Eurodollar 90-day Forward (SOFR proxy)
90-day USD funding cost forward rate proxied via SOFR + DTB3 spread (Eurodollar futures deprecated post-2023). Captures the implied short-term USD funding pressure for the next quarter.
What is it?
The Eurodollar 90-day forward rate measures the implied cost of borrowing U.S. dollars for a 90-day period starting at the current date. Historically, this was directly observable via Eurodollar futures contracts traded on CME. After the deprecation of LIBOR-based Eurodollar futures post-2023, the equivalent rate is constructed from the Secured Overnight Financing Rate (SOFR) plus a 90-day rolling spread to the 3-month Treasury Bill yield. The result is a proxy that captures the same information: short-term USD funding pressure for the next quarter, reflecting expected Fed policy and money-market liquidity conditions.
How to read
The level of the line indicates the expected short-term USD funding cost. Rising values indicate expected Fed tightening or money-market stress; falling values indicate expected Fed easing or liquidity abundance. Spreads versus the current SOFR level reveal market expectations: when the 90-day forward exceeds SOFR meaningfully, markets expect higher rates ahead; when it sits below SOFR, markets expect cuts. Sharp spikes typically reflect funding-market stress events (e.g., year-end premium, fiscal year transitions, crisis periods).
Key zones
• Below 1%: Accommodative funding regime — historical post-crisis or zero-interest-rate contexts • 1-3%: Normal funding regime — typical expansion phase conditions • 3-5%: Restrictive funding regime — late-cycle conditions, watch for transmission to risk assets • Above 5%: Highly restrictive — historical late-bull / early-bear contexts where the cost of USD funding becomes a binding constraint
What to observe
• Forward rate diverging upward from current SOFR: market pricing tightening that has not yet been delivered • Forward rate diverging downward from current SOFR: market pricing easing that has not yet been delivered • Sharp end-of-quarter spikes: funding-market premium episodes, often resolve within days • Sustained levels above current SOFR for multi-month periods: durable expectation of Fed tightening, often confirmed by FOMC dot plot updates • Crossing thresholds (e.g., crossing 5% from below): regime shift indicators, watch for transmission to credit spreads
Historical context
The series captures the evolution of short-term USD funding through major regimes: the post-Lehman zero-rate era (2008-2015), the gradual normalisation cycle (2015-2018), the COVID emergency cuts to zero (2020-early 2022), and the aggressive 2022-2023 hiking cycle. SOFR replaced LIBOR as the official benchmark in 2023, and the proxy methodology used here ensures continuity with historical Eurodollar futures data.
Expert notes
The proxy methodology uses SOFR as the base rate and adds a 90-day rolling mean spread to the 3-month T-Bill yield to approximate the forward 90-day rate. This is a documented institutional practice for post-LIBOR-deprecation continuity. For exact 90-day forward expectations, traders should consult SOFR futures markets directly. The proxy is most accurate during normal market conditions; during severe stress (e.g., money-market freezes), the SOFR-DTB3 relationship can decouple temporarily.
Common mistakes to avoid
• 'This is the literal SOFR futures price' — No, it is a constructed proxy via SOFR + DTB3 spread. Use SOFR futures directly for trading. • 'Forward = Fed will set this rate' — The forward reflects market expectations, not Fed commitments. The Fed sets policy; markets adapt. • 'High forward = automatic risk-off' — Funding costs transmit to risk assets with multi-month lags. Patience matters more than reaction to single readings.
Programmatic access
REST API
curl -sS \
'https://api.trinityinsights.io/api/v1/macro-intelligence/macro-v2-eurodollar-90d-futures/history?days=90' \
-H 'X-API-Key: $TRINITY_API_KEY'MCP server
{
"tool": "get_chart_value",
"metric_id": "macro-v2-eurodollar-90d-futures",
"timeframe": "1y"
}Required tier: pro. See the pricing grid for the tier list and the MCP documentation for multi-client configuration.
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Institutional disclaimer
Trinity Insights is an educational and analytical tool. The metric above does not constitute investment advice. Trinity Insights is not a Crypto-Asset Service Provider (CASP) registered under MiCA Regulation (EU) 2023/1114. See the full disclaimer.