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Round-up: our Fixed Income segment in July

Release date: 08 Aug 2018 | Eurex Exchange, Eurex Clearing

Round-up: our Fixed Income segment in July

Market Briefing

Reflecting on July, European Fixed Income markets were left largely treading water with low levels of realized volatility across the core benchmark products. Implied volatility was sold lower as the underlying markets failed to break out in either direction. This was also reflective of volumes in the OTC markets, where gamma edged lower over the course of the month and sat at historically low points. 30 day bund volatility has not exceeded 6% for any real length of time.

The only real event for the market was the Bank of England interest rate decision towards the end of the month, but that was priced into the front end and volatility was sold into the event. Venturing into early August, we saw an increase in realized volatility as the markets sold off, which was triggered by the Japanese Government Bond (JGB) market and stronger-than-forecasted U.S. ADP National Employment Report data. 

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

Facts & figures

News section

The European Central Bank has decided to keep its monetary policy unchanged and freeze its benchmark interest rate on the deposit facility at -0.40 per cent. This is again a good opportunity to take a closer look at what Eurex interest rate derivatives have to offer.

From the return of volatility and non-financial risks to the influence of artificial intelligence and data analytics: we spoke to Thomas Laux, Member of the Executive Board and Chief Risk Officer at Eurex Clearing, about current and future topics in risk management.

Our Deputy Global Head of Fixed Income Trading & Clearing Sales at Eurex looks at how the upcoming trading hours extension in December 2018 will have positive effects for fixed income.

Find out everything about the Eurex trading hours extension here.

We caught up with Yuliyan Georgiev, Fixed Income Director at STOXX, to discuss the merits of STOXX® GC Pooling EUR Deferred Funding Rate (GC Pooling Deferred) as a benchmark rate for funding costs in Europe.

With Brexit looming ever nearer, Matthias Graulich, Member of the Executive Board, Eurex Clearing, looks at the importance of establishing a market-led solution for an EU27-based clearing alternative.

Eurex Clearing Partnership Program

The Eurex Clearing OTC IRD Partnership Program continues to flourish, with our 30th partner joining the program in July. The LCH / Eurex Clearing basis has steadily reduced as a result of increased participation and consequent volumes, down to 0.05 in 2yr, 0.1 in 5yr, 0.6 in 10yr and 1.4 in 30yr at the end of July.

Eurex Clearing has shown ongoing success in the FRA market, with strong market shares in TP Match and NEX Reset runs. This has led to increasing market share across 2018 so far.


Save the date: Derivatives Forum Stockholm on Thursday, 12 September 2018

In partnership with Danske Bank and SEB we will be holding our Derivatives Forum 2018 in Stockholm. Industry experts will focus on the key issues that will shape the derivatives industry of the future. The conference features panels on product innovation across asset classes, fintech and geopolitical issues such as Brexit. There will also be a dedicated product innovation session for fixed income.