08 Nov 2021

Eurex, Eurex Clearing, Eurex Repo

October 2021 monthly figures at Eurex

  • Eurex traded volumes up 5 percent in October year-on-year
  • Notional outstanding in long-dated interest rate swaps grew 30 percent year-on-year


Overall volumes of traded financial derivatives at Eurex were up 5 percent in October 2021 – from 126 million to 131.8 million – compared to the same month last year. Notwithstanding a contraction for European equity index derivatives, all other derivatives trading segments at Eurex continued to grow in October. European interest rate derivatives grew by 30 percent from 40.1 million traded contracts in October 2020 to 52.2 million in the same month this year. Across the same period, European equity derivates grew by 14 percent from 19.8 million to 22.5 million traded contracts.

Eurex’s OTC Clearing business saw notional outstanding grow by 9 percent from 18.9 trillion EUR to 20.5 trillion EUR. Forward Rate Agreement activity was significantly down, leading to a reduction in average daily cleared volumes (ADV) by 58 percent, whereas the Overnight Index Swap ADV achieved growth of almost 100 percent to 9 billion EUR. ADV in Interest Rate Swaps volumes was at 20 billion EUR in October 2021. If adjusted for switch turnover, this would correspond to an increase of 15 percent year-on-year.

At Eurex Repo, the leading market for secured funding and financing, Repo Market volumes grew strongly by 57 percent, from 83.4 billion EUR in October 2020 to 131.1 billion EUR in October this year. The GC Pooling segment stayed virtually flat in October compared to the same month last year, while it significantly improved compared to the previous month with a growth of almost 50 percent.


Business overview

 


October 2021

October 2020

Change

Financial derivatives: Traded contracts Eurex Exchange

European equity index derivatives (million)

56.9

65.9

-14%

European interest rate derivatives (million)

52.2

40.1

30%

European equity derivatives (million)

22.5

19.8

14%

Total (million)1

131.8

126.0

+5%

OTC Clearing2

Notional outstanding volumes (billion EUR)

20,499

18,858

+9%

- Of which Interest Rate Swaps (billion EUR)

10,716

8,216

+30%

- Of which Overnight Index Swaps (billion EUR)

1,197

680

+76%

Average daily cleared volumes (billion EUR)

52

124

-58%

- Of which Interest Rate Swaps (billion EUR)

20

26

-20%

- Of which Overnight Index Swaps (billion EUR)

9

5

+99%

Compression volumes

0

0

N/Α

Repo: Average monthly term-adjusted volume on Eurex Repo

GC Pooling3 (billion EUR)

59.9

59.8

0%

Repo Market (billion EUR)

131.1

83.4

+57%


1 The total number of contracts traded includes other asset classes such as commodities.
2 Notional cleared volumes including post trading events such as compression.
3 Includes all currencies.


Media contacts:

Peter Josse
+49-69-211-16966
peter.josse@deutsche-boerse.com

Irmgard Thiessen
+49-69-211-15911
irmgard.thiessen@deutsche-boerse.com