International Derivatives Market CME Group today introduced €STRWatch, which allows clients to understand the potential impact of ECB interest rate decisions on futures settlement prices.
The solution builds on the success of CME Group’s FedWatch, SOFRWatch and TreasuryWatch tools.
Using €STRWatch, clients will be able to analyze their expectations for the impact of ECB policy decisions at upcoming meetings, providing a view of where CME Group €STR futures prices could settle if they prevail their expectations. Given the high correlation between the ECB deposit facility rate and the euro STR rate, the tool takes into account the difference between these rates to project euro STR forward rates.
“The recent change in European interest rate policy has further emphasized the importance of risk management and the need for comprehensive data to understand market pricing for €STR contracts,” said Mark Rogerson, Head of Interest Rate Products. EMEA, CME Group. “As the €STR futures market continues to generate liquidity and participation, we have launched this new tool to help clients navigate this period of monetary policy change.”
€STRWatch is available for use ahead of the ECB’s next monetary policy meeting scheduled for July 25.