Equity derivatives: Introduction of Stock Tracking Futures

1. Introduction

Effective 29 July 2019, Eurex Clearing AG (Eurex Clearing) will offer clearing services for 50 Stock Tracking Futures on the components of the EURO STOXX 50^® Index introduced at Eurex Deutschland.

In this context, the following measure of Eurex Clearing AG will apply:

• The amendments to the Clearing Conditions of Eurex Clearing AG regarding the inclusion of 50 Stock Tracking Futures contracts introduced at Eurex Deutschland;
• The amendments to the Price List of Eurex Clearing AG regarding the inclusion of 50 Stock Tracking Futures contracts introduced at Eurex Deutschland.

This circular contains information on clearing of the respective products and the updated sections of the relevant rules and regulations of Eurex Clearing, which will come into effect on 29 July 2019.

Please refer to Eurex circular 068/19 for detailed trading-related information as well as the amendments of the relevant rules and regulations of Eurex Deutschland.

2. Required action

For your internal readiness, please consider the following points:

• Following adjustment is only made on dividend payment dates:

The previous day settlement price is adjusted for the regular gross dividend paid by the underlying company. The adjustment takes place via technical trades. The start of day position of each Clearing Member is booked out at the previous day settlement price and booked in by the adjusted previous day settlement price. The resulting variation margins offset the reduction in share price resulting from the dividend payment.

• In case of corporate actions including special dividends, the parameters will be adjusted by the adjustment factor (the “R-factor”) as usual.

3. Overview

Please find an overview of the Eurex products in the table in attachment 1. 

4. Contract Specifications

Please find an overview of the Contract Specifications in the table in attachment 1.

For the detailed Contract Specifications, please refer to Eurex circular 068/19.

5. Product group

Please find the detailed product group in the table in attachment 1.

6. Transaction fees

Please find the detailed transaction fees in the table in attachment 1.

Please refer to attachment 3 for the updated sections of the Price List of Eurex Clearing AG (Price List).

The relevant amendments will become effective on 29 July 2019. As of the effective date, the full version of the amended Price List will be available for download on the Eurex Clearing website www.eurexclearing.com under the following link:

Resources > Rules and Regulations > Price list

7. Simulation

Starting 5 July 2019, the product Stock Tracking Futures will be available in the Eurex simulation environment for testing purposes. For further information, please refer to the simulation calendar on the Eurex website www.eurexchange.com under the following link:

Technology > Simulation calendar

8. Risk parameters

Margins for the new products are calculated in Prisma. For the risk parameters of the new products, please refer to the Eurex Clearing website under the link: 

Risk management > Risk parameters

9. Trading hours (all times are CET)

Please refer to attachment 1 for the table with the trading hours.

As of the effective date, the full version of the amended documents will be available for download on the Eurex Clearing AG website www.eurexclearing.com under the following link:

Resources > Rules and Regulations

The changes and amendments to the legal framework of Eurex Clearing AG published by this circular are deemed accepted by each affected contractual party of Eurex Clearing AG, unless the respective contractual party objects by written notice to Eurex Clearing AG within the first ten (10) Business Days after publication. Any ordinary right of Eurex Clearing AG to terminate the respective contract (including a Clearing Agreement, if applicable) shall remain unaffected.

Terms used and not otherwise defined in this circular shall have the meaning ascribed to them in the Clearing Conditions or FCM Clearing Conditions of Eurex Clearing AG, as applicable. 

Attachments:

• 1 – Stock Tracking Futures: Tables for overview, Contract Specifications, product group, transaction fees and trading hours
• 2 – Amendments to Chapter II of the Clearing Conditions
• 3 – Price List of Eurex Clearing AG

Further information