€STR Wars: Attack of the Clones Part 2

Dr Elliot Banks, Chief Product Officer, BMLL

On 17 January, our article ‘€STR Wars: Attack of the Clones’ analysed the recent rise of the futures linked to the Euro short-term rate (€STR) contract, and the importance of understanding this liquidity in order to minimise the cost of trade, find liquidity and to hedge efficiently.

As €STR continues to grow and gain market share, understanding the liquidity profile of competing €STR futures on ICE, CME and Eurex will be critical for market participants to trade better.

This month, we've extended the analysis to see how €STR futures trading volume has evolved in Q1. Some interesting trends can be seen:

• Eurex still has the highest market share in volume terms

• ICE has moved to have the largest Open Interest

• €STR volumes are establishing themselves as significant,with consistent market share above 10% vs. Euribor. However, Euribor is still the dominant future for the time being

Looking at the Euribor-€STR comparison, we can see this is still early days, and this race has a long way to run. Using BMLL's highest quality historical market data, it's easy to compare these three contracts, and understand the best way to trade. This includes our level 3 analytics such as order activity, and breaking down how the full complex trades on ICE.

To get a full picture of the €STR market quality, additional market share metrics have been included, over the time period from November 2023 - March 2024.

€STR Traded Volumes

€STR market share

Open Interest

Whilst both CME and ICE had increasing Open Interest during the quarter, CME had a large reduction following the quarterly roll, putting it back to January levels. ICE's open interest has continued to rise and is now the largest of the three venues.

€STR vs Euribor comparison

Bid-Offer Spread

Order Activity

ICE €STR Product Daily Volume breakdown

Continue to read part 3 in €STR Wars Part III: Return of the €STR