End of Libor Jolts Multitrillion-Dollar Derivative Market Again

The drip feed of news on the demise of the London interbank offered rate is causing some violent reactions in derivative markets, including another major shake up on Friday.

Activity surrounding June 2023 eurodollar futures -- which are linked to the three-month dollar Libor rate -- spiked over the course of the session amid new details on the so-called spread calculation used to determine fallback rates for contracts tied to the benchmark. The gap between the June 2023 and September 2023 contracts widened 4.5 basis points Friday, bringing the weekly move to 20 basis points -- an unprecedented surge for ...