Eurex Frankfurt : Exchange's Fixed Income Futures & Options - highlights of Q4/2015 (Englisch)

Erscheinungsdatum: 26. Jan 2016| Eurex Exchange

2015 has been a year characterized by the return of volatility. Looking back at the last twelve months, our markets were driven, amongst other things, by the following:

• In March ECB started its QE programme, under which the Central Bank will be purchasing EUR 60 billion of securities per month until at least September 2016. Uncertainty about the terms of the program contributed to volatility during Q4/2015 and caused large movements in Euro-Bund Futures (FGBL).
• Prolonged negotiations on the third memorandum for stability support to Greece created pressure for peripheral euro economies especially during the summer period.
• The prospect of an increase in the federal funds rate by the Fed was an important source of uncertainty, especially during autumn, as market participants globally were trying to position themselves for the event. The increase finally took place in December (from 0.25% to 0.50%) and signified a divergence in policies between the Fed and other Central Banks.
• The pace of recovery as well as regional and general elections in Spain put the country in focus during H2/2015 and pushed up Spanish government bond yields.

Annual figures for Eurex Fixed Income Derivatives have been strong:

• A total of 507 million Fixed Income Futures and Options were traded in 2015, an increase of 10.2% compared to 2014.
• Options volume growth was even stronger; up 54% compared to 2014.
• Futures also grew by 4.7% with Buxl® and Euro-BTP Futures performing particularly well.

Euro-BTP contracts

• Long-Term Euro-BTP Futures (FBTP) extended its strong growth. Over 25 million contracts were traded in 2015, a 47.2% increase over 2014.
• The development in liquidity of the FBTP market is highlighted by an average daily volume (ADV) for 2015 in excess of 100,000 contracts. Open interest reached a peak of 271,000 contracts in 2015.
• Similarly, Short-Term Euro-BTP Futures (FBTS) continued to grow, with 5.5 million contracts traded during the year, up 50.7% over last year. This makes FBTS the fastest growing Eurex futures product for the year. Open interest reached an all time record of 103,486 contracts.

Options interest intensifies in a year focused on Central Bank activity

• Options on Euro-Bund Futures continued to grow (47.2% over 2014) with an ADV of 179,388 compared to the 132,597 contracts traded in 2014. Open interest reached as high as 1,774,336 contracts in June 2015.
• Options on Euro-Bobl and Euro-Schatz Futures were by far the strongest growing fixed income products, with volumes of 14.9 and 18.2 million contracts respectively, which corresponds to ADVs of 59,208 and 72,241 respectively. Open interest reached highs of 988,829 and 1,535,368 contracts respectively.

Euro-Buxl® Futures have a record year

• Volumes in Euro-Buxl® Futures (FGBX) continued to grow with 2015 showing a 44.9% increase compared to 2014 and an ADV of 36,814 (up from 25,307 in 2014).
• 2015 saw FGBX reaching a record open interest of 158,513 contracts in May.

Euro-BONO Futures: extension of our sovereign bond futures

On 26 October, we launched a new Fixed Income Future based on notional long-term debt securities of the Kingdom of Spain (Obligaciones del Estado). As of the end of 2015, the Euro-BONO Futures (FBON) had traded 40,273 and had an open interest of 4,392 contracts. For the largest part, volume has been driven by Agency and Principal business (40% and 36% respectively).

Key benefits:

Precise hedging: Euro-BONO Futures offer the market an instrument to hedge Spanish debt on-exchange and remove the basis risk currently present when hedging with Euro-BTP Futures as is often the case.

Enhanced basis trading: Euro-BONO Futures present an opportunity to trade the basis on Spanish debt instruments and therefore complement the Spanish cash market.

Spread trading: Euro-BONO Futures are an alternative to cash bonds to trade the respective yield spread between Spanish and Italian, French or German debt.

Eurex Clearing: Euro-BONO Futures offer reduced counterparty risk and margin off-sets against other Eurex Fixed Income Futures positions.

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