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Eurex Clearing
1. Introduction
Effective 16 December 2019, Eurex Clearing AG will offer clearing services for Futures on EURO STOXX 50® Realized Dispersion Index (Dispersion Index Future) introduced at Eurex Deutschland.
In this context, the following measures will apply effective 16 December 2019:
To reflect the amendments, the following provisions will be amended as outlined in Attachment 2 and 3:
Please refer to Eurex circular 111/19 for detailed trading-related information as well as the amendments of the relevant rules and regulations of Eurex Deutschland.
2. Required action
Following the new product assignment logic, as introduced with C7 Release 6.0 on 18 November 2019, the Dispersion Index Futures will per default be allowed for trading and clearing for all Market Participants.
In case a DC Market Participant or the Clearing Member itself should not be able to trade the product, Clearing Members must take action and adjust the product setting in the C7 Clearing System accordingly.
The Dispersion Index Futures will be part of the capacity “Cash/Physical EUR – CFTC”.
3. Details of the initiative
A. General parameters of the new product
For the general parameters of the Eurex product, please refer to the table in Attachment 1.
B. Contract specifications
Please refer to the table in Attachment 1.
For the detailed contract specifications, please refer to Eurex circular 111/19.
C. Transaction fees
The transaction fees named in the table in Attachment 1 for trading and clearing apply for the new Dispersion Index Futures.
Please refer to Attachment 3 for the updated sections of the Price List of Eurex Clearing AG (Price List).
D. Simulation
Starting 22 November 2019, the new product 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
E. Risk parameters
Margins for the new product 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
F. Trading hours (all times are CET)
For the trading hours, please refer to the table in attachment 1.
As of the effective date, the full version of the amended Clearing Conditions and the Price List will be available for download on the Eurex Clearing 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 in 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.
Unless the context requires otherwise, 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:
Further information
| Recipients: | All Clearing Members, Basic Clearing Members, Disclosed Direct Clients of Eurex Clearing AG, vendors, all FCM Clearing Members and other affected contractual parties |
| Target groups: | Front Office/Trading, Middle + Back Office, IT/System Administration, Auditing/Security Coordination |
| Contact: | Clearing Operations, T +49-69-211-1 12 50, clearing@eurexclearing.com |
Web: | www.eurexclearing.com |
| Related Circular: | Eurex circular 111/19 |
| Authorised by: | Heike Eckert |