Eurex US first exchange to list 3-Year US Treasury Note derivatives

Eurex US will introduce futures on 3-year U.S. Treasury Notes and options on the futures on 1 February.


This makes Eurex US the only exchange worldwide to offer these products. With the introduction of the new product, Eurex US is aiming to meet customer demand and further increases the attractiveness of its US fixed income products, offering new trading opportunities in the short-term segment.


Satish Nandapurkar, CEO of Eurex US, said: "We continue to be the innovator in the U.S marketplace. The introduction of the 3-year U.S. Treasury futures marks a new point on the Treasury yield curve. This product was established in response to strong client demand in the light of the regular issue policy of the U.S. Treasury Department with respect to short-term U.S. Treasury Notes. This will create new trading opportunities for the market."


In addition, Eurex US will modify its 2-year US Treasury Note futures and options as of 1 February. The contract value will be raised from 200,000 USD to 1 million USD. This modification brings the contract in line with the trade sizes in the underlying cash bond market increasing the attractiveness of the product.


The types of deliverable short-term U.S. Treasury notes will be changed to allow for longer original maturity and wider delivery windows. A short-term note must have an original maturity not greater than 3 years and 3 months to be deliverable against the modified 2-year contract. The delivery window will be widened to 1 year and 6 months through 2 years and 3 months.


Eurex US opened its market for trading on February 8, 2004 and currently lists futures and options on 2-, 5- and 10-year U.S. Treasury notes and on 30-year U.S. Treasury bonds. Pending approval of international regulatory authorities, Eurex US will expand its offering to include trading in futures and options on Euro-denominated interest rate and index products. These products will include the Bund future, one of the world's most heavily traded futures contract, Bobl and Schatz futures, as well as products on the leading European indices DAX and DJ EURO STOXX 50.


Trading on Eurex increases over 20 per cent in December


Meanwhile over in Europe Eurex, the parent of Eurex US, closed out 2004 with a record volume of 1.07 billion contracts compared with 1.014 billion contracts traded in 2003.


In December 2004, trading volume continued to rise on Eurex: 80.1 million contracts were traded and settled, an increase of around 21 per cent year-on-year (December 2003: 65.98 million contracts).


At around 61 million contracts, open interest rose by around 35 per cent year-on-year. The number of open positions (open interest) is considered one of the most important indicators for the future growth of a derivatives market.


The products with the strongest volumes in December were once again the capital market products, which accounted for approximately 46 million contracts, an increase of around 40 per cent over December 2003.


The Euro-Bund future was once again Eurex's most successful product at 20.2 million contracts, a rise of near 50 per cent year-on-year. Trading volume in the Euro-Bobl future was up 35 per cent year-on-year at 12.5 million contracts, while trading in the Euro-Schatz future rose 27 per cent, to 9.2 million contracts.


A total of 34.3 million contracts were traded in equity-based derivatives (December 2003: 33.8 million contracts), 21.5 million of which were equity index derivatives and 12.8 million where equity options.


The most heavily traded contract among the equity index derivatives was the future on the DJ Euro STOXX 50 index with 10.5 million contracts, which is a rise of more than 11 per cent on the previous year. Open interest in this product set a new record, reaching 1.95 million contracts by mid-December. The most traded stock option in December was Allianz, with 1.46 million contracts.

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