Eurex Fixed Income Complex


Published on

A summary on the Eurex Fixed Income complex addressing the market needs of a changing EU environment

Published in: Economy & Finance, Business
  • Be the first to comment

  • Be the first to like this

No Downloads
Total views
On SlideShare
From Embeds
Number of Embeds
Embeds 0
No embeds

No notes for slide

Eurex Fixed Income Complex

  1. 1. EurexFixed Income DerivativesApril 2012
  2. 2. Fixed Income Complex April 2012Eurex Exchange - a global marketplace Euro-Schatz Futures Euro-Bobl Futures Euro-Bund Futures Euro-Buxl Futures Euro-OAT Futures GermanyCONF Futures France Switzerland Italy Short-Term Euro-BTP Futures Mid-Term Euro-BTP Futures Long-Term Euro-BTP Futures
  3. 3. Fixed Income Complex April 2012Developments in sovereign debt yields • The recent debit crisis has lead to a divergence in Eurozone sovereign debt yields over Germany 6,00 5,00 Italy France 4,00 Netherlands Belgium Spain 3,00 2,00%SYnpdaer)(li 1,00 0,00 Jan. 06 Jul. 06 Jan. 07 Jul. 07 Jan. 08 Jul. 08 Jan. 09 Jul. 09 Jan. 10 Jul. 10 Jan. 11 Jul. 11 Jan. 12 -1,00
  4. 4. Fixed Income Complex April 2012Developments in the fixed income futures market• Performance in fixed income futures has captured the bifurcation of European sovereign debt as seen with the Italian BTP 10-year futures• Eurex has recently added a French Futures contract (OAT) in response to market conditions FBTS, FGBL FBTP
  5. 5. Fixed Income Complex April 2012Correlation of sovereign interest rates• Over the past 12 months, the correlation between France and Germany has broken down from 71% to -6% 3 Months Germany Italy France Swiss Spain USA Germany 100.00% -3.96% -6.48% 54.68% -20.93% -19.70% Italy -3.96% 100.00% 69.51% 28.75% -4.12% -5.53% France -6.48% 69.51% 100.00% 31.45% -21.89% -22.50% Swiss 54.68% 28.75% 31.45% 100.00% -15.02% -14.78% Spain -20.93% -4.12% -21.89% -15.02% 100.00% 99.96% USA -19.70% -5.53% -22.50% -14.78% 99.96% 100.00% Period:1/11/2012 to 4/11/2012 1 Year Germany Italy France Swiss Spain USA Germany 100.00% -57.55% 71.29% -85.74% 13.46% -85.98% Italy -57.55% 100.00% -0.38% 45.12% 41.87% 45.56% Francee 71.29% -0.38% 100.00% -49.39% 54.54% -49.47% Swiss -85.74% 45.12% -49.39% 100.00% -10.11% 99.99% Spain 13.46% 41.87% 54.54% -10.11% 100.00% -10.11% USA -85.98% 45.56% -49.47% 99.99% -10.11% 100.00% Period:4/13/2011 to 4/13/2012
  6. 6. Fixed Income Complex April 2012The Eurex fixed income complex Years to Tick Tick Minimum Contract Code Term Coupon Maturity size Value Issue Euro-Schatz FGBS 2 Years 1.75 - 2.25 6% .005 EUR 5 5 billion Futures Euro-Bobl FGBM 5 Years 4.5 – 5.5 6% .01 EUR 10 5 billion Futures Germany Euro-Bund FGBL 10 Years 8.5 – 10.5 6% .01 EUR 10 5 billion Futures Euro-Buxl FGBX 30 Years 24.0 – 35.0 4% .02 EUR 20 5 billion Futures Long-Term Euro-BTP FBTP 10 Years 8.5 - 11.0 6% .01 EUR 10 5 billion Futures Mid-Term Euro- EUR 10 BTP Futures FBTM 5 Years 4.5-6 6% .01 5 billion Italy Short-Term EUR 10 Euro-BTP FBTS 2 Years 2-3.25 6% .01 5 billion Futures CONF Futures CONF 10 Years 8.0 - 13.0 6% .01 CHF 10 500 million Switzerland Euro-OAT FOAT 10 Years 8.5-10.5 6% .01 EUR 10 5 billion Futures France
  7. 7. Fixed Income Complex April 2012Fixed income futures contract specifications• Physically delivered bonds of corresponding country• Contracts Available: three nearest quarterly months of the March, June, September and December cycle up to nine months – Implied calendar spreads are calculated on the Eurex trading system – Delivery Day: 10th calendar day of respective quarterly month• Trading Information – Trading ends: 12:30 pm CET on last trading day – Last Trading Day: two exchange days prior to delivery day of the maturity month – Final Settlement Price: Derived from volume-weighted average price of all trades during the final minute of trading • Options are available on all Euro-Bund, Euro-Bobl and Euro-Schatz Futures contracts
  8. 8. Fixed Income Complex April 2012 Volume and open interest• Volumes and open interest demonstrate Eurex success in the fixed income space Average Daily Open Contract Term Monthly Traded Contracts Volume Interest Euro-Schatz 2 Years 12,496,058 568,003 971,148 Futures Euro-Bobl Futures 5 Years 12,024,743 546,579 765,651 Germany Euro-Bund Futures 10 Years 19,374,492 880,659 838,309 Euro-Buxl Futures 30 Years 271,224 12,328 43,730 Long-Term Euro- 10 Years 682,860 31,039 68,550 BTP Futures Italy Short-Term Euro- 2 Years 53,313 2,423 12,715 BTP Futures CONF Futures 10 Years 28,443 1,293 7,124 Switzerland
  9. 9. Fixed Income Complex April 2012Volume and open interest progression of the long term BTP
  10. 10. Fixed Income Complex April 2012Trading volumes per account for the BTP 8% 36% 56% 8% 43% 49% 10
  11. 11. Fixed Income Complex April 2012Historical 30 day volatility FGBL F
  12. 12. Fixed Income Complex April 2012Average daily range in USD
  13. 13. Fixed Income Complex April 2012Product vendor codes Thomson Thomsonreu Bloomberg ComStock* CQG Financial ters Euro-Bund Futures RXA Cmdty CT <17>l,FGBLmy DB FGBL/F.EX <0#FGBL:> Euro-Bobl Futures OEA Index CT <17>l,FDBMmy DL FGBM/F.EX <0#FGBM:> Euro-Schatz Futures DUA Cmdty CT <17>l,FGBSmy DG FGBS/F.EX <0#FGBS:> Euro-Buxl Futures UBA Cmdty CT <17>l,FGBXmy DU FGBX/F.EX <0#EBUX:> Euro-BTP Futures IKA Index CT N/A FBTP N/A <0#FBTP:> Short-term BTP Futures BTSA Cmdty N/A FBTS N/A <0#FBTS:> CONF Futures FBA Cmdty CT <17>l,CONFmy N/A CONF/F.EX <0#CONF:> OAT Futures OATA Cmdty FOAT <0#FOAT::> * where m = month code and y = year
  14. 14. Fixed Income Complex April 2012Contact Us- Sell Side •Sales Continental Europe France Schuster Paul Beck Markus-Alexander Flesch Eurex Frankfurt AG Deutsche Börse AG Eurex Zürich AG Neue Börsenstraße 1 Representative Office France Selnaustrasse 30 60487 Frankfurt / Main 17, rue de Surène 8021 Zürich Germany 75008 Paris Switzerland France P: +49 (0)69 2 11-1 52 38 P:+41 (0)58 3 99-29 48 F: +49 (0)69 2 11-61 52 38 P: +33 (0)155 2 76-7 72 F:+41 (0)58 4 99-24 66 F: +33 (0)155 2 76-7 50 •Sales UK •Sales Americas •Sales Asia & Middle East Vassily Pascalis Megan Morgan Roland Schwinn Deutsche Börse AG Eurex Eurex Frankfurt AG UK Representative Office 233 South Wacker Drive - Suite 2450 50 Raffles Place One Canada Square, Canary Chicago, IL 60606 No. 21-05 Singapore Land Tower Wharf USA Singapore 048623 London, E14 5DR United Kingdom P: +1 312 5 44-10 83 P: +65 6304-52 52 F: +1 312 5 44-15 58 F: +65 6304-52 80 P: +44 (0)207 8 62-72 11 F: +44 (0)207 8 62-92 11
  15. 15. Fixed Income Complex April 2012Contact US- Buy Side •Buy Side Relations Continental Europe Lothar Kloster Nicolas Kageneck Juan Martini Eurex Frankfurt AG Deutsche Börse AG Eurex Zürich AG Neue Börsenstraße 1 Representative Office France Selnaustrasse 30 60487 Frankfurt / Main 17, rue de Surène 8021 Zürich Germany 75008 Paris Switzerland France P: +49 (0)69 2 11-1 72 89 P: +33 (0)155 2 76-7 76 P:+41 (0)58 3 99-28 14 F: +49 (0)69 2 11-61 72 89 F: +33 (0)155 2 76-7 50 F:+41 (0)58 4 99-24 66 •Buy Side Relations UK •Buy Side Relations Americas Renaud Huck Chris Dopp Byron Baldwin Deutsche Börse AG Eurex Eurex 233 South Wacker Drive - Suite 2450 UK Representative Office 60 Broad Street Chicago, IL 60606 One Canada Square, Canary Wharf New York, NY 10004 USA London, E14 5DR USA United Kingdom P: +1 312 5 44-10 58 P: +1 212 8 97-02 49 P: +1 212 8 97-0249 P: +44 (0)207 8 62-72 32 F: +1 212 3 64-91 5959 F: +1 312 5 44-15 58 F: +44 (0)207 8 62-92 32
  16. 16. Fixed Income Complex April 2012© Eurex 2011Deutsche Börse AG (DBAG), Clearstream Banking AG (Clearstream), Eurex Frankfurt AG, Eurex Clearing AG (Eurex Clearing) as well as Eurex Bonds GmbH (Eurex Bonds) andEurex Repo GmbH (Eurex Repo) are corporate entities and are registered under German law. Eurex Zürich AG is a corporate entity and is registered under Swiss law. ClearstreamBanking S.A. is a corporate entity and is registered under Luxembourg law. U.S. Exchange Holdings, Inc. and International Securities Exchange Holdings, Inc. (ISE) are corporateentities and are registered under U.S. American law. Eurex Frankfurt AG (Eurex) is the administrating and operating institution of Eurex Deutschland. Eurex Deutschland and EurexZürich AG are in the following referred to as the “Eurex Exchanges”.All intellectual property, proprietary and other rights and interests in this publication and the subject matter hereof (other than certain trademarks and service marks listed below) areowned by DBAG and its affiliates and subsidiaries including, without limitation, all patent, registered design, copyright, trademark and service mark rights. While reasonable care hasbeen taken in the preparation of this publication to provide details that are accurate and not misleading at the time of publication DBAG, Clearstream, Eurex, Eurex Clearing, EurexBonds, Eurex Repo as well as the Eurex Exchanges and their respective servants and agents (a) do not make any representations or warranties regarding the information containedherein, whether express or implied, including without limitation any implied warranty of merchantability or fitness for a particular purpose or any warranty with respect to the accuracy,correctness, quality, completeness or timeliness of such information, and (b) shall not be responsible or liable for any third party’s use of any information contained herein under anycircumstances, including, without limitation, in connection with actual trading or otherwise or for any errors or omissions contained in this publication.This publication is published for information purposes only and shall not constitute investment advice respectively does not constitute an offer, solicitation or recommendation toacquire or dispose of any investment or to engage in any other transaction. This publication is not intended for solicitation purposes but only for use as general information. Alldescriptions, examples and calculations contained in this publication are for illustrative purposes only.Eurex and Eurex Clearing offer services directly to members of the Eurex exchanges respectively to clearing members of Eurex Clearing. Those who desire to trade any productsavailable on the Eurex market or who desire to offer and sell any such products to others or who desire to possess a clearing license of Eurex Clearing in order to participate in theclearing process provided by Eurex Clearing, should consider legal and regulatory requirements of those jurisdictions relevant to them, as well as the risks associated with suchproducts, before doing so.Eurex derivatives (other than EURO STOXX 50® Index Futures contracts, EURO STOXX® Select Dividend 30 Index Futures contracts, STOXX® Europe 50 Index Futures contracts,STOXX® Europe 600 Index Futures contracts, STOXX® Europe Large/Mid/Small 200 Index Futures contracts, EURO STOXX® Banks Futures contracts, STOXX® Europe 600Banks/Industrial Goods & Services/Insurance/Media/Personal & Household Goods/Travel & Leisure/Utilities Futures contracts, Dow Jones Global Titans 50 IndexSM Futurescontracts, DAX® Futures contracts, MDAX® Futures contracts, TecDAX® Futures contracts, SMIM® Futures contracts, SLI Swiss Leader Index® Futures contracts, Eurexinflation/commodity/weather/property and interest rate derivatives) are currently not available for offer, sale or trading in the United States or by United States persons.Trademarks and Service MarksBuxl®, DAX®, DivDAX®, eb.rexx®, Eurex®, Eurex Bonds®, Eurex Repo®, Eurex Strategy WizardSM, Euro GC Pooling®, FDAX®, FWB®, GC Pooling®,,GCPI®, MDAX®, ODAX®,SDAX®, TecDAX®, USD GC Pooling®, VDAX®, VDAX-NEW® and Xetra® are registered trademarks of DBAG.Phelix Base® and Phelix Peak® are registered trademarks of European Energy Exchange AG (EEX).The service marks MSCI Russia and MSCI Japan are the exclusive property of MSCI Barra.iTraxx® is a registered trademark of International Index Company Limited (IIC) and has been licensed for the use by Eurex. IIC does not approve, endorse or recommend Eurex oriTraxx® Europe 5-year Index Futures, iTraxx® Europe HiVol 5-year Index Futures and iTraxx® Europe Crossover 5-year Index Futures.Eurex is solely responsible for the creation of the Eurex iTraxx® Credit Futures contracts, their trading and market surveillance. ISDA® neither sponsors nor endorses the product’suse. ISDA® is a registered trademark of the International Swaps and Derivatives Association, Inc.IPD UK Annual All Property Index is a registered trademark of Investment Property Databank Ltd. IPD and has been licensed for the use by Eurex for derivatives.SLI®, SMI® and SMIM® are registered trademarks of SIX Swiss Exchange AG.The STOXX® indexes, the data included therein and the trademarks used in the index names are the intellectual property of STOXX Limited and/or its licensors Eurex derivativesbased on the STOXX® indexes are in no way sponsored, endorsed, sold or promoted by STOXX and its licensors and neither STOXX nor its licensors shall have any liability withrespect thereto.Dow Jones, Dow Jones Global Titans 50 IndexSM and Dow Jones Sector Titans IndexesSM are service marks of Dow Jones & Company, Inc. Dow Jones-UBS Commodity IndexSMand any related sub-indexes are service marks of Dow Jones & Company, Inc. and UBS AG. All derivatives based on these indexes are not sponsored, endorsed, sold or promotedby Dow Jones & Company, Inc. or UBS AG, and neither party makes any representation regarding the advisability of trading or of investing in such products.All references to London Gold and Silver Fixing prices are used with the permission of The London Gold Market Fixing Limited as well as The London Silver Market Fixing Limited,which for the avoidance of doubt has no involvement with and accepts no responsibility whatsoever for the underlying product to which the Fixing prices may be referenced.PCS® and Property Claim Services® are registered trademarks of ISO Services, Inc.Korea Exchange, KRX, KOSPI and KOSPI 200 are registered trademarks of Korea Exchange Inc.BSE and SENSEX are trademarks/service marks of Bombay Stock Exchange (BSE) and all rights accruing from the same, statutory or otherwise, wholly vest with BSE. Any violationof the above would constitute an offence under the laws of India and international treaties governing the same.The names of other companies and third party products may be trademarks or service marks of their respective owners. 16