Investments, tenth edition

Eurodollar(CME)-$1,000,000; pts of 100%

Feb 99.7100 

99.7100 99.7075 

99.7075       ... 78,171

March 99.7000 99.7100  99.6800 99.7050  .0050 918,700

June 99.6850 

99.6950 99.6650 

99.6850        ... 

789,137

Dec 99.6250 

99.6450 99.6050 

99.6250        ... 

736,966

 Figure 23.7 

Eurodollar futures  

 Source:  The Wall Street Journal,  February 9, 2013. Reprinted by permis-

sion of The Wall Street Journal, © 2013 Dow Jones & Company, Inc. All 

rights reserved worldwide. 

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Final PDF to printer

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  C H A P T E R  

2 3

  Futures, Swaps, and Risk Management 

819

Thus, this is in effect a one-period interest rate swap. Notice in  Figure 23.7  that the total 

open interest on this contract is enormous—almost 3 million contracts just for maturi-

ties extending to 1 year. Moreover, while not presented in  The Wall Street Journal,  

significant trading in Eurodollars takes place for contract maturities extending out to 

10 years. Contracts with such long-term maturities are quite unusual. They reflect the 

fact that the Eurodollar contract is used by dealers in long-term interest rate swaps as a 

hedging tool.