03 Feb 2021

Eurex

Fixed Income market briefing February 2021


We find ourselves in challenging and strange times. I’m happy to note that our teams and customers work tirelessly to bring products, initiatives and liquidity to our platform regardless of this.

The fixed income markets had a relatively strong start to the year. The futures portfolio benefitted from strong supply and political event risk within Europe. The Italian BTP segment outperformed with volumes seeing 34% and 32% growth in the 2y and 10y respectively. Supply dynamics helped to underpin volumes in the French OAT segment, with volumes up 26.8%. Within the Core German sector, Schatz and Buxl performed strong, continuing the trends seen in 2020. We witnessed a 13.8% and 38.1% YoY growth, respectively. Euro-Buxl Futures saw an ADV of 88.2k. 

We saw a similar trend in the options segment with options on Buxl trading 3.8k ADV and trading more than 200k since inception. The Schatz complex continued to perform strongly, with volumes up 259% on January 2020 volumes. In addition, Schatz options volumes are c. 4% higher than December 2020 volumes. 

In the credit space, high yield spreads saw little change in January 2021, though have fallen 25-30bps in the first week of February as risk assets rose. IG credit also saw spreads unchanged, though yields rose 12bps in the U.S. with rates due to raised inflation expectations.

European investment-grade credit saw a marginal rise in yields. The iShares US high yield ETF gained c. USD 400m in assets and options on the ETF traded c. 22.2k. On the EUR High yield, volumes got off to a modest start with 3k contracts trading. As we begin February, 2.4k lots traded on the 20y Treasury ETF. We see this positive trend continuing from 2020, where average monthly volumes grew 31.4% within the Fixed Income Segment.

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

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