CME Publishes Eurodollar
Fallback Implementation Plan

 

The CME announced it will convert all eligible Eurodollar futures and options to their SOFR equivalents on April 14, 2023.

Futures will be converted by adding the ISDA fallback spread of 26.161 to the final Eurodollar futures settlement prices while options will follow a two-step process involving a mapping of strikes which include the fallback spread to then determine the appropriate premium.

Contracts which will expire prior to LIBOR's cessation on June 30, 2023 will not be converted.

For details click here.

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