S€tting the benchmark
STIR Futures & Options

Three-Month Euro STR Futures (€STR)

Supporting the Euro market transition to a new risk-free rate

On 23 January 2023, Eurex has expanded its interest rate segment by launching the Three-Month Euro STR Futures (ESTR) referencing €STR. This launch marked an important milestone in establishing the €STR as the new benchmark risk-free rate and expands Eurex's EUR-denominated interest rates product offering.

With the launch of the Three-Month Euro STR Futures, Eurex offers a listed, centrally cleared, and cash-settled solution to trading or hedging the new risk-free rate. The contracts are based on the compounded €STR over a three-month period. They will complement Eurex Clearing's €STR Overnight Index Swap offering.

Eurex is committed to staying the home of the Euro yield curve with a highly efficient, fully fungible product portfolio that encompasses the short- and long-end across the listed and OTC business. Customers will ultimately benefit from Eurex’s portfolio based Prisma margining methodology which is designed to optimize margin offsets across OTC interest rate swaps and listed fixed income products.  

The euro short-term rate (€STR) reflects the wholesale euro unsecured overnight borrowing costs of banks located in the euro area. The €STR is published on each TARGET2 business day based on transactions conducted and settled on the previous TARGET2 business day (the reporting date “T”) with a maturity date of T+1 which are deemed to have been executed at arm’s length and thus reflect market rates in an unbiased way.

Traded Contracts and Open Interest in Thousands

Key benefits

  • Hedging
    Help the Euro market transition smoothly to the new risk-free rate. Hedge with a future referencing the same rate as the one used for discounting.
  • Liquidity
    Orderbook liquidity supported by dedicated market makers.
  • Flexibility
    Can be traded in the orderbook or in TES (block).
  • Margin efficiency
    Included in the same liquidation group as EUR OTC Swaps cleared at Eurex Clearing and Euro government bond Futures & therefore offering opportunities for margin reduction with PRISMA margin methodology

Prices/Quotes

Product Diff. to prev. day last Last price Contracts Time
FST3 +0.00% 96.0950 2,105 18:38:13

Contacts

Andreas Stillert
FIC ETD Product Design

T +49 69 211-1 72 78

andreas.stillert@eurex.com

Vassily Pascalis
Fixed Income Sales Europe

T +44-20-78 62-72 11

vassily.pascalis@eurex.com