Eurex launches new futures referencing 鈧琒TR
23 November 2022 Germany
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Derivatives exchange Eurex is expanding its interest rate segment with the launch of Three-Month Euro STR Futures referencing 鈧琒TR.
The switch from the former short-term rate EONIA to 鈧琒TR is part of a broader Interbank Offered Rate (IBOR) reform.
The organisation names the move as an 鈥渋mportant milestone鈥� for the establishment of the 鈧琒TR as a new benchmark risk-free rate, and in expanding Eurex鈥檚 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 鈧琒TR over a three-month period. They will be available for trading on Eurex from 23 January 2023.
The ECB began to officially publish 鈧琒TR on 2 October 2019. Eurex supported this transition and started clearing the first 鈧琒TR 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 鈧琒TR 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 鈧�2.4 trillion at the end of October 2022.
Lee Bartholomew, global head of derivatives product R&D fixed income and FX, says: 鈥淟aunching Three-Month Euro STR Futures is a natural extension of our product portfolio, given our liquidity in the long-term interest rate segment.
鈥淚t 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.鈥�
The switch from the former short-term rate EONIA to 鈧琒TR is part of a broader Interbank Offered Rate (IBOR) reform.
The organisation names the move as an 鈥渋mportant milestone鈥� for the establishment of the 鈧琒TR as a new benchmark risk-free rate, and in expanding Eurex鈥檚 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 鈧琒TR over a three-month period. They will be available for trading on Eurex from 23 January 2023.
The ECB began to officially publish 鈧琒TR on 2 October 2019. Eurex supported this transition and started clearing the first 鈧琒TR 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 鈧琒TR 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 鈧�2.4 trillion at the end of October 2022.
Lee Bartholomew, global head of derivatives product R&D fixed income and FX, says: 鈥淟aunching Three-Month Euro STR Futures is a natural extension of our product portfolio, given our liquidity in the long-term interest rate segment.
鈥淚t 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.鈥�
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