Can retail hedge euribor rates?

Hey,

Since rates are rising and my mortgage has a 6m euribor tied to it, I've asked the bank about the options to fix the interest rate. They quote 1-2% above my current interest rate for 3 or 5y fixed rate. I guess they will hedge this exposure on the market via some form of swaps. So I started to look if I can replicate it myself.

Eurex has illiquid 3m euribor futures and ICE has more liquid 3m futures, but those will simply provide directional exposure. ICE also offers Eris EURIBOR 2YR IMM 6M Interest Rate Future, these seem to swap floating rate to fixed but the website shows there are no volumes at all. 

What would be the best option to offset the rising euribor for a 200k eur notional? I do have access to all ICE derivatives.

Thanks

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Sep 14, 2022 - 11:02am
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