Eurex Launches Futures Referencing €STR

Basel Committee Consults on Interest-Rate Risk
  • The new contract is planned to start trading on 23 January 2023
  • Important milestone in establishing the Euro Short Term Rate (€STR) as the new benchmark risk-free rate

Eurex, one of the world’s leading derivatives exchanges, is expanding its strategically important interest rate segment with the launch of Three-Month Euro STR Futures referencing €STR. The launch is an important milestone in both the establishment of the €STR as the new benchmark risk-free rate, and in expanding Eurex’s EUR-denominated fixed income product offering.

With the launch of the Three-Month Euro STR Futures, Eurex offers a listed, centrally cleared, and cash-settled solution for trading or hedging the new risk-free rate. The contracts are based on the compounded €STR over a three-month period. They will be available for trading on Eurex from 23 January 2023.

Lee Bartholomew, Global Head of Derivatives Product R&D Fixed Income & FX: “Launching Three-Month Euro STR Futures is a natural extension of our product portfolio given our liquidity in the long-term interest rate segment. It underlines our commitment to be the home of the Euro yield curve and delivering maximum margin and capital efficiencies to the market. Additionally, further product extensions are likely as the market evolves.”

Customers will benefit from Eurex’s portfolio based Prisma margining methodology, which is designed to optimize margin offsets across OTC interest rate swaps and listed fixed income products.

The switch from the former short-term rate EONIA to €STR is part of a broader IBOR reform. The ECB began to officially publish €STR on 2 October 2019. Eurex supported this transition and started clearing the first €STR Overnight Index Swaps in November 2019. Complementing this offering with a listed product now would further help the market in transitioning smoothly to the new rate.

Volumes in €STR OIS have consistently grown since the launch, both in monthly volume and active members; notional outstanding has almost doubled in the last 12 months and stood at EUR 2.4 trillion at the end of October.

Orderbook liquidity in the new Three-Month Euro STR Futures will be supported by a diverse and comprehensive ecosystem of liquidity providers and end clients.

Source: Eurex

Related articles

  1. The first amendments to the CFTC's swap data reporting rules come into effect on December 5.

  2. CEDX is planning to expand its range of products in 2023, subject to regulatory approvals.

  3. The paper proposes a path forward for standard SLD documentation.

  4. Exchange group’s crypto suite has had consistent volume and open interest growth.

  5. The derivatives venue owned by FTX wanted to offer products that were not fully collateralized.