Manage EUR/USD cross-currency risk with a single futures contract
Trade the 3-month IMM dated EUR/USD cross-currency basis with a single futures contract that is cash settled at the beginning of the reference period to the CME EUR/USD Cross-Currency Basis Index (XEURBI).
This index accurately tracks the nearby quarterly-IMM dated basis and is calculated from simultaneously observed prices in our SOFR, ESTR and EUR/USD futures prices.
*Pending regulatory review
Resources
Features and benefits
Streamlined exposure
Utilize a single contract, ideal for when principal exchange is not needed or is undesirable.
Monitor systematic market stress
Monitor and manage exposure to market risk in short-dated cross-currency markets.
Price discovery in a transparent market
Go beyond OTC markets with a cleared, efficient trading solution.
New trading opportunities
Express risk or hedge against traditional deliverable cross-currency instruments.
Contract specs
Review contract highlights
Underlying index
Contract size
$25 X Contract-grade Index
Pricing
Price = expected forward value of XEURBI at Final Settlement
Tick size
0.25 Index points (¼ basis point per annum) = $6.25 per contract
Product Code
CME Globex: XEU
Listings
Four nearest quarterly IMM months
Daily Settlement
Calculated using futures market activity; 4:00 p.m. London
Final Settlement
Cash settled to XEURBI Index published on the Last Trade Date
Last Trade Date
Friday preceding the third Wednesday of the contract month
Blocks
100 contract minimum; 15 minute reporting time
Tool
Cross-Currency Basis Watch
Evaluate the magnitude of the EUR/USD cross-currency basis for short-dated and forward-starting IMM periods. Use the tool to compare the Forward FX swap price with the theoretical price implied by interest rate differentials observed from listed futures.
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