Eurex Repo saw year-over-year drops in monthly term adjusted volumes; of 46% in GC Pooling to €54.4 billion ($66.3bn) and 12% to €80.8 billion in the repo market. On a month-over-month basis, GC pooling is slightly up from €52.9 billion in April and the repo market is flat from €79.7 billion in April.
Total traded derivatives contracts grew 13% in May compared to the same month last year – from 121.8 million to 137.4 million. This figure included strong growth in European interest rate derivatives and European equity derivatives – up 37% and 41%, respectively – and a modest fall of 8% in the number of European equity index derivatives contracts traded. This growth in May comes after a mixed few months in 2021 due to comparisons with the unprecedented volatility in early 2020.
Eurex’s OTC Clearing business saw IRS volumes grow in terms of both notional outstanding – up 15% from 18,960 billion to 21,440 billion – and average daily cleared volume which grew 25%, from €17 billion to €21 billion compared to the same month last year. Overall clearing notional outstanding grew 15%, while overall average daily cleared volume dropped 33% across the same period.
Business overview
|
May 2021 |
May 2020 |
Change |
|
|
Financial derivatives: Traded contracts Eurex Exchange |
|||
|
European equity index derivatives (million) |
60.5 |
66.1 |
-8% |
|
European interest rate derivatives (million) |
49.5 |
36.2 |
+37% |
|
European equity derivatives (million) |
27.2 |
19.3 |
+41% |
|
Total (million)1 |
137.4 |
121.8 |
+13% |
|
OTC Clearing2 |
|||
|
Notional outstanding volumes (billion EUR) |
21,440 |
18,960 |
+15% |
|
– Of which Interest Rate Swaps (billion EUR) |
9,687 |
7,235 |
+34% |
|
Average daily cleared volumes (billion EUR) |
95 |
142 |
-33% |
|
– Of which Interest Rate Swaps (billion EUR) |
21 |
17 |
+25% |
|
Compression volumes |
41 |
0 |
N/A |
|
Repo: Average monthly term-adjusted volume on Eurex Repo |
|||
|
GC Pooling3 (billion EUR) |
54.4 |
100.6 |
-46% |
|
Repo Market (billion EUR) |
80.8 |
92.2 |
-12% |
1 The total number of contracts traded includes other asset classes such as commodities.
2 Notional cleared volumes including post trading events such as compression.
3 Includes all currencies.