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ED Futures Quotation


The price of a Eurodollar futures contract (ED) is quoted as 100.00 minus the interest rate for the contract period. It is stated as an index of the 3-month LIBOR:

F = 100 – LIBOR

For instance, a June futures price of 95.5 translates as an interest rate of 4.5% for the period in question (a 3-month period). This reflects the market’s expectation about the LIBOR rate for the future period (in which case, the 3-month LIBOR). If interest rates are expected to rise, traders will be inclined to sell interest rate futures and vice versa.

The minimum price change is one basis point (BP). For a face value of $1,000,000, a one basis-point change translates into $100 on an annual basis. Since the contract is for a 90-day deposit, one basis point represents a $25 price change.



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