About CME LIBOR Futures

One-month CME London Interbank Offered Rate (LIBOR) contracts offer fixed income managers a way to improve their hedging capabilities when they need shorter-term intervals for interest rate risk management.

LIBOR is often is the benchmark rate for commercial loans, mortgages and floating rate debt issues. CME LIBOR futures contracts create opportunities for a number of attractive spread trading strategies based on changing price-yield relationships.

The CME LIBOR contract is analogous to the CME Eurodollar contract, but represents one-month LIBOR on a $3 million deposit. CME currently lists twelve consecutive monthly CME LIBOR futures at any given time, and the contract moves in minimum increments of .0025 (1/4 tick = $6.25) for the front month expiring contract and .005 (1/2 tick = $12.50) for all other expirations. These contracts trade on a side-by-side basis on the CME trading floor and on the CME Globex electronic trading platform.

For more information, explore CME LIBOR Resources