24 Aug 2021

Eurex Clearing

Money Market Futures: Introduction of 3M SARON® Futures with a new naming convention and other amendments to the legal framework of Eurex Clearing AG

Eurex Clearing Circular 076/21 Money Market Futures: Introduction of 3M SARON® Futures with a new naming convention and other amendments to the legal framework of Eurex Clearing AG


1.    Introduction

This circular contains information with respect to the service offering of Eurex Clearing AG (Eurex Clearing) and introduces amendments to the Clearing Conditions of Eurex Clearing AG (Clearing Conditions) and the Price List of Eurex Clearing AG (Price List) regarding the following topics:

I.    Amendments to the Clearing Conditions and the Price List regarding clearing services for 3M SARON® Futures (FSR3) with a new contract naming convention
II.    Clarifying amendment to the Clearing Conditions concerning reports for settlement institutions

The amendments will become effective on 27 September 2021.

Please refer to Eurex circular 083/21 for detailed trading-related information as well as the amendments to the relevant Rules and Regulations of Eurex Deutschland.

Production start: 27 September 2021

2.    Required action

There is no required action for the participants.

3.    Details of the initiative

I.    Amendments of the Clearing Conditions and the Price List regarding clearing services for 3M SARON® Futures (FSR3) with a new contract naming convention

A.    Product overview

Product name

Currency

ISIN

Product
code

Product
type

3M SARON® Futures

CHF

DE000A3CTV01

FSR3

FINT

Please refer to Eurex circular 083/21 for further information. 

B.    Contract specifications

For the detailed contract specifications, please refer to Eurex circular 083/21.

C.    Product group

The product group of the new products is as follows:

Product

Product group

Settlement location unit

Regulatory status

Settlement type

Product type

Product segment

Product currency

Capacity name

3M SARON® Futures

Money Market Futures

No

Approved for U.S. trading

Cash

F

Money Market CHF

CHF

Cash/Physical CHF - CFTC

D.    Transaction fees

The fees for the 3M SARON® Futures (FSR3) can be retrieved from the updated sections of the Price List, as outlined in Attachment 2.

E.    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 www.eurex.com/ec-en/ under the link:

Services > Risk parameters

The following provisions of the Clearing Conditions and Price List will be amended as outlined in the attachments:

  • Chapter II Part 2 Numbers 2.1.2 and 2.2.2 of the Clearing Conditions
  • Numbers 3.1, 3.3 and 3.4 of the Price List

II.    Clarifying amendment to the Clearing Conditions concerning reports for settlement institutions

Concerning the already existing service of providing relevant reports to settlement institutions, a clarifying phrase is added to Chapter I Part 1 Number 2.1.2 paragraph 7 of the Clearing Conditions.

As of the effective date, the full version of the amended Price List and the Clearing Conditions will be available for download on the Eurex Clearing website under the following link:

Rules & Regs > Rules and Regulations

The 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 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:

  1. Amended sections of the Clearing Conditions of Eurex Clearing AG
  2. Amended sections of the Price List of Eurex Clearing AG


Further information

Recipients:

All Clearing Members, Basic Clearing Members, Disclosed Direct Clients of Eurex Clearing AG,
all FCM Clearing Members and other affected contractual parties and vendors 

Target groups:

Front Office/Trading, Middle + Backoffice, IT/System Administration, Auditing/Security Coordination

Related circular:

Eurex circular 083/21

Contact:

client.services@eurex.com

Web:

www.eurex.com/ec-en/ 

Authorized by:

Jens Janka