CME is planning to launch a futures contract related to the OTC cross-currency basis between USD-SOFR and EUR-ESTR. The futures is cash settled against a proprietary cross-currency index. muRisQ is proposing a note proposes describing the index and the associated futures. The links and differences between the index, the futures and the OTC market is analysed.
Marc's Market Infrastructure note is available at:
The analysis of the fixing basis and the convexity adjustments will be proposed in a forthcoming muRisQ Model Development instalment.
Don't hesitate to contact us regarding the pricing or risk management of interest rate and forex products.