- What are CME Cross-Currency futures?
- How will the cash settlement work?
- Will the cross-currency daily settlement values align with the settlement values of the individual legs of the index (ESTR, SOFR, FX)?
- Where can I find more information about the Cross-Currency Basis Index and associated futures?
- What is the OTC-equivalent position that these futures replicate?
- Do the futures require an exchange of principal at inception and maturity?
- Can I leg into/out of this position by using the constituent SOFR, ESTR and FX legs?
- Where can I find historical data and information about how the Cross-Currency Basis Index (XEURBI) is constructed?
- Can I trade Cross-Currency futures on a relationship basis (OTC-style)?
- What are the margins for this futures contract?
- What are some of the benefits of using Cross-Currency futures over OTC cross-currency swaps?
1. What are CME Cross-Currency futures?
Cross-Currency futures are cash-settled futures contracts that track the cross-currency basis for IMM-dated periods. Each contract is financially settled against the CBA Index of the same name (code: XEURBI), which is a licensed benchmark.
CME Group Index Code: XEURBI
CME Group Futures Code: XEU
Bloomberg Index Code: XEURBI Index [Go]
Bloomberg Futures Code: XEEA Comdty [Go]
2. How will the cash settlement work?
The final settlement for each contract will be the index value on the Friday prior to IMM Wednesday. The index is calculated using a 4:00 p.m. London marker for EUR/USD FX, ESTR and SOFR futures markets.
3. Will the cross-currency daily settlement values align with the settlement values of the individual legs of the index (ESTR, SOFR, FX)?
Not necessarily. While the ESTR marker will be identical to its settlement on days the market is open, the FX and SOFR markers will be at their respective prices at 4:00 p.m. London time, rather than when the daily settlement price is normally calculated (2:00 p.m. CT). This means there could be discrepancies between the settlement value of the legs and the Cross-Currency futures.
4. Where can I find more information about the Cross-Currency Basis Index and associated futures?
Find out more information on our Cross-Currency Basis futures and our Cross-Currency Basis Watch Tool.
5. What is the OTC-equivalent position that these futures replicate?
Cross-Currency futures replicate OTC forward-starting EUR/USD cross-currency basis swaps over quarterly IMM periods.
6. Do the futures require an exchange of principal at inception and maturity?
No, the futures are cash-settled and do not involve any exchange of principal amounts.
7. Can I leg into/out of this position by using the constituent SOFR, ESTR and FX legs?
While our SOFR, ESTR and FX futures prices serve as inputs to the cross-currency basis index, they are not involved in the trading of our CME’s Cross-Currency Basis futures. Cross-Currency Basis futures trade, book, settle and margin as a single line item.
8. Where can I find historical data and information about how the Cross-Currency Basis Index (XEURBI) is constructed?
The XEURBI Index was first published on July 27, 2024. Explore more details about the index calculation methodology and historical data for the index.
9. Can I trade Cross-Currency futures on a relationship basis (OTC-style)?
Yes, these futures can be traded as blocks or anonymously via the all-to-all credit agnostic CLOB. The block minimum size is 100 contracts.
11. What are some of the benefits of using Cross-Currency futures over OTC cross-currency swaps?
Some of the benefits of using Cross-Currency futures include:
- Operational ease of execution: No need to book multiple legs. Break clauses are not necessary.
- Capital efficiency: Futures are cleared, whereas OTC cross-currency basis swaps require that, at a minimum, the FX components be bilateral (i.e., two uncleared FX forwards, which have balance sheet capacity implications).
- Access to multiple liquidity providers for exiting / rolling positions: Access to anonymous trading via our all-to-all CLOB can result in improved pricing when exiting or rolling a cross-currency position.
|
CME Futures |
OTC Swap |
|
|---|---|---|
|
Exchange of Principals |
No |
Yes |
|
Settlement |
Upfront to calculated index XEURBI |
End of period to realized cashflow |
|
Cleared |
Yes |
No |
|
RWA weighting |
5-day MPOR and 4% c/p weighting |
10-day MPOR and 100% c/p weighting |
|
Privately negotiated |
Yes via blocks 100 contract minimum |
Yes |
|
Central limit order book |
Yes |
No |
|
Passive liquidity |
Yes |
No |
|
Novation/unwind required |
No - Naturally offsetting positions |
Yes often as result of mandatory break clause |
|
Margin (subject to change, see here for current) |
~7bp IM |
Subject to UMR for clients |
|
Operationally Efficient |
Simple futures booking |
Mandatory break clauses or multiple legs add operation risk |
All examples in this report are hypothetical interpretations of situations and are used for explanation purposes only. The views in this report reflect solely those of the author and not necessarily those of CME Group or its affiliated institutions. This report and the information herein should not be considered investment advice or the results of actual market experience.
