European Overnight Index futures
Euro Short-Term Rate (€STR) futures and RepoFunds Rate (RFR) futures provide liquid, capital efficient, and off-balance sheet tools for hedging overnight money market and repo rates in Europe.
Futurized €STR liquidity
Manage granular €STR risk with 24-hour trading, capital efficiency, and global distribution of futures.
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
European Overnight Index futures bring enhanced trading and risk management to three key eurozone interest rates; the Euro Short-Term Rate (€STR), the German RepoFunds Rate (RFR), and the Italian RFR.
Each can be traded outright via Three-Month futures or as a spread to Euribor via single contract basis spread futures, enabling granular hedging across the forward curve as well as seamless IBOR/OIS basis trading.
Notices
Resources
Featured products
View the latest trading activity across our suite of European Overnight Index futures.
Vendor codes
| CME Group | Bloomberg | CQG | DTN | Fidessa | FIS Global | ION Group | Itiviti | Refinitiv | TT | Vela | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| €STR | ESR | KTRA Comdty | ESTR | @ESR | ESR | ESR | ESR | ESR | SRE | ESR | ESR |
| €STR Basis Spread | EUS | KUSA Comdty | EUS | @EUS | EUS | EUS | EUS | EUS | SUE | EUS | EUS |
| RFR Germany | RFD | YFDA Comdty | RFD | @RFD | RFD | RFD | RFD | RFD | RFD | RFD | RFD |
| RFR Germany Basis Spread | RSD | YSDA Comdty | RSD | @RSD | RSD | RSD | RSD | RSD | RSD | RSD | RSD |
| RFR Italy | RFI | YFIA Comdty | RFI | @RFI | RFI | RFI | RFI | RFI | RFI | RFI | RFI |
| RFR Italy Basis Spread | RSI | YSIA Comdty | RSI | @RSI | RSI | RSI | RSI | RSI | RSI | RSI | RSI |
| CME Group | Bloomberg | CQG | DTN | Fidessa | FIS Global | ION Group | Itiviti | Refinitiv | TT | Vela | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| €STR vs. SOFR | ESR-SR3 | @ESR@SR3 | ESR-SR3 | ESR-SR3 | ESR-SR3 | ESR-SR3 | SRE-SRA | ESR|SR3 | ESR-SR3 | ||
| RFR Italy vs. SOFR | RFI-SR3 | YFISFR Comdty | RFISR3 | @RFI@SR3 | RFI | RFI | RFI-SR3 | RFI-SRA | RFI-SR3 | ||
| RFR Italy vs. €STR | RFI-ESR | YFIKTR Comdty | RFIESR | @RFI@ESR | RFI | RFI | RFI-ESR | RFI-SRE | RFI-ESR | ||
| RFR Germany vs. SOFR | RFD-SR3 | YFDSFR Comdty | RFDSR3 | @RFD@SR3 | RFD | RFD | RFD-SR3 | RFD-SRA | RFD-SR3 | ||
| RFR Germany vs. €STR | RFD-ESR | YFDKTR Comdty | RFDESR | @RFD@ESR | RFD | RFD | RFD-ESR | RFD-SRE | RFD-ESR | ||
| RFR Germany vs. RFR Italy | RFD-RFI | YFDYFI Comdty | RFDRFI | @RFD@RFI | RFD | RFD | RFD-RFI | RFD-RFI | RFD-RFI |
Trade on CME Direct
A fast, secure, and highly configurable trading front end, CME Direct offers a one-stop shop for accessing liquidity across CLOB trading, RFQs, and block negotiation/reporting workflows. Not on CME Direct? Get started.
Download €STR and RFR trading grids
- Right click on the link and select "Save link as...".
- Save the file as an .XML on your computer.
- In CME Direct, select import view in the main menu.
- Import the grid into CME Direct.
- Under Menu, click on Save Window Layout.
Contract specifications
View key contract details for €STR futures and RFR futures, including contract size, pricing method, minimum price increment, and more.
|
|
€STR and RFR futures |
BASIS SPREAD FUTURES |
|---|---|---|
|
REFERENCE RATE |
Compounded Overnight Index (€STR/RFR) |
Three-Month Euribor & Compounded Overnight Index (€STR/RFR) |
|
PRICING METHOD |
100-yield |
Yield % |
|
CONTRACT LISTINGS |
Nearest eight full contract months + Nearest two Serial months + Three contracts in accrual period |
Nearest eight full contract months + Nearest two Serial months |
|
LISTING DATES |
March Quarterly IMM schedule + Serials |
|
|
VALUE OF 1 BP |
€25 |
|
|
IMM INDEX VALUE |
€2500 |
|
|
VARIATION MARGIN CURRENCY |
EUR |
|
|
FEE CURRENCY |
USD |
|
|
MINIMUM PRICE INCREMENT |
Each contract is moved to its new reduced MPI on the weekend following any trigger of its eligibility criteria: 0.125 bp for the first nearby contract closest to final expiry 0.25 bp for the second nearby contract that is second closest to final expiry 0.5 bp for all other contacts |
0.25 bp |
|
LAST DAY OF TRADING |
Day prior to the IMM date three months forward from the contract identifying month |
Two TARGET2 business day prior to IMM Wednesday |
|
DELIVERY |
Cash-settled in currency of contract, by reference to Final Settlement Price, on Last Day of Trading |
Assignment into same contract month €STR/RFR future by reference to Final Settlement Price on business day prior last day of trading and Three-Month Euribor benchmark published on last day of trading |
|
FINAL SETTLEMENT PRICE |
Contract-grade IMM index evaluated on the basis of realized, compounded index values during the IMM contract reference period |
Daily settlement on Last Day of Trading |
|
IMM Index |
Compounded Overnight Index (€STR/RFR) |
Spread between Three-Month Euribor and Compounded Overnight Index |
|
BLOCK THRESHOLD |
100 contracts (subject to reporting window: 5 minutes RTH / 15 minutes ATH and ETH) |
|
|
PRODUCT CODE |
€STR futures: ESR German RFR futures: RFD Italy RFR futures: RFI |
€STR Basis Spread futures: EUS German RFR Basis Spread futures: RSD Italy RFR Basis Spread futures: RSI |
Subscribe for updates
Sign up to be one of the first to receive additional information related to European Overnight Index futures.
