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.
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.
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.
Vendor codes
| CME Group Name/Venues/Symbols | CME Group Codes | Bloomberg | CQG | DTN, Inc | Fidessa (ION) | FIS Global | ION Group | Itiviti | Refinitiv | Trading Technologies | Vela Trading Systems | ||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| CME Group Product Name | Futures/Options | Globex | Clearport | All Venues | All Venues | All Venues | All Venues | All Venues | All Venues | All Venues | Composite | All Venues | All Venues |
| EUR/USD Cross-Currency Basis Futures | Futures | XEU | XEU | XEEA Curncy | - | @XEU | XEU | XEU | XEU | XEU | UEX | XEU | XEU |
Trade Cross-Currency Basis futures on CME Direct
A fast, secure and highly configurable trading front end, CME Direct offers a one-stop shop for accessing Cross-Currency Basis futures liquidity across CLOB trading, RFQs and block negotiation/reporting workflows. Not on CME Direct? Get started.
Download the Cross-Currency Basis futures trading grid
- 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.
Explore Cross-Currency Basis futures
Connect with a member of our expert Interest Rate team to get more information about our products, find a broker or to contact a market maker.
