04 Jan 2021


Fixed Income market briefing January 2021

Firstly, I would like to wish our members and their families all the best for 2021. Secondly, I would like to extend my gratitude to our members for their continued support throughout 2020. Last year was a challenging year for all. We were able to provide investors access to liquidity in times of heightened volatility, which is testament to the support of our members.

Looking back on what was a challenging year, there were several bright spots within the portfolio. The French OAT and Italian BTP 10y segments continued to perform strongly, seeing year on year (YoY) growth of 10.8% and 6%, respectively. The two-year BTS contract recorded YoY growth of 4.7%. Looking at the core German benchmark products, Schatz and Buxl futures outperformed with 5.2% and 12% YoY growth. Buxl futures witnessed a number of tailwinds, namely the flattening of 10s30s swaps and the launch of Buxl options in Q3. Buxl futures traded 16.9m contracts in 2020.

In options, there were several outperformers, namely Schatz and Bund weeklies, which saw YoY growth of 1.9% and 14.5%, respectively. In September, we launched the Buxl options supported by six market makers and traded 128,386 contracts by year's end. Open interest stood at ca. 35,000 contracts and screen liquidity has progressed in the first few months with clients also finding on-book matches for both outright calls and puts and multi-leg option strategies.

As we went into the final stages of the year, volatility was raised in the run-up to the unique U.S. election held in November alongside a second wave of the coronavirus spreading through Europe. Credit spreads rose as equities declined, with U.S. high yield spreads rising 40bps in the last week of October while the VIX peaked above 40, which helped to support our Fixed Income (FIC) ETF options segment. In 2020, over 260k traded in the FIC space, up 21% YoY. This is a sector where we expect to see continued growth in 2021.

Finally, the team was working tirelessly in 2020 to ensure a healthy pipeline of initiatives for 2021. This helps to fill the team with optimism for the year ahead and we look forward to working with our members to deliver liquidity in existing and new products alike.

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