European Overnight Index futures

Coming Q4, 2022*

European Overnight Index futures based on the Euro Short-Term Rate (€STR) and RepoFunds Rate (RFR) Benchmarks will provide liquid, capital efficient, and off-balance sheet tools for hedging overnight money market and repo rates in Europe.

*Subject to regulatory review.

Futurized €STR liquidity

Outright €STR futures similar in design to 3-month SOFR futures will be complemented by €STR-Euribor spread futures for basis trading.

Efficient repo exposure

Accurately hedge term repo exposure or manage cash vs. futures basis positions in a balance sheet lite instrument.

Seamless spread trading

Manage cross currency basis spreads between U.S. and EU money market rates with inter-commodity spreads vs. SOFR futures.

About European Overnight Index futures

€STR futures will be cash-settled to the Euro Short-Term Rate, a measure of the wholesale euro unsecured overnight borrowing costs of banks located in the euro area.

RepoFunds Rate (RFR) futures will be cash-settled to RepoFunds Rates, EU BMR registered benchmarks which measure of overnight funding costs derived from centrally cleared repo trades executed on BrokerTec and MTS.

€STR-Euribor and RFR-Euribor single-contract spread futures will settle by assigning contract holders into the related Overnight Index futures at a price determined by the final closing price of the spread future and the prevailing 3-month Euribor benchmark rate.

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