Eurex interest rate products

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Eurex offers the following interest rate derivatives in the fixed income, money market, bond and repo categories[1]:

Fixed Income Derivatives

Money Market Derivatives

Eurex Bonds

  • German Government Bonds: Debt securities issued by the Federal Republic of Germany (Bund, Bobl and Schatz issues) with a minimum issuing volume of EUR 4 billion.
  • Treasury Discount Paper (Bubills): Issued by the Federal Republic of Germany with a minimum issuing volume of EUR 4 billion.
  • Basis Instruments: The basis represents a combination of securities and futures contracts that has its own price. Tradable on Eurex Bonds are basis instruments related to all debt securities of the Federal Republic of Germany, which are eligible for delivery into Eurex Fixed Income Futures plus selected, non-deliverable debt securities.
  • European Government Bonds: With a minimum issuing volume of EUR 1 billion and a minimum rating of AA- from Standard & Poor's Ratings Services or Aa3 from Moody's Investor Services, Inc.
  • Jumbo Mortgage Bonds, State Bonds and "Slimbos": Jumbo mortgage bonds of German issuers and German federal state bonds with a minimum issuing volume of EUR 1 billion and a minimum rating of AA- from Standard & Poor's Ratings Services or Aa3 from Moody's Investor Services, Inc. and "Slimbos" with a minimum issuing volume of EUR 0.5 billion. For all bonds applies a minimum rating of AA- from Standard & Poor's Ratings Services or Aa3 from Moody's Investor Services, Inc.
  • Agencies: Bonds of supranational institutions and bonds of state agencies with a minimum issuing volume of EUR 2 billion and a minimum rating of AA- from Standard & Poor's Ratings Services or Aa3 from Moody's Investor Services, Inc.
  • Covered Bonds: European covered bonds with a minimum issuing volume of EUR 2 billion and a minimum rating of AA- from Standard & Poor's Ratings Services or Aa3 from Moody's Investor Services, Inc.
  • Corporate Bonds and Financials: Selected corporate bonds and financials with a minimum issuing volume of EUR 1 billion and an "Investment grade" rating.


Eurex Repos

  • German GC Basket: EUR-denominated debt securities of the Federal Republic of Germany and the Treuhandanstalt.
  • German 10 Year C Basket: EUR-denominated debt securities of the Federal Republic of Germany and the Treuhandanstalt with a remaining term up to 10 years.
  • German Jumbo GC Basket: EUR-denominated Jumbo-Pfandbriefe of German issuers as well as Asset Covered Securities (ACS) issued by mortgage banks and credit institutions subject to public law with a minimum issuing volume of EUR 500 million and a minimum rating of AA from Standard & Poor's Ratings Services for "Senior Unsecured Debt", Aa2 from Moody's Investors Services, Inc. for "Long-term Senior Debt" or AA from Fitch, Inc. for "International Long-Term Credit". In case of differing ratings the lower valuation applies.
  • German GC KfW/Länder-Basket: EUR-denominated public authorities bonds (for example German Federal State Bonds – Länderanleihen) and bonds of corporations under public law (for example Reconstruction Loan Corporation – Kreditanstalt für Wiederaufbau) of the Federal Republic of Germany.
  • Agency GC Basket: EUR-denominated debt securities of the European Investment Bank and the Caisse d’Amortissement de la Dette Sociale (CADES).
  • European Government GC Basket: EUR-denominated debt securities of Austria, Belgium, Finland, France, Ireland, Italy, Luxembourg, Netherlands, Portugal, and Spain.
  • European Covered Bond GC Basket: EUR-denominated mortgage bonds or respectively debt securities that are covered similar to mortgage bonds of European issuers: Cédulas Hipotecarias, Cédulas Territoriales, Obligatións Foncières, covered bonds of the HBOS PLC Group (HBOS), of Northern Rock plc, and of Kommunalkredit AG with a minimum issuing volume of EUR 500 million and a minimum rating of AA from Standard & Poor's Ratings Services for "Senior Unsecured Debt", Aa2 from Moody's Investors Services, Inc. for "Long-Term Senior Debt" or AA from Fitch, Inc. for "International Long-Term Credit". In case of differing ratings the lower valuation applies.
  • European Corporate Bond GC Basket: EUR-denominated covered and uncovered debt securities of European companies and uncovered debt securities of European financial institutions with a minimum issuing volume of EUR 100 million and a minimum rating of A from Standard & Poor's Ratings Services for "Senior Unsecured Debt", A3 from Moody's Investor Services, Inc. for "Long-Term Senior Debt" or A from Fitch, Inc. for "International Long-Term Credit". In case of differing ratings the lower valuation applies.


Resources

  • Also see listing of full contract specs for Eurex interest rate derivatives: [[1]]
  • Eurex Web site [[2]]

References

  1. "Interest Rate Derivatives”. www.eurexchange.com.