Clearing Processing for €STR Basis Spread Futures “BTIC+” Conversion to €STR 3-Month Futures - Effective October 31, 2022

On October 31 2022, CME will launch trading in several new products, called Euro €STR Short-Term Rate Futures (ESR) and Euro €STR Short-Term Rate Three-Month Single Contract Basis Spread Futures (EUS). They have been available in CME’s “New Release” testing environment since Monday, October 10, 2022.

This advisory describes these new products and explains how they use the BTIC+ processing to convert the €STR Basis Spread Future into the €STR Short-Term Rate Future using a Trade at Marker (TAM). The new Euro Basis Spread Future product is simply a future that delivers into a TAM trade.

For the full text of this advisory, please click here.