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Eurex
1. Introduction
The Management Board of Eurex Deutschland took the following decisions with effect from Monday, 30 September 2024:
Production start: Monday, 30 September 2024
This circular contains all information on the introduction of the new products and the updated sections of the relevant Rules and Regulations of Eurex Deutschland.
2. Required action
Participants are recommended to completely analyze the potential impact in their internal systems and procedures of the above changes.
3. Details
I. Introduction of STOXX® Europe 600 Index Total Return Futures
Product ID | TXXP |
Product ISIN | DE000A4AH718 |
Underlying Indices |
|
Contract Multiplier | EUR 50 per index point |
Quotation (TRF Spread in basis points) | TRF Spread as annualised rate expressed in basis points with one decimal (+ / - / 0) |
Minimum tick size in basis points (TRF Spread Change) | +/- 0.5 basis points |
Minimum tick size in index points | 0.0002 index points (i.e. tick size value of EUR 0.01) |
TRF Spread Conversion | The TRF Spread will be converted within the T7 system into TRF futures prices expressed in index points |
Trade Types |
|
Accrued Distributions & Funding | The distribution and funding rate payments will be accumulated (i.e. “Accruals Approach”) since the launch of the TRF offering and added to the TRF futures price in index points. The daily changes in the distributions and funding payments are paid out daily via the variation margin (“Daily Cash Flows” approach). |
Contract Months |
|
Settlement | Cash settlement, payable on the first exchange day following the Final Settlement Day |
Last Trading Day | The Eurex trading day immediately preceding the Expiration day; Trading until 17:30 PM CET |
Expiration Day | 3rd Friday of each expiration month if this is an exchange day; otherwise, the immediately preceding exchange day |
Final Settlement Price (FSP) in | Established by Eurex on Expiration Day and based on the following components: |
FSP Reference Price Index Future |
|
Trading Hours |
|
Daily Settlement | Performed each day based on TRF Spreads at 17:30 PM CET and Official Index Close of SXXP from Stoxx Ltd. (circa 18:00 PM CET) |
A. Admission to the Eurex T7 Entry Services (TES)
The new products will be admitted to the Eurex T7 Entry Services (TES). You can find the minimum block trade sizes on a product level in the attached Contract Specifications in Attachment 2.
An overview of the Eurex T7 Entry Services available for the products as well as detailed information on a single product basis with regard to availability, possibility of utilization and minimum entry size for the various Eurex T7 Entry Services is available on the Eurex website under the link:
Data > Trading files > T7 Entry Service parameters
B. Transaction fees
For the transaction fees for the new products, please refer to the Price List of Eurex Clearing AG available for download on the Eurex Clearing website www.eurex.com/ec-en/ under this link:
Rules & Regs > Eurex Clearing Rules & Regulations > 3. Price List
C. Vendor codes
At start of trading, vendor codes for the new products will be published on the Eurex website under the link:
Markets > Product Overview > Vendor Codes
D. Contract specifications and product parameters
For the detailed Contract Specifications, please see the Attachment 2.
The full version of the updated Contract Specifications will be published on the Eurex website www.eurex.com as of start of trading under:
Rules & Regs > Eurex Rules & Regulations > 03. Contract Specifications
E. Risk parameters
As of start of trading, risk parameters of the new products will be published on the Eurex website under the link:
Data > Clearing files > Risk parameters and initial margins
and on the Eurex Clearing website www.eurex.com/ec-en/ under the following path:
You will also find an updated list with details regarding Prisma-eligible Eurex products under this path.
E. Mistrade parameters
Mistrade ranges and position limits for the new products will be published as of start of trading on the Eurex website under the link:
II. Cancellation of admission to trading of iSTOXX® Collateral Index Total Return Futures
The admission to trading of iSTOXX® Europe Collateral Index TRF and iSTOXX® Europe EUR Group 1 Collateral Large Index TRF, pursuant to Section 1.1.22 (1) (3) (6) (8) of the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland (Contract Specifications) will be cancelled with effect from 30 September 2024.
Please refer to Attachment 1 for the complete amendments to the Contract Specifications and to Attachment 2 for the amendments to Annex C to the Contract Specifications.
The full version of the updated Contract Specifications will be published on the Eurex website as of start of trading under:
Rules & Regs > Eurex Rules & Regulations > 03. Contract Specifications
Attachments:
Further information
Recipients: | All Trading Participants of Eurex Deutschland and Vendors | |
Target groups: | Front Office/Trading, Middle + Backoffice, IT/System Administration, Auditing/Security Coordination | |
Contact: | Stuart Heath, Equity & Index Product Design, tel. +44-207-862-72 53, stuart.heath@eurex.com; Elena Marchidann, Equity & Index Product Design, tel. +44-207-862-72 65, elena.marchidann@eurex.com Damien Zinck, Equity & Index Sales America, tel. +1-312-544-10 51, damien.zinck@eurex.com | |
Web: | ||
Authorized by: | Randolf Roth |
Market Status ⓘ
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