eurodollar futures contract

Nicole Seaman

Director of FRM Operations
Staff member
A Eurodollar (ED) futures contract is an interest rate derivative: it references a future three-month LIBOR interest rate. The futures quote is given by Q = 100 - R, where R is LIBOR; for example, a ED futures quote of 97.00 signifies an anticipated 3-month LIBOR of 3.00%. The contract price is designed so that a one basis point Δ in LIBOR corresponds to a $25.00 gain/loss on a single contract. The long (short) position gains (loses) $25.00 if LIBOR decreases (increases) by one basis point (0.010%). Finally, keep in mind that the LIBOR rate is expressed with an actual/360 day count (typical of money market instruments) with quarterly compounding.

David's XLS is here: https://trtl.bz/2O6m5ea

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