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Fixed Income Highlights - September Edition

Release date: 20 Sep 2017 | Eurex Exchange

Fixed Income Highlights - September Edition

September Edition

Market briefing

Fixed income markets have remained relatively resilient despite the slow-down in global markets overall. Both futures and options volumes are up versus previous years as geopolitical risks and central bank divergence continue to be the main drivers. Open interest across fixed income markets remains robust despite the underperformance of realized volatility. Although government bond spreads have remained in relatively tight ranges, we have seen a small widening, which has helped volumes in periphery products. The flat Euro yield curves are helping suppress volatility in the long-end. When we do witness spikes in volatility they continue to be short term and a lot of risk premium had been taken off the table in the summer month. Implied volatility also remains low and hence there is the concern that the market is underpricing geopolitical and event risk.

Re-inflationary pressures have somewhat subsided and economic data remains mixed in Europe and the US but still in positive territory.

Lee Bartholomew, Head of Fixed Income & FX Product R&D, Eurex

 

 


In 2009, Eurex launched its first futures contract on the long end of the Italian yield curve. This successful start followed the introduction of Short-Term Euro-BTP Futures in October 2010 and Mid-Term Euro-BTP Futures in September 2011. Together, all three products have traded more than 135 million contracts since inception.

 Yield spreads across Europe continue to be volatile as investors’ decisions are based on the persistence of sovereign factors. Therefore, Euro-BTP Futures continue to attract diverse groups of market participants. To meet market demand, we are complementing our offering for the Italian government bond market with Options on Euro-BTP Futures (OBTP). Market participants can now benefit from an efficient, accessible and cost-effective instrument that extends hedging and trading opportunities by making the volatility in the long-term maturity range of the Italian interest rate curve tradable.

 

Watch our series on Risk Management.

Marcus Addison, head of the Default Management team at Eurex Clearing deep dives into the details of auctions. Learn how auctions and hedging activities are interlinked and why the auction format at Eurex Clearing is so successful.

 
 
 

Events

With the connection of Barclays Bank PLC, Citibank N.A. (London branch) and The Bank of New York Mellon (New York branch) for its Multi-Currency Payment Services, Eurex Clearing broadens its network of Settlement Banks, which facilitate clearing-related cash payments in multiple currencies for Clearing Members.

The technical go-live date was 18 September 2017.

 

 

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