INTEREST RATES

European Overnight Index futures
Short-Term Interest Rate futures on €STR and RepoFunds Rates (RFR)€STR and RepoFunds Rate futures first look
European Overnight Index futures offer capital efficient, offbalance sheet tools for hedging overnight money market andrepo rates in Europe.
The product suite launched for first trade date October 31, 2022with Three-Month €STR outright futures and Three-Month €STR
Single Contract Basis Spread futures. German and Italian
RepoFunds Rate futures began trading on December 5, 2022.
• €STR futures are cash-settled to the Euro Short-Term Ratecompounded and realized in arrears. €STR is a measure of thewholesale euro unsecured overnight borrowing costs of banks
located in the euro area.
• €STR Single Contract Basis Spread futures represents thedifference between expected Three-Month Euribor andcompounded €STR over the same IMM period and settle byassigning contract holders into €STR futures at a pricedetermined by the final closing price of the spread future andthe prevailing Three-Month Euribor benchmark rate.
• RepoFunds Rate (RFR) futures, are cash-settled to overnight
RepoFunds Rates compounded and realized in arrears. RFRs
are UK BMR registered benchmarks, which measure theovernight funding costs of European sovereign debt derived
from repo trades executed on BrokerTec and MTS.
• RFR Single Contract Basis Spread futures settle by assigning
contract holders into RFR futures at a price determined by thefinal closing price of the spread future and the prevailingThree-Month Euribor benchmark rate.

Key features
TRANSPARENT PRICE DISCOVERY

Source liquidity and price discovery via an equal access,transparent order book.
FUTURIZED €STR LIQUIDITYManage granular €STR risk with 24-hour trading, capitalefficiency, 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.
IBOR/OIS BASIS TRADING

Trade the differential between IBOR cost of funds andthe cost of funds represented by overnight money market
or repo rates.
SEAMLESS DUAL CURRENCY SPREAD TRADINGManage cross currency basis spreads between U.S. and EUmoney market rates with inter-commodity spreads (ICS)
guaranteeing execution between €STR vs. SOFR futures.
PRICE AND HEDGE FORWARD FOREIGN EXCHANGE

Use €STR vs. SOFR ICS to accurately price interest rate
differentials with guaranteed spread execution in hedging.
MARGIN EFFICIENCIES

Automatic clearing efficiencies including margin offsetswith adjacent interest rate markets, such as SOFR.

About the underlying reference rates
EURO SHORT-TERM RATE (€STR)

REPOFUNDS RATE (RFR) BENCHMARKS• Administered by the European Central Bank (ECB)• Administered by CME Group Benchmark Administration (CBA)• Published at 8:00 a.m. CET on each TARGET2 business day• Published each business day at 4:15 p.m. GMT• Measure the wholesale euro unsecured overnight borrowingcosts of banks located in the euro area

• Calculated based on repo trades executed on EU BrokerTecand MTS• Measures the overall cost of funding achieved by the market,inclusive of both general collateral (GC) and suitable specificcollateral (SC) repo trades, and based on settlement dateContract specifications€STR AND RFR FUTURES€STR-EURIBOR AND RFR-EURIBOR SPREAD
FUTURESREFERENCE RATE

Compounded Overnight Index (€STR/RFR)

3-Month Euribor and 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 Serialmonths

LISTING DATESMarch Quarterly IMM schedule + Serials

VALUE OF 1 BP

€25

IMM INDEX VALUE€2500

VARIATION MARGIN CURRENCYEURFEE CURRENCY

USD

MINIMUM PRICE INCREMENT

Each contract is moved to its new reduced MPI on theweekend following any trigger of its eligibility criteria:

0.25 bp

All contracts: 0.005 IMM Index points(0.5 bp per annum) = €12.50
Contracts with four months or less until termination:
0.0025 IMM Index points (0.25 bp per annum) = €6.25
Contracts with one month or less until termination:
0.00125 IMM Index points (0.125 bp per annum) = €3.125
Final Settlement: 0.0001 IMM Index points(0.01 bp per annum)
LAST DAY OF TRADING

Day prior to the IMM date three months forward fromthe contract identifying month

Two TARGET2 business day prior to IMM Wednesday

DELIVERY

Cash-settled in currency of contract, by reference toFinal Settlement Price, on Last Day of Trading

Assignment into same contract month €STR/RFR future byreference to Final Settlement Price on business day prior
last day of trading and 3-Month Euribor benchmark
published on last day of trading

FINAL SETTLEMENT PRICE

Contract-grade IMM index evaluated on the basis ofrealized, 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 3-Month Euribor and Compounded
Overnight Index

BLOCK THRESHOLD

100 contracts

PRODUCT CODE

€STR futures: ESR€STR-Euribor futures: EUS

RFR futures: RFD – Germany; RFI - Italy

RFR-Euribor futures: RSD – Germany; RSI – Italy

VENDOR CODES€STR futures and -Euribor futures

To learn more, visit cmegroup.com/european-rates-futures
cmegroup.com
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