Europe

Tradition €STR Rates

As of October 21st 2019 the LCH began clearing swaps linked to ESTR (€STR). EUREX followed shortly after on the 18th November 2019.  As expected €STR volumes have increased over the last few months especially as we moved through the transition CCP discounting from EONIA to ESTR which took place on July 27th 2020.

€STR is calculated based entirely on actual individual transactions in Euro that are reported by banks in accordance with the ECB’s money market statistical reporting (MMSR).  Term €STR rates will likely be officially introduced in 2022 which is critical for EURIBOR replacement.

The EONIA methodology is redefined as €STR plus a fixed spread, calculated as the difference between the underlying interests of EONIA and the pre-€STR. The ECB has calculated this spread as a fixed 0.085% (8.5 bps).

 

TD 0123 Percentage of ESTR Linked Trades larger than 2Y Tenors

Quarterly volume % increase of ESTR trades in tenors under 2Y
pre and post LIBOR transition.
Source: Clarus Financial Technology

 

Tradition ESTR Sell Sheet

ESTR sell sheet thumb

TraditionDATA ESTR