A member of
Eurex Clearing
1. Introduction
Effective 30 March 2020, Eurex Clearing will offer clearing services for Related Security Spread Futures (RSS Futures) introduced at Eurex Deutschland.
In this context, the following measures will apply effective 30 March 2020:
The following provisions will be amended as outlined in Attachments 2 and 3:
Please refer to Eurex circular 011/20 for detailed trading-related information as well as the amendments of the relevant rules and regulations of Eurex Deutschland.
2. Required action
The new products will trade and clear similar to existing equity index derivatives, hence there is no action required for participation.
3. Details
A. Product overview
Related Security Spread (“RSS”) Futures are futures contracts on a specific spread ratio index. The iSTOXX Spread Ratio indices aim to offer exposure to the relative value spread, which is defined as the ratio between two securities that are related to the same company and is measured using 5-day moving averages. Each index of the family consists of two securities, referred to as leg A and leg B. The composition of each index is fixed over time.
Please refer to Attachment 1 for the Eurex products that will be introduced.
B. Contract specifications
Please find an overview in table format in Attachment 1. For the detailed Contract Specifications, please refer to Eurex circular 011/20.
C. Product group
Please refer to Attachment 1 for the product group of the new products.
D. Transaction fees
Please refer to Attachment 3 for the updated sections of the Price List.
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
As of the effective date, the full version of the amended Clearing Conditions and 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 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.
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, FCM Clearing Members, Basic Clearing Members, Disclosed Direct Clients of Eurex Clearing AG, vendors and other affected contractual parties |
| Target groups: | Front Office/Trading, Middle + Back Office, IT/System Administration, Auditing/Security Coordination |
| Contact: | client.services@eurexclearing.com |
| Web: | www.eurexclearing.com |
| Related circular: | Eurex circular 011/20 |
| Authorised by: | Heike Eckert |