Eurex launches new futures referencing €STR
23 November 2022 Germany
Image: Елена_Бутусова/stock.adobe.com
Derivatives exchange Eurex is expanding its interest rate segment with the launch of Three-Month Euro STR Futures referencing €STR.
The switch from the former short-term rate EONIA to €STR is part of a broader Interbank Offered Rate (IBOR) reform.
The organisation names the move as an “important milestone” for the establishment of the €STR as a 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 says it is offering 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.
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.
Eurex says 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 in monthly volume and active members, Eurex indicates. The firm says that notional outstanding has almost doubled in the last 12 months and stood at €2.4 trillion at the end of October 2022.
Lee Bartholomew, global head of derivatives product R&D fixed income and FX, says: “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 deliver maximum margin and capital efficiencies to the market. Additionally, further product extensions are likely as the market evolves.”
The switch from the former short-term rate EONIA to €STR is part of a broader Interbank Offered Rate (IBOR) reform.
The organisation names the move as an “important milestone” for the establishment of the €STR as a 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 says it is offering 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.
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.
Eurex says 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 in monthly volume and active members, Eurex indicates. The firm says that notional outstanding has almost doubled in the last 12 months and stood at €2.4 trillion at the end of October 2022.
Lee Bartholomew, global head of derivatives product R&D fixed income and FX, says: “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 deliver maximum margin and capital efficiencies to the market. Additionally, further product extensions are likely as the market evolves.”
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