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Fixed Income Highlights - IDX 2018 special edition

Release date: 05 Jun 2018 | Eurex Exchange, Eurex Clearing

Fixed Income Highlights - IDX 2018 special edition

May saw record volumes at Eurex Clearing with total open interest now over EUR 6.5 trillion and overall notional cleared exceeding EUR 8 trillion. Volumes have increased exponentially: it took 5.5 years for the first EUR 1 trillion (Nov 2011 to Mar 2017), just over a year for the next EUR 6 trillion and less than 3 weeks for the last EUR 1 trillion. May 22 was our record day with EUR 593 billion cleared. Meanwhile, new Clearing Members continue to join Eurex OTC Clearing with the latest addition being the Dutch State Treasury.

"The Dutch State Treasury Agency is a very important new Clearing Member for us," said Erik Müller, CEO of Eurex Clearing. The DSTA has decided to enable central clearing of its euro-denominated interest rate swaps via Eurex Clearing in Frankfurt. Operational start of clearing is expected for the end of the year at the earliest. Read more

From a Eurex perspective, our core futures markets held up well with decent year-on-year pickup in volumes. In the options space. Bund volatility stayed within in its 4-6% corridor and most of the price action was in selling volatility across the board. From a macroeconomic perspective, data still shows underlying growth but geopolitical risks became less of a driver for markets throughout April. In recent weeks, we have seen a strong pick up in volumes especially in our Italian BTP segment both in futures and options. This has largely been driven by political uncertainty resulting in the spread widening between Bunds and BTPs.

Eurex short-term and long-term BTP futures have continued to grow, providing investors with the liquidity needed to navigate the uncertainty following the elections. Average daily volume in long-term BTP futures has risen to 127,000 contracts, while it stands at 64,000 for short-term BTP futures.
Options on long-term BTP futures surpassed the open interest level of 100,000 contracts for the first time as investors expanded trading and hedging positions in response to political developments.

Euro-Buxl® Futures
The long end of the German yield curve has benefited from the ECB QE program, as investors turned to longer duration exposure in search of yield. Average Daily Volume in Euro-Buxl-Futures now exceeds 70,000 contracts, and Open Interest is close to 300,000 contracts.

MiFID II and the associated compliance has been a catalyst for change as new rules are causing a shift in the way global market participants assess and track their executions. The ability to preserve key elements of the OTC trading workflow while leveraging the benefits of electronic price formation is becoming more and more important. TABB Group published an interesting market note on the innovative Selective RFQ approach, stating Eurex EnLight as a prime example of merging the old and the new trading paradigms. The market note series consist of three parts. In part one, you can find out more about the reasons leading to innovative approaches like Selective RFQ. Read more


This year's annual Derivatives Forum will focus on the key issues that will shape the derivatives industry of the future - including product innovation across asset classes, fintech, and geopolitical issues such as Brexit - and assess how ready market participants are to face the challenges and opportunities that lie ahead.
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