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Fixed Income Market Briefing

Release date: 10 Apr 2017 | Eurex Exchange

Fixed Income Market Briefing

Latest Briefing

Lee Bartholomew

London Representative Office | Head of Fixed Income Product Research & Development | Global Product Research and Development

11 Westferry Circus
London, E14 4HE

T +44 207 8 62-76 54

 
 

Market Briefing

First of all I'd like to say a huge thank you to our Members who have supported Eurex over the first half of the year. Volumes in our benchmark and periphery European products have seen solid year on year growth.

Turning my attention to the markets, European fixed income has become quieter over the past month as yields have steadily been grinding lower and implied volatility has remained under pressure.

Volatility across the board has been softer and investors have reduced their risk. Having said this, markets have moved their focus away from the French elections to focus on Italy, with German versus Italian government bond spreads widening to around 195bps. In volatility terms, the market has been comfortable selling volatility, with single digit levels seen across many asset classes. One of the reasons for this is a low supply of economic and political surprises, which has allowed the volatility in the underlying rates market to remain relatively benign.

From a Eurex product perspective, volumes have remained robust ahead of the summer period. Open interest in our core and periphery products has been well supported, but with some of the event risk being taken off the table, open interest has receded.

Lee Bartholomew | Head of Fixed Income & FX Product R&D

Facts & figures

This market environment helped bring about strong results in May and on a y-t-y comparison. In the first five months of 2017, our core products and all periphery markets showed double-digit growth compared to 2016. Short-Term Euro-BTP Futures gained 75% and Euro-BONO Futures more than 78% in the first five months compared to 2016. On the long-end of the curve, the Euro-Buxl® Futures continued to grow after a record year in 2016; contract volumes are up by 35% on a same period comparison.

In a series of five videos, experts from Bloomberg, Eurex and Quantitative Brokers discuss key concepts of Relative Value Trading, showcase how to derive analytics and explain the role of execution algorithms and strategy selection to reduce TCA. The series will provide a common reference for key, basic concepts and speak plainly to reduce confusion or dispel any myths about fixed income relative value trading strategies.

Watch the third and latest video of the series focusing on the Benchmarking, measuring and evaluating the role of TCA.

 

 

 

 

 

 

The impending MiFID II legislation will bring about a heightened regulatory regime with an emphasis on transparency and best execution. Stricter rules on transaction reporting, research and trading, it also focuses on voice brokering. The future of voice brokering will be marked by stricter rules over voice recording and the need to adopt electronic brokering methods. Read the full article by Randolf Roth, member of the Eurex Executive Board, on how MiFID II will be presenting challenges around compliance as well as opportunities.

More than 250 participants joined Eurex's workshops in Frankfurt, London, Zurich und Amsterdam. Workshop attendees received a comprehensive overview of current developments at Eurex and Eurex Clearing. Eurex introduces several enhancements and improvements with the upcoming T7 release to cope with MiFID II regulatory requirements Eurex's T7 release 6.0 is planned to be launched on Monday,
4 December 2017. The simulation period is currently planned to start on Friday, 22 September 2017.

Events

Eurex will be present at numerous events and trade fairs during the year. Please visit our website for an overview of upcoming conferences.

To learn more about our products and services please contact Philip Simons at T +44-20-78 62-72 39 or Fiona Tramontana at T +44-20-78 62-76 56, visit our website or follow us on Twitter @eurexgroup and LinkedIn.

 

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