- Open Interest of €STR futures has continued to increase:
- Open Interest is over €800bn, up from ~€50bn at the beginning of the year.
- €STR Futures are becoming a more significant portion of trading activity, accounting for 13% of traded volumes.
- Eurex had a 58% market share by volume in August 2024, whilst 65% of Open Interest sits with ICE.
€STR Futures
Our €STR Dashboard summarises key liquidity attributes in this growing market:
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- The data is up to September 20th. Not even a full month has passed and September looks set to be a record all time month for traded volumes.
- July and August 2024 set consecutive volume records and we can be pretty confident that the full month of September will be the third in a row.
- €STR futures are becoming a bigger part of the overall market.
- €STR accounted for 12% of all EUR STIR trading in July, 13% in August and is 14% so far in September.
- These are all record highs for the proportion of the market trading versus €STR.
- EUREX has seen volume records in July and August, with 2.7m contracts traded each month in €STR futures.
- ICE has seen around 1.7m contracts traded each month since July. September is looking like it might prove to be a record month at ICE, already passing 1.7m contracts traded.
- CME is also having a strong month in September with over 330,000 contracts already traded.
- For market share in August 2024, Eurex saw 58%, ICE 36% and CME the remaining 6% of volumes – very similar to the last time we wrote the blog.
- EURIBOR volumes were over 30m contracts in both June and July 2024, for the first time since January. Combining the (increasing) €STR volumes with EURIBOR means that ICE still enjoy an 88% market share for all EUR-denominated STIR activity.
Open Interest
CCPView provides all the data we need on Open Interest for €STR futures:
- Who can spot the latest IMM roll? It is important to note that this behaviour was also seen in EURIBOR contracts – it is not just an €STR thing.
- Over the Sep IMM, total Open Interest in €STR contracts dropped by ~10%.
- In EURIBOR, Open Interest dropped by ~9% .
- ICE hit an all time high Open Interest of 564,000 contracts – see LinkedIn below:
- ICE hold up to 65% of Open Interest, Eurex ~25% and CME just less than 10%.
- Please note that despite the drop in Open Interest following the IMM roll, Open Interest is still 71% higher than after the June IMM! Impressive growth in just 3 months….
- …and according to this post at BMLL, liquidity is improving. This is particularly evidenced by tighter bid-offer spreads, with ICE leading the way with the tightest spreads.
EURIBOR
EURIBOR continues to dominate EUR STIR future volumes, despite €STR becoming more and more significant.
- July 2024 was the record month for EURIBOR contracts this year, with over 32.5 million contracts/€32.5Trn notional equivalent traded.
- Every month bar August has seen over 30 million contracts trade. For contrast, 2023 saw only two months with over 30 million contracts traded.
- I am surprised that €STR managed a record month in August whilst EURIBOR did not set any volume records.
- Eurex has had a volatile market share in EURIBOR trading over the past three months, varying from 3-7%.
€STR Options
August 20th saw the first €STR Options trade:
There is not much more that we can add on this options activity at this point. We will be keeping an eye out for more activity.
Swaps
Is there anything to see in Swaps yet? Ahead of Active Accounts actually being implemented, we still see activity at three CCPs for €STR:
LCH SwapClear has a 99% market share in €STR when measured by DV01 traded. It is notable that €STR Swap volumes didn’t manage to hit any records in August 2024. EURIBOR swaps volumes also failed to accelerate. That is in contrast to the volumes we saw in USD Rates last month.
In Summary
- In the on-going three way battle for dominance in €STR futures, the Clarus API summarises the most relevant volume metrics in our €STR Liquidity Dashboard.
- Open Interest in both €STR and EURIBOR futures dropped by about 10% over the recent Sep IMM.
- €STR volumes now account for 13% of all EUR STIR trading activity, up from 4% at the start of the year.
- The first €STR options traded at ICE in August.