Products > Wholesale Trading > Exchange for Swaps > Fixed Income, Credit and Inflation Futures  

Fixed Income, Credit and Inflation Futures

 Fixed Income, Credit and Inflation Futures
 Equity Index Futures


The EFS trade facility is available for the following combinations of Eurex fixed income, credit and inflation futures and OTC interest rate swaps as well as OTC interest rate swaptions:

Futures Leg

Contract Product ID
Euro-Schatz Futures FGBS
Euro-Bobl Futures FGBM
Euro-Bund Futures FGBL
Euro-Buxl® Futures FGBX
Short-Term Euro-BTP Futures FBTS
Mid-Term Euro-BTP Futures FBTM
Long-Term Euro-BTP Futures FBTP
CONF Futures CONF
iTraxx® Europe 5-year Index-Futures F5E0
iTraxx® Europe HiVol 5-year Index-Futures F5H0
iTraxx® Europe Crossover 5-year Index-FuturesF5C0
Single Name Recovery Futures  
Euro-Inflation Futures HICP

Cash Leg

EFS for Fixed Income
Cash transactions in EFS trades must have the following characteristics:

  • OTC interest rate swap or swaption
  • Agreement under the terms of an ISDA Master Agreement or any similar framework agreements

EFS for Credit
Cash transactions in EFS trades must have the following characteristics:

  • An OTC Credit Default Swap (CDS) on an iTraxx® index or a single reference entity
  • Agreement under the terms of an ISDA Master Agreement that incorporates by reference the definitions and provisions contained in the 2003 ISDA Credit Derivatives Definitions as supplemented by the May 2003 Supplement to the 2003 ISDA Credit Derivatives Definitions
  • Regular periodic premium payments against certain payment obligations by the premium receiver on the bankruptcy or other defined credit event of the reference entity or entities underlying the contract
  • All swap payments must be denominated in a currency of the OECD Member States

EFS for Inflation
All versions of inflation swaps can be cash transactions within EFS trades and must have the following characteristics:

  • Agreement under the terms of an ISDA Master Agreement or any similar framework agreements
  • All swap payments must be denominated in a currency of the OECD Member States

Clearing of Exchange for Swaps
EFS trades are supported by Eurex Clearing AG for clearing and settlement.

  • The EFS trade facility allows Eurex Members to clear futures positions resulting from EFS trades through Eurex Clearing AG
  • The EFS trade facility is not used to conclude cash transactions (see Cash Leg)
  • Fixed income futures positions resulting from EFS trades are administered as normal exchange positions by the Eurex Clearing system and may be closed through the regular market
Name Date File
Introduction to the Exchange for Swaps (EFS) Trade Facility on the
Eurex @X-ceed Front-End 		May 2010