Euro High Yield Index Futures

Innovating the listed European Credit Ecosystem

Eurex launches the first futures on a Euro High Yield Index

Volatility in the Euro high yield segment has soared as Europe gradually exits a decade of ultra-low rates environment. Inflationary pressures leading to higher borrowing costs have caused EUR HY credit spreads to widen in 2022, as financing conditions are less favorable. The surge in volatility and a higher perceived risk for the future increased the need for hedging by market participants invested in this asset class. 

  • Launched on 17 October 2022, the new Euro High Yield Index futures are cash-settled contracts on a Bloomberg Total Return Index denominated in Euro.
  • From a risk management perspective, the product is a plain vanilla product as an index future on a Bloomberg benchmark index.
  • A hybrid trading model with several committed on-screen market makers complemented by substantial off-screen liquidity. 
  • The product will be included in the corporate bond liquidation group and will therefore offer portfolio-margining opportunities vs. the Euro Corporate SRI Index Futures.

Key Benefits

  • Liquidity and cash management
    When large fund inflows occur, it can be most efficient to take exposure to the benchmark index returns utilizing the available cash via futures. Employ available uninvested cash to get unfunded exposure to market returns. 
     
  • Hedging purposes
    Hedge and get synthetic exposure to Europe's Euro-denominated high yield corporate bond market. For a fund pursuing an active selection of bonds aimed to outperform the market, futures can temporarily reduce market exposure of a portfolio. Futures remove the need to pay high bid/offer spreads on bonds or run the risk of not being able to buy back securities when the need to reduce risk is over.
     
  • Portfolio overlay
    Futures can be used to increase or reduce market exposure in a portfolio, relative to its actual funded amount. 
     
  • Clearing
    High Yield Index Futures offer the market a standardized, cost-effective and centrally cleared solution. 

Contract Specifications

Click on the product code below to view the respective contract specifications.

Bloomberg Liquidity Screened Euro High Yield Bond Index Futures

Eurex product code

FEHY

Contract value

EUR 200 per index point (index trades currently at EUR 251.00 index points)

Minimum block trade size

100

Price quotation: tick size / tick value

In points with two decimal places / 0.02 Points = EUR 4

Trading hours

08:00 to 19:00 CET

Contract months

The three nearest quarterly months of the March, June, September, and December cycle.

Last trading day / Final settlement day

The third Friday of each maturity month if this is an exchange day; otherwise, the exchange day immediately preceding that day. Close of trading in the maturing futures on the last trading day is 17:15 CET.

Final settlement day is the exchange day immediately following the last trading day.

Final settlement Price

The final settlement price is established by Eurex on the final settlement day of the contract and is based on the closing price of the index (total return, EUR) on the last trading day.

Daily settlement price

The daily settlement price is determined from the volume weighted average of all transactions during the minute before 17:15 CET (reference point), provided that more than five trades were transacted within this period.

Settlement

Cash settlement, payable on the first exchange day following the expiration day

Bloomberg code

AHWA <Index> 

Reuters / Refinitiv code

0#FEHY:

Prices/Quotes

Product Diff. to prev. day last Last price Contracts Time
FEHY -0.02% 247.26 0 18:32:55

Liquidity Providers

Liqudity Providers On-screen

Company

Member ID

Contact

Phone Number

FlowTraders

NEDAM

Jasper Jansen
Roel van der Weijst
Quirien Raat

nlbon@nl.flowtraders.com

+3120 7998621
+3120 7998741
+3120 7998741

Société Générale

SOGFR

Aziz Tikouirt
Arnaud Muller
Remy Benchetrit
Nicolas Lesceu

PAR-Mark-Fic-Trd-Rat-ETF
list.par-mark-fic-trd-rat-etf@socgen.com

+33 142140365
+33 142149818

Susquehanna

SISDB

Ronan Henderson

SIS-Sales-ETF
SIS-Sales-ETF@sig.com

+353 1 802 8018

Liqudity Providers Off-Book

Company

Member ID

Contact

Phone Number

FlowTraders

NEDAM

Jasper Jansen
Roel van der Weijst
Quirien Raat

nlbon@nl.flowtraders.com

+3120 7998621
+3120 7998741
+3120 7998741

Goldman Sachs

GSIEB

Antony Harden

Douglas Kerr

Futures-Voice-EQ-EMEA@gs.com
gs-futures@ny.email.gs.com

+44-207 0519848

+44-207 7741705
 

Société Générale

SOGFR

Aziz Tikouirt
Arnaud Muller
Remy Benchetrit
Nicolas Lesceu

PAR-Mark-Fic-Trd-Rat-ETF
list.par-mark-fic-trd-rat-etf@socgen.com

+33 142140365
+33 142149818

Susquehanna

SISDB

Ronan Henderson

SIS-Sales-ETF
SIS-Sales-ETF@sig.com

+353 1 802 8018



Readiness

Product Vendor Codes

Product

Product ID

Product ISIN

Underlying ISIN

Bloomberg Ticker

Reuters / Refinitiv RIC code

Bloomberg Liquidity Screened Euro High Yield Bond Index Futures

FEHY

DE000A3DLQ96

GB00BZ76DV77

AHWA <Index>

0#FEHY:

Bloomberg Fixed Income Indices Fact Sheets and Publications

Bloomberg index methodology

Bloomberg Fixed Income Indices

Bloomberg index composition (BEHLTREU <Index>)

Contacts

Vassily Pascalis
Fixed Income Sales Europe

T +44-20-78 62-72 11

vassily.pascalis@eurex.com

Davide Masi
Fixed Income ETD Product Design

T +44-20-78 62-76 67

davide.masi@eurex.com