Eurex Interest Rate Derivative Trading Volume Falls YoY but Rebounds MoM in March 2024

Eurex, Europe's leading derivatives exchange, published its trading figures for March 2024, reporting a 21% decrease in traded contracts for the month compared to the previous year, down from 260.9 million to 205.0 million contracts. Due to the continued very low volatility, index derivatives recorded a decline of minus 37% to 81.4 million traded contracts whereby equity derivatives went down by 9% to 28.3 million contracts.

Despite the low rates volatility, 94.8 million interest rate derivatives contracts were traded in March. This corresponds to a decline of 5% compared to the same month last year but closes the first quarter with a strong increase of 14%. Overall, a record 245.7 million interest rate derivatives contracts were traded in the first quarter, compared to 215.8 million contracts in the same period of the previous year.

In OTC Clearing the notional outstanding volumes experienced a 6% year-on-year growth in March, reaching EUR 33,937 billion compared to EUR 32,136 billion in the same period the previous year. Specifically, the notional outstanding volumes in interest rate swaps rose by 8%, reaching EUR 14,613 billion, while the notional outstanding in overnight index swaps increased by 29% to EUR 3,595 billion.

Eurex Repo, Eurex's leading electronic market for secured funding and financing, recorded a 62% increase in daily GC Pooling volumes to EUR 186.1 billion in March. Additionally, the overall average daily term-adjusted repo volume demonstrated a year-on-year growth of 36% in March, amounting to EUR 414.6 billion.