The international derivatives market Eurex Exchange has exceeded five million contracts traded in the BTP derivatives segment since trading began in September 2009. The segment comprises three futures based on notional short-, medium- and long-term bonds issued by the Republic of Italy (Buoni del Tesoro Poliennali – BTP).

“The extensive use of BTP futures is primarily due to the hedging motives of participants. Uncertainty regarding the development of the euro zone in light of the debt incurred by certain member countries caused a significant increase in volatility on the bond markets in 2011. The yield spread also widened between German bunds (AAA rating) and government bonds with lower ratings.

This led to increased demand for hedging among market participants in this segment,” explained Steffen Köhler, Eurex, Head of Product Development.

Especially Italian and Spanish clients are active users of BTP derivatives.

Other institutional investors (asset managers) that hold European bond portfolios and hedge them using a combination of German and Italian futures on government bonds (among other methods), are also above-average traders of such interest rate derivatives.

The majority of the 5 million contracts, i.e. 4.3 million, were Long-Term Euro-BTP Futures contracts (FBTP), for which the average daily volume in 2011 was 9,287 contracts, a year-on-year increase of 70 percent. A further 0.7 million Short-Term Euro-BTP Futures (FBTS) contracts have been traded since their introduction in October 2010. The daily average for 2011 was 2,239 contracts (2010: 512). Around 11,000 Mid-Term Euro-BTP Futures (FBTM) contracts have been traded since their launch in September 2011. The FBTP set a new daily record outside the rollover period of 28,620 contracts traded on 11 October 2011.