Eurex Exchange is to introduce a new interest rate future, the Mid-Term Euro-OAT Future, which is based on notional medium-term bonds issued by the Republic of France (Obligations Assimilables du Trésor – OAT), on 11 March 2013.
Together with the long-term Euro-OAT Futures which were introduced in April 2012, the contract complements the existing segment and offers market participants an efficient and cost-effective hedging instrument which enables the hedging of risks and basis trading in the mid-term maturities range of the French yield curve.
“The success, positive volume and open interest performance of the Euro-OAT Future introduced in April 2012 increased the demand among our customers for improved coverage of the French yield curve. The new contract means that we also cover medium-term maturities, creating new, additional hedging and spread trading opportunities,” says Peter Reitz, member of the Eurex executive board.
Trading volumes and open interest in the OAT Futures have increased steadily since the start of trading in April 2012. Since then around five million contracts were traded in total, with more than 150,000 contracts traded on the record day 3 December 2012. The open interest currently stands at more than 200,000 contracts.
The Mid-Term Euro-OAT Future is based on deliverable bonds with a residual maturity of 4.50 to 5.50 years and an original maturity of not more than 17 years. As with the existing futures contracts, the notional coupon will be six per cent and the contract value EUR100,000. The minimum tick size will be fixed at 0.01 per cent (10 euros per tick) in line with the tick sizes of the other Eurex interest rate futures. Trading hours are from 8 am to 7 pm CET.
As with the Euro-OAT Future, Eurex Exchange will be offering a designated market-making programme in order to ensure sufficient liquidity and attractive spreads from the outset. Among others, Banca IMI, Morgan Stanley and Natixis will act as market makers.