Eurex has emerged as the top exchange for trading Euro short-term rate futures while CME Group’s rival product dominates open interest in the escalating three-way battle with Intercontinental Exchange for the nascent European rates market.
Eurex traded in December 775,000 lots of three month Euro short-term rate (ESTR) futures, compared with 483,000 at ICE and 251,000 contracts at CME Group, meaning the Deutsche Boerse-owned market had a 51% market share by volume compared with ICE’s 32% and CME’s 17%.
The December numbers showed slight market share increases for Eurex (from 50% in November) and ICE (up from 30% the previous month) while CME’s market share by volume fell slightly from 20% in November.
By contrast, CME was the top market for ESTR open interest at the end of last month, with total OI in its three month ESTR futures contract at 27,800 lots, compared to 6,700 lots at ICE and 5,750 at Eurex, according to the exchanges.
That meant CME had 69% of the open interest in the three month rates contract compared with 16.6% at ICE and 14.2% at Eurex.
The ESTR market, based on the European risk-free rate alternative to Libor, is contested because it could offer Eurex or CME a foothold in the European short-term interest rate (STIR) market dominated by ICE.
ICE’s Euribor book is the European short-term rates standard and currently far-larger than ESTR. ICE Futures Europe traded last month 28.7 million lots of Euribor, compared to 1.5 million ESTR contracts traded on ICE, Eurex and CME.
Eurex, which made its ESTR futures available to trade in January last year, relaunched its rival Euribor contract in November and has been promoting that product and its related ESTR contract with incentive schemes which partly explain the German exchange’s recent success.
Lee Bartholomew, Eurex’s global head of Fixed Income & Currencies Product Research and Development, told FOW: “Across our STIR segment, we have traded over five million contracts since we relaunched Euribor and ESTR, of which 3.8 million is Euribor and 1.7 million in ESTR.”
He added: “Last week, we averaged around 122,000 Euribor and about 30,000 average daily volume of ESTR. The focus for us is on the taker side by increasing the open interest and we are quietly confident that we will achieve those aims.”
ICE declined to comment but the US group has pointed to its dominant position supplying top of book ESTR liquidity, where the London-based market shows the best bid-ask prices nearly two thirds of the time.
CME Group, which was the first to launch its ESTR future in October 2022 and whose ESTR open interest tops 30,000 lots when the ESTR spread contract OI is included, also declined to comment.
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