Config.
Marché
Rapport
Unité

COT €STR (Euro Short-Term Rate)

Période
Échelle

As-of mardi · close vendredi · source CFTC

Long vs Short

Long et short en % d’OI (catégorie focus)

Δ 4 semaines

Variation du net vs le rapport d’il y a 4 semaines

Cette semaine

Catégorie Long Short Spreading Net Δ Long Δ Short Δ Net % OI long % OI short

Historique

Rates · Short-term · CME

What is the €STR (ESR) futures contract?

Three-Month €STR (ESR)

Satellite of SOFR 3M (SR3)

A long means…

Exposure to a rise in the €STR futures price. Quoted 100 minus the rate: when the price rises, the implied rate falls.

What is this?

€STR is the euro-area unsecured overnight rate, published by the ECB: banks’ wholesale borrowing cost, not an FX rate. The CME future compounds that rate over an IMM quarter. Quoted 100 minus the rate: when the price rises, implied €STR falls. The CFTC name contains “EURO”: it is not Euro FX, not EUR/USD.

Banks use it for overnight and for swaps indexed to that rate; managers for the ECB path. It succeeded Eonia.

Pitfalls

  • Not Euro FX / EUR/USD (6E, 099741).
  • Not an equity index despite a former catalog mis-class.
  • Not SOFR: euro short rate (€STR), quoted 100 − rate.

Univers LIX

Le positionnement n’est pas le risque

Le COT décrit qui est positionné. Le LIX décrit le niveau de risque de marché — 12 indicateurs, hors COT.