A summary on the Eurex Fixed Income complex addressing the market needs of a changing EU environment

1. Eurex
Fixed Income Derivatives
April 2012

2. Fixed Income Complex
April 2012
Eurex Exchange - a global marketplace
Euro-Schatz Futures
Euro-Bobl Futures
Euro-Bund Futures
Euro-Buxl Futures
Euro-OAT
Futures
Germany
CONF Futures France
Switzerland
Italy
Short-Term Euro-BTP Futures
Mid-Term Euro-BTP Futures
Long-Term Euro-BTP Futures
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3. Fixed Income Complex
April 2012
Developments in sovereign debt yields
• The recent debit crisis has lead to a divergence in Eurozone sovereign debt yields over Germany
6,00
5,00
Italy France
4,00
Netherlands Belgium
Spain
3,00
2,00
%
S
Y
n
p
d
a
e
r
)
(
l
i
1,00
0,00
Jan. 06 Jul. 06 Jan. 07 Jul. 07 Jan. 08 Jul. 08 Jan. 09 Jul. 09 Jan. 10 Jul. 10 Jan. 11 Jul. 11 Jan. 12
-1,00
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4. Fixed Income Complex
April 2012
Developments in the fixed income futures market
• Performance in fixed income futures has captured the bifurcation of European sovereign debt as seen
with the Italian BTP 10-year futures
• Eurex has recently added a French Futures contract (OAT) in response to market conditions
FBTS,
FGBL
FBTP
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5. Fixed Income Complex
April 2012
Correlation of sovereign interest rates
• Over the past 12 months, the correlation between France and Germany has broken down from 71% to -6%
3 Months
Germany Italy France Swiss Spain USA
Germany 100.00% -3.96% -6.48% 54.68% -20.93% -19.70%
Italy -3.96% 100.00% 69.51% 28.75% -4.12% -5.53%
France -6.48% 69.51% 100.00% 31.45% -21.89% -22.50%
Swiss 54.68% 28.75% 31.45% 100.00% -15.02% -14.78%
Spain -20.93% -4.12% -21.89% -15.02% 100.00% 99.96%
USA -19.70% -5.53% -22.50% -14.78% 99.96% 100.00%
Period:1/11/2012 to 4/11/2012
1 Year
Germany Italy France Swiss Spain USA
Germany 100.00% -57.55% 71.29% -85.74% 13.46% -85.98%
Italy -57.55% 100.00% -0.38% 45.12% 41.87% 45.56%
Francee 71.29% -0.38% 100.00% -49.39% 54.54% -49.47%
Swiss -85.74% 45.12% -49.39% 100.00% -10.11% 99.99%
Spain 13.46% 41.87% 54.54% -10.11% 100.00% -10.11%
USA -85.98% 45.56% -49.47% 99.99% -10.11% 100.00%
Period:4/13/2011 to 4/13/2012
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6. Fixed Income Complex
April 2012
The Eurex fixed income complex
Years to Tick Tick Minimum
Contract Code Term Coupon
Maturity size Value Issue
Euro-Schatz
FGBS 2 Years 1.75 - 2.25 6% .005 EUR 5 5 billion
Futures
Euro-Bobl
FGBM 5 Years 4.5 – 5.5 6% .01 EUR 10 5 billion
Futures
Germany
Euro-Bund
FGBL 10 Years 8.5 – 10.5 6% .01 EUR 10 5 billion
Futures
Euro-Buxl
FGBX 30 Years 24.0 – 35.0 4% .02 EUR 20 5 billion
Futures
Long-Term
Euro-BTP FBTP 10 Years 8.5 - 11.0 6% .01 EUR 10 5 billion
Futures
Mid-Term Euro-
EUR 10
BTP Futures FBTM 5 Years 4.5-6 6% .01 5 billion Italy
Short-Term
EUR 10
Euro-BTP FBTS 2 Years 2-3.25 6% .01 5 billion
Futures
CONF Futures CONF 10 Years 8.0 - 13.0 6% .01 CHF 10 500 million
Switzerland
Euro-OAT
FOAT 10 Years 8.5-10.5 6% .01 EUR 10 5 billion
Futures
France
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7. Fixed Income Complex
April 2012
Fixed income futures contract specifications
• Physically delivered bonds of corresponding country
• Contracts Available: three nearest quarterly months of the March, June, September and December
cycle up to nine months
– Implied calendar spreads are calculated on the Eurex trading system
– Delivery Day: 10th calendar day of respective quarterly month
• Trading Information
– Trading ends: 12:30 pm CET on last trading day
– Last Trading Day: two exchange days prior to delivery day of the maturity month
– Final Settlement Price: Derived from volume-weighted average price of all trades during the final
minute of trading
• Options are available on all Euro-Bund, Euro-Bobl and Euro-Schatz Futures contracts
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8. Fixed Income Complex
April 2012
Volume and open interest
• Volumes and open interest demonstrate Eurex success in the fixed income space
Average Daily Open
Contract Term Monthly Traded Contracts
Volume Interest
Euro-Schatz
2 Years 12,496,058 568,003 971,148
Futures
Euro-Bobl Futures 5 Years 12,024,743 546,579 765,651 Germany
Euro-Bund Futures 10 Years 19,374,492 880,659 838,309
Euro-Buxl Futures 30 Years 271,224 12,328 43,730
Long-Term Euro-
10 Years 682,860 31,039 68,550
BTP Futures Italy
Short-Term Euro-
2 Years 53,313 2,423 12,715
BTP Futures
CONF Futures 10 Years 28,443 1,293 7,124 Switzerland
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9. Fixed Income Complex
April 2012
Volume and open interest progression of the long term BTP
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10. Fixed Income Complex
April 2012
Trading volumes per account for the BTP
8%
36%
56%
8%
43%
49%
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11. Fixed Income Complex
April 2012
Historical 30 day volatility
FGBL F
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12. Fixed Income Complex
April 2012
Average daily range in USD
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13. Fixed Income Complex
April 2012
Product vendor codes
Thomson Thomsonreu
Bloomberg ComStock* CQG Financial ters
Euro-Bund
Futures RXA Cmdty CT <17>l,FGBLmy DB FGBL/F.EX <0#FGBL:>
Euro-Bobl
Futures OEA Index CT <17>l,FDBMmy DL FGBM/F.EX <0#FGBM:>
Euro-Schatz
Futures DUA Cmdty CT <17>l,FGBSmy DG FGBS/F.EX <0#FGBS:>
Euro-Buxl
Futures UBA Cmdty CT <17>l,FGBXmy DU FGBX/F.EX <0#EBUX:>
Euro-BTP
Futures IKA Index CT N/A FBTP N/A <0#FBTP:>
Short-term
BTP Futures BTSA Cmdty N/A FBTS N/A <0#FBTS:>
CONF Futures FBA Cmdty CT <17>l,CONFmy N/A CONF/F.EX <0#CONF:>
OAT Futures OATA Cmdty FOAT <0#FOAT::>
* where m = month code and y = year
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14. Fixed Income Complex
April 2012
Contact Us- Sell Side
•Sales Continental Europe
France Schuster Paul Beck Markus-Alexander Flesch
Eurex Frankfurt AG Deutsche Börse AG Eurex Zürich AG
Neue Börsenstraße 1 Representative Office France Selnaustrasse 30
60487 Frankfurt / Main 17, rue de Surène 8021 Zürich
Germany 75008 Paris Switzerland
France
P: +49 (0)69 2 11-1 52 38 P:+41 (0)58 3 99-29 48
F: +49 (0)69 2 11-61 52 38 P: +33 (0)155 2 76-7 72 F:+41 (0)58 4 99-24 66
france.schuster@eurexchange.com F: +33 (0)155 2 76-7 50 markus-alexander.flesch@eurexchange.com
paul.beck@eurexchange.com
•Sales UK •Sales Americas •Sales Asia & Middle East
Vassily Pascalis Megan Morgan Roland Schwinn
Deutsche Börse AG Eurex Eurex Frankfurt AG
UK Representative Office 233 South Wacker Drive - Suite 2450 50 Raffles Place
One Canada Square, Canary Chicago, IL 60606 No. 21-05 Singapore Land Tower
Wharf USA Singapore 048623
London, E14 5DR
United Kingdom P: +1 312 5 44-10 83 P: +65 6304-52 52
F: +1 312 5 44-15 58 F: +65 6304-52 80
P: +44 (0)207 8 62-72 11 megan.morgan@eurexchange.com roland.schwinn@eurexchange.com
F: +44 (0)207 8 62-92 11
vassily.pascalis@eurexchange.com
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15. Fixed Income Complex
April 2012
Contact US- Buy Side
•Buy Side Relations Continental Europe
Lothar Kloster Nicolas Kageneck Juan Martini
Eurex Frankfurt AG Deutsche Börse AG Eurex Zürich AG
Neue Börsenstraße 1 Representative Office France Selnaustrasse 30
60487 Frankfurt / Main 17, rue de Surène 8021 Zürich
Germany 75008 Paris Switzerland
France
P: +49 (0)69 2 11-1 72 89 P: +33 (0)155 2 76-7 76 P:+41 (0)58 3 99-28 14
F: +49 (0)69 2 11-61 72 89 F: +33 (0)155 2 76-7 50 F:+41 (0)58 4 99-24 66
lothar.kloster@eurexchange.com nicolas.kageneck@eurexchange.com juan.martini@eurexchange.com
•Buy Side Relations UK •Buy Side Relations Americas
Renaud Huck Chris Dopp
Byron Baldwin
Deutsche Börse AG Eurex
Eurex 233 South Wacker Drive - Suite 2450
UK Representative Office 60 Broad Street Chicago, IL 60606
One Canada Square, Canary Wharf New York, NY 10004 USA
London, E14 5DR USA
United Kingdom
P: +1 312 5 44-10 58
P: +1 212 8 97-02 49 P: +1 212 8 97-0249
P: +44 (0)207 8 62-72 32 F: +1 212 3 64-91 5959 F: +1 312 5 44-15 58
F: +44 (0)207 8 62-92 32 byron.baldwin@eurexchange.com chris.dopp@eurexchange.com
renaud.huck@eurexchange.com
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16. Fixed Income Complex
April 2012
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