Cross-currency futures could ease bilateral burden – CME
Quarterly €STR-vs-SOFR contract could be used by Stir desks to manage currency basis risk
CME Group is preparing to launch a new cross-currency basis future that it says could provide a more efficient means for banks’ short-term interest rate (Stir) trading desks to hedge risks in their foreign exchange swaps and forwards books.
The contract, which is scheduled to launch on February 3 pending regulatory approval, will allow banks and hedge funds to trade the three-month euro/US dollar cross-currency basis in a futures format for the first time.
“Cross-currency swaps have typically been
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