European Overnight Index futures

Euro Short-Term Rate (€STR) futures and RepoFunds Rate (RFR) futures will 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

Euro Short-Term Rate (€STR) futures, now trading, come in two distinct contracts:

  • Three-Month €STR futures, reflecting €STR expectations between IMM dates, enable hedging and price discovery at varying levels of granularity over the nearest two-year forward curve.
  • €STR Basis Spread futures, quoted as the difference between expected 3M Euribor and compounded €STR over the same interest period, enable seamless IBOR/OIS basis trading.

RepoFunds Rate (RFR) futures, launching December 5*, will be cash-settled to German and Italian RepoFunds Rates, enabling off-balance sheet repo hedging of German and Italian sovereign debt.

*Pending regulatory review

View the latest trading activity in ESTR futures, the first products to launch in our new suite of European Short-Term Interest Rate futures.

Vendor codes

  3M €STR futures €STR BASIS SPREAD FUTURES
CME Globex / ClearPort ESR EUS
Bloomberg KTR  KUS 
CQG ESTR EUS
DTN @ESR @EUS
Fidessa ESR EUS
FIS Global ESR EUS
ION Group ESR EUS
Itiviti ESR EUS
Refinitiv SRE SUE
TT ESR EUS
Vela ESR EUS

Trade €STR futures on CME Direct

A fast, secure, and highly configurable trading front end, CME Direct offers a one-stop shop for accessing €STR futures liquidity across CLOB trading, RFQs, and block negotiation/reporting workflows. Not on CME Direct? Get started.

Download the €STR futures trading grid

  1. Right click on the link and select "Save link as...".
  2. Save the file as an .XML on your computer.
  3. In CME Direct, select import view in the main menu.
  4. Import the grid into CME Direct.
  5. 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

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