June 2, 2014

Eurex / Deutsche Börse Launch Swap Futures in September

Competition in the hybrid interest rates market expands later this year.

Deutsche Börse will keep up with CME by launching Swap Futures in September this year, the press release is below but doesn't mention the currencies nor contract specificatons, to come later. A Swap Future is priced from the OTC Swap market but traded and cleared like a standard futures contract and enjoys shorter period of risk for Initial Margin purposes, usually one or two days rather than five for the OTC market. This lowers the amount of IM to be posted and enables smaller firms to hedge IR exposure, albeit without the flexibility of the OTC market to map IRS contracts to match a firms commercial liabilities. Original source here:, the current product set traded at Eurex is here:

For back office people and systems this will be another interesting upgrade project – if these futures exercise into the physical underlying IRS, systems will need to support that event and process a real IRS in EurexClearing following expiry.

Philip Stafford at the FT covers this also (subs) and highlights an additional announce of Futures on GC Repo – yet another way of trading the interest rate curve.

Eurex: The international derivatives market Eurex Exchange is further expanding its interest rate derivatives segment. Effective 1 September, physically deliverable Euro-Swap Futures will be available. The new Euro-Swap Futures contracts are based on euro-denominated interest rate swaps with varying maturities (2, 5, 10 and 30 years) and fixed rates. On maturity of the futures contracts, a standardized euro-denominated interest-rate swap with the corresponding maturity and a fixed interest rate against a variable six-month Euribor rate will be delivered.


“The Euro-Swap Futures provide our participants with a cost-effective product which tracks the risk of the underlying with the margin efficiency of a standardized futures contract and makes it possible to offset risk with our liquid benchmark government bond futures. The entire European interest rate market will benefit from this offering,” explained Mehtap Dinc, member of the Eurex Executive Board.


The Euro-Swap Futures complement Eurex’s existing offering of European benchmark futures contracts – which covers German, French and Italian government bonds – by adding a further important interest rate segment of the international financial market. The new Euro-Swap Futures give market participants efficient and cost-effective instruments that have the economic market risk of an OTC interest rate swap and can be used both individually for hedging and in combination with Eurex's European government bond futures contracts for cost-effective representation of asset swap spreads.


The contract specifications of the interest rate swap contracts are comparable to Eurex's benchmark interest rate futures. The notional amount is €100,000, the price is expressed in percent, and they will be physically delivered. The maturities cover the next three quarterly months of the cycle March, June, September and December. Trading hours are from 8:30 to 19:00 CET. The product launch will be supported by a market-making program to provide liquidity in the order book from the start.


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