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15 Feb 2023

Eurex

New futures contract referencing €STR successfully launched at Eurex

Eurex started trading in its new Three-Month Euro STR Futures referencing €STR. The launch marks an important milestone in establishing €STR as the new benchmark risk-free rate and expands Eurex’s EUR-denominated fixed income product offering.

Eurex’s Three-Month Euro STR Futures are based on the compounded €STR over a three-month period. They provide a listed, centrally cleared, and cash-settled solution for trading or hedging the new risk-free rate and complement Eurex Clearing’s €STR Overnight Index Swap offering.

By referencing the same rate as the one used for discounting, they allow for efficient hedging. The launch is supported by a group of dedicated market makers committed to support orderbook liquidity. The new contract can be traded in the orderbook or as a block trade via Eurex’s T7 Trade Entry Service (TES).

The Euro STR Futures will be margined under the Eurex portfolio based Prisma margin methodology and are included in the same liquidation group as Euro OTC Swaps and Euro Government Bond Futures cleared at Eurex Clearing, which allows for margin reduction opportunities.

“The launch of Three-Month Euro STR Futures underlines Eurex’s commitment to be the home of the Euro yield curve and deliver maximum margin and capital efficiencies to the market with a focus across listed and OTC fixed income derivatives denominated in Euro.”
Lee Bartholomew, Global Head of FIC Product Design, Eurex

“We are pleased to offer clients the ability to trade the Eurex Three-Month Euro STR Futures and help them navigate the market’s transition to the new RFR benchmarks.”
Douglas Kerr, Head of Rates Futures Sales Trading Europe, Goldman Sachs

“The Three-Month Euro STR Futures will act as an additional tool for the market to manage exposure to €STR and assist in cementing it as the key benchmark rate in Europe.” 
Pascal Souchon, Head of Rates Trading, LBBW

“We are fully supportive of seeing a Three-Month Euro STR Futures contract become available on the market as a benchmark and additional source of liquidity and risk management.”
Tom Prickett, Head of EMEA Rates Trading, JP Morgan

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