Musannaf Ibn Abi Shayba 37:152

Abdullah ibn Idris narrated to us, from Hassan ibn Furat, from his father, from Abu Hazim, from Abu Hurayrah, who said: The Messenger of Allah (peace and blessings of Allah be upon him) said: "The Children of Israel were governed by their prophets; whenever a prophet passed away, another prophet succeeded him. And there will be no prophet after me. They said: 'Then what will happen, O Messenger of Allah?' He said: 'There will be caliphs, and they will be many.' They said: 'Then what should we do?' He said: 'Fulfill the pledge of allegiance to the first, then the first. Give them their due right, for Allah will ask them about what is due from them.'"