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Fixed Income Highlights – July 2020 edition

Release date: 09 Jul 2020 | Eurex Exchange

Fixed Income Highlights – July 2020 edition

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Market briefing

Overall, the first quarter saw an increase in volumes versus Q1 2019. This was primarily driven by the sudden outbreak of COVID-19, which led to an immediate global monetary policy response. Central banks cut rates and reinstated or reinforced their quantitative easing measures, while European countries implemented lock-down policies to prevent the virus from spreading further.

There were several driving factors behind the volume and revenue growth in Q1:

  • Rates volatility catapulted higher (the annualized at-the-money implied volatility of Bund and long-BTP futures peaked at 14% and 30% respectively). 
  • The long end of the swaps curve (IRS) flattened aggressively, with Sovereign credit spreads widening considerably (10-year BTP Bund spread reached 280bps in the nexus of the COVID -19 distress) helping to underpin volumes in our core futures and options markets.
  • What do I mean by long end IRS? Here, I am referring specifically to the 10y-30y part of the Interest Rate Swap Curve, where there was significant interest in receiving 30y swaps, causing the yield on 30y to collapse.

What did this mean for our business?  [...]



Facts & figures
 


News



COVID-19 turned out to be the black swan event that became a real-life stress test for the derivatives industry. But, rather than COVID-19 slowing innovation down, it has accelerated the pace of change and innovation. This White Paper features analyses of the discussions that were held at the inaugural Digital Derivatives Forum. The fact that it was a virtual event, rather than in person, shows how innovation has been the solution to the challenges posed by COVID-19. 

There are plenty of reasons to transfer your portfolio and achieve greater capital efficiencies, reduce your costs and mitigate your risk. If you wish to find out more, get in touch with us.


We are happy to announce that the all-new Eurex app is live!

Get all relevant news, circulars, readiness newsflashes and events from Eurex and Eurex Clearing. The app, called Eurex, is free to download for Android or iOS devices, via the Google PlayStore or the iOS AppStore. Once you have the app installed, you can easily tailor the features to your specific needs, such as customizing your personal newsfeed or personalize the app settings to receive selected content as notifications directly to your lock screen.


Eurex provides the possibility to negotiate deals and trade via Eurex EnLight without disclosing the requester and respondents' identities. The Eurex EnLight Anonymous Negotiation setting offers a new type of negotiation for requesters who are sensitive to inventory tracking or simply wish to remain anonymous. Anonymous Negotiation is not a fixed setting; requesters can opt for anonymity on a case by case basis.


ESG criteria are increasingly relevant to investors everywhere – but fixed-income investors need to view these factors through a unique lens. Eurex discusses those challenges and opportunities with James Purcell, Group Head of ESG Investment at Quintet Private Bank. This article is part of the recently published "European Pension Funds – ESG Focus Report" written by PFS, the World Bank and Eurex.


The new online analytics platform A7 offers direct access to advanced analytics based on Deutsche Börse's most comprehensive market data and supports clients in maximizing trading efficiency, alpha generation, and developing and testing execution algorithms.

Events


The first virtual IDX took place from 23 until 25 June. Eurex sponsored the first day of the event and participated in three very interesting panels.

Thomas Book was part of the "Exchange Leaders" panel discussing the role of financial markets in the current crisis. Furthermore, our panelists from the sponsored session – Randolf Roth, Member of the Eurex Executive Board, Tobias Lindemann from Goldman Sachs, and Harold de Boer from Transtrend – examined the trading view on the crisis.

The topic of the second day was "Volatility and the Pandemic: Did Systems Work?" Here, Jens Janka, Head of Eurex Clearing Delivery & Control, participated and discussed the challenges faced, the industry response, and the lessons learned.



 

Fixed Income Highlights – July 2020 edition

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