European Overnight Index futures
Euro Short-Term Rate (€STR) futures and RepoFunds Rate (RFR) futures provide liquid, capital efficient, and off-balance sheet tools for hedging overnight money market and repo rates in Europe.
Futurized €STR liquidity
Manage granular €STR risk with 24-hour trading, capital efficiency, 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.
Seamless spread trading
Manage cross currency basis spreads between U.S. and EU money market rates with inter-commodity spreads vs. SOFR futures.
About European Overnight Index futures
European Overnight Index futures bring enhanced trading and risk management to three key eurozone interest rates; the Euro Short-Term Rate (€STR), the German RepoFunds Rate (RFR), and the Italian RFR.
Each can be traded outright via Three-Month futures or as a spread to Euribor via single contract basis spread futures, enabling granular hedging across the forward curve as well as seamless IBOR/OIS basis trading.
Notices
Resources
Featured products
View the latest trading activity across our suite of European Overnight Index futures.
Vendor codes
| CME Group | Bloomberg | CQG | DTN | Fidessa | FIS Global | ION Group | Itiviti | Refinitiv | TT | Vela | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| €STR | ESR | KTRA Comdty | ESTR | @ESR | ESR | ESR | ESR | ESR | SRE | ESR | ESR |
| €STR Basis Spread | EUS | KUSA Comdty | EUS | @EUS | EUS | EUS | EUS | EUS | SUE | EUS | EUS |
| RFR Germany | RFD | YFDA Comdty | RFD | @RFD | RFD | RFD | RFD | RFD | RFD | RFD | RFD |
| RFR Germany Basis Spread | RSD | YSDA Comdty | RSD | @RSD | RSD | RSD | RSD | RSD | RSD | RSD | RSD |
| RFR Italy | RFI | YFIA Comdty | RFI | @RFI | RFI | RFI | RFI | RFI | RFI | RFI | RFI |
| RFR Italy Basis Spread | RSI | YSIA Comdty | RSI | @RSI | RSI | RSI | RSI | RSI | RSI | RSI | RSI |
| CME Group | Bloomberg | CQG | DTN | Fidessa | FIS Global | ION Group | Itiviti | Refinitiv | TT | Vela | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| €STR vs. SOFR | ESR-SR3 | KTRSFR Comdty | @ESR@SR3 | ESR-SR3 | ESR-SR3 | ESR-SR3 | ESR-SR3 | SRE-SRA | ESR|SR3 | ESR-SR3 | |
| RFR Italy vs. SOFR | RFI-SR3 | YFISFR Comdty | RFISR3 | @RFI@SR3 | RFI | RFI | RFI-SR3 | RFI-SRA | RFI-SR3 | ||
| RFR Italy vs. €STR | RFI-ESR | YFIKTR Comdty | RFIESR | @RFI@ESR | RFI | RFI | RFI-ESR | RFI-SRE | RFI-ESR | ||
| RFR Germany vs. SOFR | RFD-SR3 | YFDSFR Comdty | RFDSR3 | @RFD@SR3 | RFD | RFD | RFD-SR3 | RFD-SRA | RFD-SR3 | ||
| RFR Germany vs. €STR | RFD-ESR | YFDKTR Comdty | RFDESR | @RFD@ESR | RFD | RFD | RFD-ESR | RFD-SRE | RFD-ESR | ||
| RFR Germany vs. RFR Italy | RFD-RFI | YFDYFI Comdty | RFDRFI | @RFD@RFI | RFD | RFD | RFD-RFI | RFD-RFI | RFD-RFI |
Trade on CME Direct
A fast, secure, and highly configurable trading front end, CME Direct offers a one-stop shop for accessing liquidity across CLOB trading, RFQs, and block negotiation/reporting workflows. Not on CME Direct? Get started.
Download €STR and RFR trading grids
- 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.
Contract specifications
View key contract details for €STR futures and RFR futures, including contract size, pricing method, minimum price increment, and more.
|
|
€STR and RFR futures |
BASIS SPREAD FUTURES |
|---|---|---|
|
REFERENCE RATE |
Compounded Overnight Index (€STR/RFR) |
Three-Month Euribor & 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 Serial months |
|
LISTING DATES |
March Quarterly IMM schedule + Serials | |
|
VALUE OF 1 BP |
€25 | |
|
IMM INDEX VALUE |
€2500 | |
|
VARIATION MARGIN CURRENCY |
EUR | |
|
FEE CURRENCY |
USD | |
|
MINIMUM PRICE INCREMENT |
As defined in Rulebook section 480002.C: Each contract is moved to its new reduced MPI on the weekend following any trigger of its eligibility criteria: All contracts: Contracts with four months or less until termination: Contracts with one month or less until termination: Final Settlement: 0.0001 IMM Index points (0.01 bp per annum) |
0.25 bp |
|
LAST DAY OF TRADING |
Day prior to the IMM date three months forward from the contract identifying month |
Two TARGET2 business day prior to IMM Wednesday |
|
DELIVERY |
Cash-settled in currency of contract, by reference to Final Settlement Price, on Last Day of Trading |
Assignment into same contract month €STR/RFR future by reference to Final Settlement Price on business day prior last day of trading and Three-Month Euribor benchmark published on last day of trading |
|
FINAL SETTLEMENT PRICE |
Contract-grade IMM index evaluated on the basis of realized, 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 Three-Month Euribor and Compounded Overnight Index |
|
BLOCK THRESHOLD |
100 contracts (subject to reporting window: 5 minutes RTH / 15 minutes ATH and ETH) | |
|
PRODUCT CODE |
€STR futures: ESR German RFR futures: RFD Italy RFR futures: RFI |
€STR Basis Spread futures: EUS German RFR Basis Spread futures: RSD Italy RFR Basis Spread futures: RSI |
