Eurex’s new Swiss rate futures in naming pickle

German exchange used ‘wrong month’ to name Saron futures

Eurex is set to rename a recently launched futures contract referencing Switzerland’s new risk-free rate (RFR), after it broke with the convention used by other exchanges.

Currently, the contract is named after the last month in each accrual period, rather than the first, which could potentially confuse users and ignores advice from a working group led by the Swiss National Bank.

“It’s mixed some people up but we’ve been reassured it will be changed,” says a rates trader at one European bank.