Eurex: 3m €STR futures launched - Banks welcome new contract

Eurex today announced that its 3m future referencing €STR (Bloomberg: JDBA) launched successfully last month. The contracts began trading on January 23.

The futures aim to help establish €STR as the new benchmark risk-free rate as well as expanding Eurex’s euro-denominated fixed income product offering. The futures contract is based on compounded €STR over a 3m period and enables trading or hedging of the new risk-free rate while also complementing Eurex’s €STR OIS 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 order book liquidity. The new contract can be traded in the order book or as a block trade via Eurex’s T7 Trade Entry Service (TES),” Eurex states. 

The futures are margined through Eurex’s Prisma methodology and are in the same liquidation group as euro OTC swaps and government bond futures. Bloomberg data show zero volume or open interest for the new contract so far.

“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,” said 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,” said 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,” said 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.

For further details, please see EUREX €STR futures factsheet.