Oct 26, 2016
Eurex
Eurex Exchange's Fixed Income Highlights - Q3/2016
Generally fixed income markets have proven resilient over the course of the summer months, which are characteristically quieter periods. The fallout from the decision by the UK to exit the European Union helped support volumes in our core products as we witnessed more volatility in the underlying rates markets. We saw some benchmark futures volumes continue to shift to the peripherals (Italy, Spain) where we see increased trading activity with a strong uptick during September. Towards the end of the quarter, we witnessed a spike in realised volatility which facilitated increased volumes in options. As we enter October macro economic factors, together with geopolitical risks and a sell off in core European markets is helping sustain this momentum. We expect rates markets to continue to perform relatively well versus previous years as end users continue to be active post Brexit and heading into US elections.
Lee Bartholomew
Head of Fixed Income Product Research & Development
5 minutes with Sheldon Natenberg
The first part of the interview focuses on the rise of Weekly Options, options as event-based hedging tool and how to trade volatility in today's markets.
- 104 million Fixed Income Futures were traded in Q3/2016, which translates into a 4% YTY increase.
- Euro-OAT & BTP-Futures continued their strong growth: trading more than 6 million contracts each.
- Euro-Buxl Futures surpassed 2.5 million traded contracts in the quarter.
- Fixed Income Options traded 11 million contracts, a decrease of 32% over Q3/2015.
On EurexOTC Clear we currently have 56 Clearing Members and 112 Registered Customers, up +30% YTY. In the third quarter alone 18 new members were admitted across trading and clearing. In 2016, a record of 66 new members joined Eurex Exchange and Eurex Clearing.
2016's clearing volumes have also increased significantly compared to 2015, with the overall cleared risen to over EUR 935 billion. Outstanding volume increased from Q3/2015 to Q3/2016 by 271% to now EUR 773 bn. In the third quarter 2016, the average daily volume (ADV) has increased by 223% to approx.
EUR 3 bn compared to the third quarter in 2015.
On the horizon
Eurex Clearing Prisma: Introduction of mandatory release 5.0
Eurex Clearing Prisma, the portfolio-based risk management method, offers an innovative way to maintain reliable margin levels, while in parallel provides considerable capital efficiencies to the Members. Eurex Clearing Prisma has been gradually replacing the Risk-based Margining methodology (RBM). With the release 5.0, the product groups of volatility derivatives (VSTOXX® Futures & Options and Variance Futures) as well as dividend derivatives will be migrated to Prisma, so that all exchange-traded derivatives (ETDs) will use the Prisma methodology only.
Key dates:
- Technical launch: Monday, 21 November 2016
- Migration of the Dividend and Volatility Derivatives: Monday, 28 November 2016
For more information please see circular 124/16.
Product survey - Eurex Clearing Data Analytics & Visualization Services (DAVe)
Eurex Clearing is gathering feedback on a proposed new Risk and Clearing Data Analytics and Visualization tool to increase transparency. In conjunction with our sophisticated margin methodology Eurex Clearing Prisma, the new analytics and reporting tool would help risk managers and clearing operation staff to control and obtain full transparency on margin and risk origination.
Key benefits:
- Increased transparency and ability to fully analyze, understand and anticipate margins.
- Increased efficiency leading to less operational efforts and reduced costs.
- Portfolio risk management standardization for smooth regulatory reporting.
Take part in our Market Requirements Survey and share your thoughts.
To find our more about our Data Analytics & Visualization Services, please contact Alexander Rose
at T +49-211-1 49 75.
Events
MiFID II/MiFIR regulatory workshops across Europe & the U.S.
Join us for an updated overview of the regulatory timeline and our plans to ensure compliance with MIFIR/MIFID II and the various requirements on transparency, Market-Making, microstructural issues/algorithmic trading/HFT and reporting. The sessions will be concluded with an outline of our member readiness approach, followed by a reception to discuss open questions and network.
View all locations, timelines and register.
Deutsche Börse conference: More than 180 people attended
Deutsche Börse, Eurex Clearing, Eurex Repo and Clearstream jointly hosted a roadshow to discuss the challenges and opportunities for the buy side in a new regulated market environment. Held early October in Milano, Luxembourg and Paris, the roadshow gathered more than 180 industry participants to learn more about the direct CCP access model for the buy side. The recently launched model combines elements of a direct clearing membership and the traditional service relationship in client clearing - tailored specifically for the buy side. It opens up a new principal client relationship between buy side clients and the CCP, with the regular Clearing Member acting as a Clearing Agent, providing a variety of mandatory and optional service functions.
To learn more about ISA Direct:
Key trends in clearing for small derivatives users
The European Securities and Markets Authority (ESMA) recently drew attention to concerns about clearing access for smaller derivatives users. In a July 2016 consultation paper, it notes that "certain financial counterparties with a limited volume of activity appear to be facing difficulties in getting access to [...] clearing".
The Financial News' annual black-tie event that brings together the European trading and technology community in London to honour market participants for their outstanding strategy and performance. For the second consecutive time after 2015, Eurex® was awarded Best Derivatives Trading Platform. One judge, who had scored the company highly during the voting process, said: "Eurex is highly regarded for its technology, its willingness to back new initiatives, and also for keeping its members well abreast of regulatory changes."
To learn more about our products and services please contact Phil Simons at T +44-20-78 62-72 39
or Fiona Tramontana at T +44-20-78 62-76 56, visit our website or follow us on Twitter @eurexgroup and LinkedIn.
