Eurex Exchange's Fixed Income Futures & Options: highlights of Q2/2016

Markets made a confident start into Q2. The U.K.’s vote to leave the EU overshadowed other developments by the end of June. But Fixed Income Derivatives volumes remained relatively robust:

• A total of 128 million Fixed Income Futures and Options were traded in Q2 2016. While Futures where almost unchanged, volumes on the smaller option segment decreased.
• In the core market only the Euro-Buxl® Futures contracts increased, and are up by roughly 8%.
• There was a lack of clear trading trend, as some players chose to move up the curve while others were more active in non-German assets.
  • Short-Term Euro-BTP Futures had higher flows by 11.8 %, after an increase of 25% in the Q1 comparison.
  • The CONF Futures, based on notional short-, medium- or long-term debt instruments issued by the Swiss Confederation, where up over 50%

The key interest rates for the euro area – remained unchanged since March 16.

• The interest rate on the main refinancing operations (MRO), which provide the bulk of liquidity to the banking system. 0%
• The rate on the deposit facility, which banks may use to make overnight deposits with the Eurosystem. -0.40%
• The rate on the marginal lending facility, which offers overnight credit to banks from the Eurosystem. -0.25%

Q2/2016 versus Q2/2015

Euro-BONO Futures: new Market-Making scheme launched
The amended market making scheme will have a reduced minimum quote size of 20 lots and spread size of 12 points. These measures aim to increase the on screen and off-book liquidity and allow all participants, to hedge their Spanish bond portfolios in case of a disruption or correlation break with the other non-core bond futures listed on Eurex.

The Euro-BONO Futures is a precise instrument to hedge Spanish debt on-exchange and remove the basis risk currently present when hedging with Euro-BTP Futures. The Euro-BONO Futures are also an alternative to cash bonds to trade the respective yield spread between Spanish and Italian, French or German debt.

The Evolution of Fixed Income (Published in GlobalTrading, Issue July 2016)

As fixed income continues to change, this article examines the impact that this is having on the buy-side desk, and how that is impacting their sell-side counterparts. As the buy-side's approach evolves and they become more willing to be a price maker, there needs to be examination of the consequences of this for both sides of the Street.
Link: http://fixglobal.com/home/the-evolution-of-fixed-income/

Webinars

EMIR OTC Clearing – What’s Next?
Hosted by DerivSource, a panel of industry experts from both the buy side and the sell side reviews the lessons learned from CAT 1 firms that are now live with EMIR OTC clearing and discusses the challenges ahead for the buyside.

Listen to the webinar: https://goto.webcasts.com/starthere.jsp?ei=1105732

Brexit – and now?
In this recorded webinar, FIA highlighted key information, such as the Financial Conduct Authority’s reminder about the continuing application of EU laws in the UK until such time as the UK actually leaves. The webinar also set out FIA’s plans to support their members through the protracted period of the UK’s transition out of the EU.
Listen to the webinar: https://fia.org/events/brexit-whats-next-cleared-derivatives-markets

Spotlight on: CCP Risk Management

Eurex Clearing faces various types of risk and has comprehensive risk management
policies and services in place to promote the integrity, transparency, efficiency and
the safety of financial markets. Credit risk and other types of financial and operational risks also require strict management and mitigating measures.

Read our new brochure and learn more about Eurex Clearing’s Risk Management Framework.