Money Market Index Derivatives: Introduction and adjustment of the Liquidity Provider schemes for Money Market Index Derivatives, amendments of the contract specifications and temporary transaction fee waiver

1.  Introduction

The Management Board of Eurex Deutschland decided the following with effect from 30 October 2023:

The Annexes to the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland will be amended according to Attachment 1 of this circular. 

The Executive Board of Eurex Frankfurt AG decided the following with effect from 1 November 2023:

a)  Product Specific Supplement “Fixed Income 15” for 3M SARON^® Futures will be amended according to Attachment 2. 

b)  Trading Participants of Eurex Deutschland will be offered a Liquidity Provider Scheme for Three-Month Euribor Futures and Three-Month Euro STR Futures according to the attached Product Specific Supplement “Fixed Income 17” (Attachment 3).

c)  Trading Participants of Eurex Deutschland will be offered a Liquidity Provider Scheme for Options on Three-Month Euribor Futures and One- and Two-Year Euribor Mid-Curve Options according to the attached Product Specific Supplement “Fixed Income 18” (Attachment 4).

The Executive Board of Eurex Clearing AG decided effective 1 November 2023:

From 1 November 2023 up until 31 December 2024, Eurex Clearing AG will waive all P-Account transaction fees in Futures Contracts on Three-Month Euribor (FEU3), Three-Month Euro STR (FST3), Options on Three-Month Euribor Futures (OEU3) and One- to Four-Year Euribor Mid-Curve Options Contracts (OEM 1-4) pursuant to Number 3.1 of the Price List of Eurex Clearing AG.

2.  Required action

Trading Participants are recommended to check their open orders and quotes in Money Market Index Derivatives with the start of trading on 30 October 2023 and are also recommended to pay close attention to the information included in the attachments and analyze the potential impact in their own technical systems. Therefore, it might be necessary for Trading Participants to update their internal processes and technical interfaces to adapt for this change. 

3.  Details

A. Change of the allocation scheme for Money Market Index Futures

Effective from 30 October 2023, Eurex Deutschland (“Eurex”) will change the allocation scheme for the Money Market Index Futures from “time-pro rata” to “time” and the path priority from “Pro-Rata Path Priority” to “Direct Path Priority”, as shown in Attachment 1. 

This change will affect all existing Money Market Index Futures, in particular Futures contracts on the Three-Month Euribor (Product ID: FEU3), Three-Month Euro-STR Futures (Product ID: FST3) and Futures Contracts on the 3M SARON^® Futures (Product ID: FSR3).

To ensure orderly and fair market conditions with the start of trading on 30 October 2023, Eurex will cancel all open orders and quotes after the close of trading on 27 October 2023. Therefore, Trading Participants are required to re-enter their own orders accordingly.

Adaptation to the new allocation scheme in the simulation environment will take place after the end of trading on 12 October 2023. With the start of trading on 13 October 2023, the abovementioned products will be available in the simulation environment with the allocation scheme “Time” and “Direct Path Priority”.

B. Amendment of the trading hours for Options on Three-Month Euribor Futures and One- to Four-Year Mid-Curve Options

Eurex will amend the trading hours for Options on Three-Month Euribor Futures (Product ID: OEU3) and One- to Four-Year Euribor Mid-Curve Options Contracts (Product IDs: OEM1-4) effective from 30 October 2023. The trading phases Continuous Trading and Off-Book Trading will be reduced by one hour as detailed in Attachment 1.

C. Further information about the Money Market Index Derivatives

Eurex will amend the naming of the existing Product Groups and TSL Product Groups for Money Market Derivatives into Money Market Index Derivatives to reflect the re-classification of these products as announced in Eurex Circular 071/23. These changes do not require any actions from Trading Participants. The symbols for TSL Product Groups remain unchanged.

D. Amendments to the Product Specific Supplement “Fixed Income 15” and introduction of a Liquidity Provider Scheme for Futures contracts on the Three-Month Euribor and Three-Month Euro STR

With the expansion of the existing Eurex Partnership Program to include the Money Market segment, as announced in Eurex Circular 053/23, Eurex will also support and foster on-screen liquidity in Futures contracts on Three-Month Euribor (Product ID: FEU3) and Three-Month Euro STR (Product ID: FST3) with the implementation of a new Liquidity Provider Scheme. Eurex Frankfurt AG will therefore remove the Futures on the Three-Month Euro STR from the current existing Product Specific Supplement “Fixed Income 15” with effect from 1 November 2023, as shown in Attachment 2, and combine these with the Futures on the Three-Month Euribor in a new Liquidity Provider Scheme as shown in Attachment 3 with effect from 1 November 2023. 

Liquidity Providers are especially recommended to adapt their quotation behavior accordingly.

Trading Participants will be entitled to receive monetary incentives in the form of fee rebates and additional monetary incentives upon fulfilling the order-book quoting requirements specified in Attachment 3.

The amendments shall be deemed approved unless objected to Eurex Frankfurt AG and Eurex Clearing AG within a period of two weeks after notification by means of this circular pursuant to Number 4 (2) of the Liquidity Provider Agreement.

The changed Product Specific Supplement “Fixed Income 15” as well as the new Product Specific Supplement “Fixed Income 17 – Three-Month Euribor Futures and Three-Month Euro STR Futures“ will be provided in PDF format on the Eurex website www.eurex.com under the following link:

Trade > Market-Making and Liquidity provisioning

E. Introduction of a Liquidity Provider Scheme for Options on Three-Month Euribor Futures and One- to Two-Year Euribor Mid-Curve Options Contracts

To develop the orderbook liquidity in Options on Three-Month Euribor Futures (Product ID: OEU3) and One- to Two-Year Euribor Mid-Curve Options Contracts (Product ID: OEM1-2), Eurex introduces a Liquidity Provider Scheme effective from 1 November 2023. 

Trading Participants will be entitled to receive incentives in the form of fee rebates and additional incentives upon fulfilling the order-book quoting requirements specified in Attachment 4.

The Product Specific Supplement „Fixed Income 18 – Options on Three-Month Euribor Futures and One- and Two-Year Euribor Mid-Curve Options” will be provided in PDF format on the Eurex website under the following link:

Trade > Market-Making and Liquidity provisioning

F.  Temporary transaction fee waiver for P-account transactions

With the start of the Eurex Partnership Program and Liquidity Provider Schemes on 1 November 2023, Eurex Clearing AG will offer a fee waiver regarding the P-account transactions in Futures contracts on Three-Month Euribor (Product ID: FEU3), Three-Month Euro STR (Product ID: FST3), Options on the Three-Month Euribor Futures (Product ID: OEU3) and One- to Four-Year Euribor Mid-Curve Options Contracts (Product ID: OEM1-4) pursuant to Number 3.1 of the Price List of Eurex Clearing AG.

This fee waiver will be effective from 1 November 2023 until 31 December 2024.

G. Completion of re-launch and start of trade execution for Early Trade/Registration Multiplier

With the above amendments to the contract specifications and the introduction of the new Liquidity Provider Schemes, Eurex completes the re-launch of Euribor futures and options on 1 November 2023 which is also the start date for the trade execution to qualify for the Early Trade/Registration Multiplier as laid out in the partnership program terms.

Attachments:

• 1 – Amended Sections of the Annexes to the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland
• 2 – Amended Product Specific Supplement – Fixed Income 15 
• 3 – Product Specific Supplement – Fixed Income 17 – Three-Month Euribor Futures and Three-Month Euro STR Futures
• 4 – Product Specific Supplement – Fixed Income 18 – Options on Three-Month Euribor Futures and One- and Two-Year Euribor Mid-Curve Options

Further information