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Mar 21, 2012

Eurex

Eurex Exchange to offer new futures on French government bonds

Launch date 16 April 2012

The international derivatives market Eurex Exchange announced today that it will be launching a new interest rate futures based on the notional long-term bonds issued by the French Republic (Obligations Assimilables du Trésor – OAT) on 16 April 2012. The Euro-OAT Futures extends the existing offering of benchmark futures on German government bonds (Euro-Buxl, Euro-Bund, Euro-Bobl and Euro-Schatz Futures) and the short-, medium- and long-term futures on Italian government bonds (Euro-BTP Futures) launched between 2009 and 2011. The interest rate futures on French government bonds represent a significant addition to the range of efficient and effective hedging instruments on the European bond market.

"With the introduction of this new contract we are responding to the great interest shown among market participants in more customized hedging solutions," said Mehtap Dinc, Head of Product Development, Eurex. "Moreover, the market for French government bonds is likely to benefit from the extended opportunities in basis and repo trading."

The new futures contracts are structured similarly to the Euro-Bund Futures, offering participants a suitable hedging instrument, as well as enabling efficient spread trading between the three fixed income futures contracts, on 10-year government bonds. The remaining term of the deliverable OAT bonds will be 8.5 – 10.5 years with a maximum maturity at issue of 17 years. The notional coupon will be six percent and the contract value 100,000 euros. The minimum tick size will be fixed at 0.01 percent (10 euros per tick) – in line with the tick sizes of the Euro-Bund and Euro-BTP Futures. Trading hours will be from 8:00 a.m. to 7:00 p.m. CET.

Both buy-side and sell-side firms have indicated significant interest in the new contract. Eurex Exchange will therefore be offering a Designated Market-Making program to provide sufficient liquidity from the outset. Various parties, including Barclays and Morgan Stanley, have already indicated their interest in Market-Making.

In late January 2012, Eurex Exchange's Euro-BTP Futures exceeded five million contracts traded since launch. Italian and Spanish clients in particular are active users of BTP derivatives. The majority of trading is in the Long-Term Euro-BTP Futures contracts (FBTP), for which the average daily volume in 2011 was 9,287 contracts, a year-on-year increase of 70 percent. The open interest for the three Euro-BTP Futures combined stands at around 40,000 contracts.

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