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  • February 17, 2023
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Eurodollar Futures Strip

A position in successive Eurodollar (ED) futures contracts. For example, a Eurodollar futures strip may be constructed by taking a long position in an April ED futures, a July ED futures, and an October ED futures. The multiple futures would collectively form a Eurostrip. This structure is mainly used to hedge a floating rate instrument (such as a forward rate agreement) or the floating-rate leg of a swap. As well, it can be used to take a view on future trend of the LIBOR forward curve.

The Eurodollar futures strip is also known as a Eurostrip.


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