Eurex Begins Clearing Euro Short-Term Rate Swaps

Eurex Clearing has cleared its first euro short-term rate (€STR) swap trades.

The clearing house claims that this represents an important milestone in both the establishment of €STR as the new benchmark risk-free rate, and in expanding Eurex’s EUR-denominated product offering.

BNP Paribas, Citi, Deutsche Bank, JP Morgan, Landesbank Baden-Württemberg (LLBW), Morgan Stanley, Nordea and UniCredit were the first to trade €STR swaps cleared at Eurex Clearing. Along with a number of other banks, they will continue to provide liquidity and pricing via Bloomberg and Tradeweb’s execution platforms.

The switch from Euro OverNight Index Average (EONIA) to €STR, the new euro short-term rate, forms part of the broader Interbank Offered Rate (IBOR) reform being conducted, with the European Central Bank (ECB) officially beginning to publish €STR on 2 October 2019.

Magnus Inness, head of flow derivatives trading at UniCredit, comments: “As we transition to an alternative, risk free rate environment, it is vital that we develop a strong cleared market. Supporting the development of a new benchmark underpins our commitment to helping our clients effectively manage and execute their risk exposure in a transparent, cost effective manner.”

Thilo Rossberg, head of FICC markets at LBBW, says: “We are encouraged by the smooth introduction of clearing for €STR swaps in Frankfurt. This is a vital step for the development of a vibrant and liquid market in this new instrument.”

Matthias Graulich, member of the Eurex Clearing executive board, adds: “We are delighted to have now cleared the first €STR swaps in Frankfurt. As €STR is maintained by the ECB, its establishment represents an important part of strengthening regulatory control within the EU27. Eurex Clearing is fully supportive of these efforts, as shown by the clearing of these €STR swap trades, as well as other innovations such as our approach to build an EU27-based alternative for euro swaps clearing.”

Galen Stops

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