Eurodollar Futures

MacroVar monitors the Eurodollar futures market to monitor market expectations for central bank monetary policy (rate hikes/cuts), financial markets and economic outlook.

Eurodollar futures are interest-rate financial futures contracts specific to the Eurodollar, which is a U.S. dollar deposit in commercial banks outside of the United States. Eurodollar plays a major role in the global financial markets. The interbank market for offshore dollars is very liquid, providing banks with the ability to fund dollar loans.

Eurodollar futures implied rates

id var Sep-21 Dec-21 Mar-22 Jun-22 Sep-22 Dec-22 Mar-23 Jun-23 Sep-23 Dec-23 Mar-24 Jun-24
1 Fed Funds Futures 0.095 0.095 0.110 0.155 0.225 0.335 0.455 0.585 0.67 0.800 0.875 0.875

Eurodollar futures implied rates (1 week delta)

id var 21-Sep 21-Dec 22-Mar 22-Jun 22-Sep 22-Dec 23-Mar 23-Jun 23-Sep 23-Dec 24-Mar 24-Jun
1 Fed Funds Futures 0.000 -0.005 0.000 0.005 0.005 0.0150 0.030 0.050 0.050 0.050 0.050 0.050