Eurex: Five questions every investment committee should ask about credit index futures

A practitioner’s guide to navigating the new product process

Davide Masi, Global Product Lead, Credit Derivatives, Eurex

Corporate bond portfolio managers have never had more tools at their disposal for expressing macro credit views, hedging spread risk, or managing portfolio duration. Yet one instrument, Credit Index Futures, remains absent from many fund mandates, not for lack of utility, but because it has not yet passed an internal approval gate. For investment committees evaluating these contracts for the first time, the questions tend to be the same five. Here, we address each of them directly, drawing on live market data as of September 2026.

1. What exactly is a Credit Index Future, and how does it relate to instruments we already trade?
A Credit Index Future is an exchange-listed, centrally cleared futures contract whose underlying is one of the major Bloomberg Fixed Income credit index families: Bloomberg MSCI Euro Corporate Screened Index for European investment grade, Bloomberg Euro High Yield Index for European high yield, and Bloomberg equivalents for USD and GBP markets. Eurex lists six contracts covering the full spectrum of the credit universe across currencies: LXYA (EUR Investment Grade), AHWA (EUR High Yield), BBEA (USD Investment Grade), BBLA (USD High Yield), XZSA (USD Emerging Markets Sovereign), and XZRA (GBP Investment Grade).

The critical distinction from CDS index products is what the underlying actually tracks. European credit markets are used to trade credit via swaps referencing a narrow index of 20 to 125 CDS names; Eurex Credit Index Futures reference broad, market-value-weighted total return bond indices. The EUR IG contract alone tracks more than 3,500 bonds from more than 750 issuers across a market value of EUR 2.5 trillion, with an average duration of 4.5 years. That breadth directly translates into low tracking error relative to a typical cash corporate bond portfolio.

The futures price tracks the total return index including both price performance and coupon income, and converges to the underlying index at each quarterly expiry. Unlike the cash-CDS basis, which can widen unpredictably due to index rolls, seasoning, and risk-on/off flows, the cash-futures basis is contractually bounded and self-corrects at expiry, should an asset manager decide to hold the contract until maturity.

2. Why would we use Credit Index Futures when we have CDS indices, credit ETFs, or fixed income total return swaps available in our toolkit?
A very direct way to answer this question is through a comparison:

Versus CDS index: The futures structure removes the need for an ISDA Master Agreement and Credit Support Annex. CDS indices cover only a limited number of names and are subject to cash-CDS basis tracking error. Credit Index Futures track broad physical benchmarks, eliminating the cash-CDS basis. By capturing true corporate bond economics, including capital price returns, reinvested coupons, and pull-to-par accretion, they often represent a near-perfect exposure to cash bond returns, with little counterparty documentation required.

Versus credit ETFs: While ETFs are excellent cash-funded instruments, Credit Index Futures offer capital-efficient, unfunded credit beta, freeing up cash for enhanced yield or liquidity buffers. They provide seamless, symmetrical long and short exposure with no share-borrow requirements, alongside substantial margin netting against Eurex’ interest rate futures (Bund/Bobl/Schatz) under Eurex Clearing Prisma Risk methodology. This makes futures an agile, highly complementary overlay tool for institutional portfolio hedging, duration adjustments, and tactical cash management.

Versus total return swaps: TRS structures are bilateral, collateral-intensive, and counterparty-dependent. They do not benefit from the margin netting available through a central clearing house, and their operational and legal overhead is substantially greater than that of a standardized, exchange-listed contract.

3. How liquid is the market, and can it support institutional-size execution?
The answer to the liquidity question in September 2026 is categorically different from what it was even twelve months ago, and the numbers speak for themselves.

Market scale
Eurex Credit Index Futures have traded over €80 billion in notional volume year-to-date in 2026 (approximately 800,000 contracts) with cumulative volume since launch exceeding €270 billion across more than 3 million contracts. Peak open interest reached more than €5 billion (over 60,000 contracts) in May 2026.

Participation
Active end-users now number more than 150, more than double the approximately 70 recorded a year earlier. These are buy-side firms that have completed their internal new product process and are trading with genuine risk mandates.

Market maker ecosystem
Nine dealers off-book and nine on-book LPs support the EUR credit segment. USD Credit has ten on-book LPs. The roster includes Banco Santander, BNP Paribas, DRW, Flow Traders, Goldman Sachs, Jane Street, J.P. Morgan, Société Générale, and Susquehanna.

Block trade execution
H1 2026 block activity alone exceeded the entirety of 2025. By end of September, a total of 1,604 block trades (roll trades are single counted) represented more than €41.4 billion in notional, with an average block size of approximately €25 million. 47% of EUR IG block notional printed within 2.5 cents of mid (average ticket approximately €40 million); 48% of EUR HY block notional within 2.5 bps of mid (approximately €25 million); and 54% of USD EM block notional within 5 bps of mid.

Order book quality
EUR IG on-screen bid-offer spreads tightened to as little as 2.5 cents in 2026; EUR HY spreads tightened to as little as 5 cents. Both contracts remained resilient through the March-April 2026 volatility episode. Open interest in EUR HY hit a new record of 19,000 contracts (over €1 billion notional) in July 2026. USD EM maintained elevated open interest, closing in September at 19,000 contracts (ca. USD 500mln in notional equivalent).

4. What are the operational hurdles, and how long does the New Product Process typically take?
The New Product Process can run several workstreams in parallel, from Legal and Compliance to Risk, Operations and Technology, and Investment Management. Typically, for Credit Index Futures, each workstream is shorter than most committees anticipate.

Regulatory eligibility is usually quick to assess, especially under UCITS regulation. The Bloomberg Indices used as underlyings of Credit Index Futures are also all used in UCITS funds, according to data found on Bloomberg Indices website, while listed centrally cleared futures are always seen positively under financial markets regulation, making this assessment straightforward.

Operationally, the path is straightforward as well. Credit Index Futures are standard futures that trade on Eurex Exchange, and clear through Eurex Clearing. As soon as you trade any of Eurex’ established benchmark products, such as Bund, Bobl and Schatz Futures, or EURO STOXX 50® Futures, then Credit Index Futures are available to trade too.

Legal documentation is minimal: no ISDA, no CSA, and no bilateral credit line negotiation. So long as you can access the liquidity of exchange-traded products via your execution and clearing brokers, you can also trade Credit Index Futures. However, be prepared to have give-up agreements in place with all counterparties with whom you would like to trade, if and when trading block transactions.

Lastly, there will always exist external and internal dependencies related to portfolio, risk, and order management systems. The major system providers all confirmed to support Credit Index Futures. The same goes with dealer-to-clients trading platforms where, for example, ETF, corporate bonds, and other credit derivatives are already negotiated.

 In our experience, well-prepared institutions complete the New Product Process for Credit Index Futures in six to ten weeks, materially faster than most OTC derivative product approvals.

5. What are the margin, capital, and risk management implications for our portfolio?
Initial margin is calculated by Eurex Clearing under the Prisma portfolio margining methodology, a cross-product risk engine that recognizes offsets between correlated positions across the entire Eurex fixed income complex.

Current initial margin rates as a percentage of EUR/USD/GBP 100mln equivalent notional exposure:

The Prisma offset is where real capital savings materialize. A DV01-neutral hedge, short EUR IG Credit Index Futures (LXYA) against long Euro-Bobl Futures (OEA), generates a combined initial margin saving of approximately 66% on a €100 million notional position and 67% on a €250 million position. The equivalent EUR HY (AHWA) / Euro-Schatz (DUA) hedge generates savings of 21–22% (the savings are calculated based on the initial margins charged on each individual position; source: Eurex Prisma Cloud Margin Estimator, July 2026)

Daily mark-to-market variation margin is cash-settled, eliminating counterparty exposure that accumulates in bilateral OTC positions. P&L attribution is transparent: positions are quoted in index price terms, making it straightforward to track the performance of the product on a day-to-day basis, with no need to convert spread or yield moves back into net present value of the position.

Closing
The global corporate bond market stands at USD 51 trillion outstanding by end of September 2026 (Bloomberg indices data). Yet for years, institutional desks navigating this universe have had to compromise, absorbing the volatile basis drag from using CDS indices or negotiating cumbersome, single-dealer bilateral TRS.

Credit Index Futures dismantle this fragmentation. They deliver what corporate bond managers have demanded for decades: a standardized, exchange-traded, margin-efficient instrument that replicates true cash corporate bond returns.

With over €80 billion traded year-to-date in 2026, more than 150 active institutional buy-side firms, and regular block executions of €25–40 million, Eurex Credit Index Futures are no longer an emerging concept, but an established, liquid reality across the global credit ecosystem.

For portfolio managers and buy-side traders, the strategic risk is no longer entering the market, rather being unprepared when the next macro volatility event strikes. The true cost of delaying the New Product Process (NPP) is the daily alpha, balance sheet efficiency, and risk agility left on the table.

To streamline the product approval process, Eurex has developed a comprehensive New Product Proposal (NPP) template, available online to market participants.

The template is designed to support internal review and approval processes by providing the information most required for product assessments. By consolidating key data and documentation in a single resource, it helps firms accelerate their evaluation of Credit Index Futures.

With liquidity established, operational readiness in place and supporting documentation readily available, firms can focus on implementation rather than preparation.