The international derivatives market Eurex Exchange is expanding its interest rate derivatives segment with the addition of physically deliverable Euro-Swap Futures, available from 1 September.
The new Euro-Swap Futures contracts are based on euro-denominated interest rate swaps with varying maturities (two, five, 10 and 30 years) and fixed rates.
On maturity of the futures contracts, a standardised 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 standardised 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,” says 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 EUR100,000, the price is expressed in per cent, 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 programme to provide liquidity in the order book from the start.
