- Open Interest of €STR futures has continued to increase:
- Open Interest is now ~€470bn equivalent, up from ~€50bn at the beginning of the year.
- ADVs were €170bn in May and June 2024, up from ~€80bn in Feb, but below the June highs.
- Eurex had a 57% market share by volume in June 2024, whilst 67% of Open Interest sits with ICE.
- CME have recently launched CME €STRWatch.
€STR Futures
Our €STR Dashboard summarises key liquidity attributes in this growing market:
Showing;
- Q2 2024 volumes hit new records in €STR futures..
- …but volumes have tailed off since the April 2024 highs – see previous blog here.
- The ECB interest rate cut on 6th June was sufficiently well telegraphed that it did not lead to a glut of trading activity (or volatility).
- €STR futures made up 9.6% of all EUR STIR volumes, down from the high of 12% in April but still significantly higher than Q1 2024 (at 6.5%).
- €STR futures volumes were down at all three CCPs between April and June.
- The record month for ICE is still April 2024, when over 2m contracts traded in €STR. That fell to 1.3m in June.
- Eurex has seen over two million contracts trade each month since April, with pretty steady volumes.
- Market share remains volatile…..
- Eurex saw 58%, ICE 34% and CME the remaining 6% of volumes in June 2024.
- EURIBOR volumes were very healthy in June (I guess IMM roll related again), meaning that ICE continue to see 88+% of total EUR STIR volumes.
Open Interest
CCPView provides all the data we need on Open Interest for €STR futures:
- ICE storming to hit 317,000 contracts of Open Interest as at end of June.
- It took nearly a year for Open Interest to hit 100,000 contracts across all 3 CCPs since €STR futures started trading in anger back in June 2023 – see my original blog here.
- We then hit 100,000 contracts at ICE alone in May 2024. This had grown to 200,00 on 31st May before reaching 300,000 by mid-June. ICE stated back in June that 75% of open positions are linked to end-users (see LinkedIn post here).
- ICE now have two-thirds of the Open Interest in €STR futures, with CME just under 10% and Eurex pretty steady at 23% since I blogged in April.
- Interesting to note that CME OI climbed to a record high of 60,000 contracts, nearly doubling since the March IMM. It again dropped across the IMM roll – I guess we should expect similar over the Sep IMM.
EURIBOR
EURIBOR continues to dominate EUR STIR future volumes:
Showing;
- June 2024 was the second largest month for EURIBOR contracts this year, with over 32 million contracts/€32Trn notional equivalent traded.
- Every month this year has seen over 30 million contracts trade. For contrast, 2023 saw only two months with over 30 million contracts traded.
- It is important to bear this in mind when considering the picture for €STR. EURIBOR continues to be huge and is dominated by ICE.
- Eurex had a fairly consistent 6-7% market share in EURIBOR during Q2 2024 for volumes, but less than 2% of Open Interest (68,000 contracts plays ~4m).
CME €STR Watch
The CME have added €STR to their monetary policy tracking tools, which is a neat tool. It encapsulates the maintenance periods (which do not match IMM dates), so is more similar to the SOFR Watch they publish rather than the Fed Watch which assigns probabilities of cuts to each month:
Swaps
Is there anything to see in Swaps yet? Ahead of Active Accounts actually being implemented, we now have FIVE CCPs who can clear EUR Swaps:
- LCH SwapClear
- CME
- Eurex
- BME
- Nasdaq
(Hat Tip to Risk.net for highlighting this). I will continue to monitor volumes at the CCPs (across both EURIBOR and €STR). For €STR volumes it is still limited to three CCPs as far as I can see in our data:
LCH SwapClear still has a 99% market share in €STR when measured by DV01 traded. As we looked at just last week, EUR swaps are the biggest swaps market out there. It is interesting to think what proportion of volumes a CCP needs to attract in order to create a sustainable and profitable business – I guess we will only know if/when one of the five pulls out of the market?
In Summary
- The data speaks for itself in the on-going three way battle for dominance in €STR futures….
- …which has now been joined by a potential five-way battle in EUR swaps clearing.
- The Clarus API summarises the most relevant volume metrics in an €STR Liquidity Dashboard.