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Fixed Income market briefing May 2020

Release date: 05 May 2020 | Eurex Exchange, Eurex Clearing, Eurex Group

Fixed Income market briefing May 2020

Firstly, I would like to send all of our members my sincerest regards in these extraordinary times and thank them for their continued support. April was a mixed month for European Fixed Income (FIC) markets. Overall, our volumes were down across the German benchmarks except for our Schatz options, which saw a growth of 198.4%. The options were primarily driven by flows emanating from OTC markets in the cap/floor versus swaption space. With Euribor's high relative to the same period last year, investors looked to position themselves in the spread between the two in the front end. The Italian and French segments continued to be well supported, with volume growths of 32% and 111.4% respectively in options as intra-month volatility spiked to circa 17% in BTP's. Continuing with our options theme, volumes in the USD High Yield Corporate Bond ETF saw a 264% increase in volumes versus 2019 with 11.3k of options trading. Having a lit market in these products should help volume build for the year, together with the resilience the underlying showed throughout March's volatility. 

In the futures space, the Italian segment continued to be well supported with volume growth of 19.3% on the BTP and 32.3% on the BTS future.  Overall, given the broader macroeconomic backdrop, volumes remain well supported. However, we will be closely monitoring developments to identify any green shoots.

As we move into May, the focus of the team is to work with our members to develop our newly launched segments and build liquidity, which I am confident will happen as clients look for opportunities in credit and rates. 

The coronavirus pandemic delayed the UMR deadlines, but the challenge has not disappeared. The delay allows compliance to prepare themselves adequately and allows putting a complete solution in place. Read Frank Odendall’s latest article on how CCP cleared repo can help to manage collateral requirements now and in the future.  

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


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