Amendments to the Clearing Conditions of Eurex Clearing AG: Update of the daily settlement price determination provisions for Futures Contracts, including SSDFs

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) regarding the following topic:

• Update of the daily settlement price determination provisions for Futures Contracts, especially Single Stock Dividend Futures Contracts (SSDFs)

The amendments will become effective as of 4 April 2022.

2.  Required action

As this change does not create any direct technical impact for Clearing Members and their clients, no action is required.

3.  Details

Eurex Clearing is updating its daily settlement price determination provisions for Futures Contracts in order to streamline terminology and clarify structure and references. Further, with respect to Single Stock Dividend Futures Contracts (SSDFs), the daily settlement price determination procedures (waterfall) have been detailed in Chapter II Part 2 Number 2.1.2 (2) (c) (ii) of the Clearing Conditions, as described in the following summary (please note that this summary is simplified, for the legally binding price determination provisions, please see the Attachment).

SSDF daily settlement price determination waterfall 

1. VWAP primary interval: Volume weighted average price (VWAP) of all relevant exchange transactions of the last minute before the Reference Time; if less than five exchange transactions > step 2 
2. VWAP secondary interval: VWAP of all relevant exchange transactions of last 15 minutes before the Reference Time; if less than five exchange transactions > step 3 
3. Theoretical Price: Taking into account, inter alia, the following inputs to determine the expected dividend(s) (if they reflect the true market conditions): (i) bid-ask spreads and/or relevant transactions in SSDFs concluded via the order book, (ii) relevant transactions in SSDFs concluded off-book, (iii) dividends declared, (iv) implied dividends as they may be derived from relevant options contracts and/or (v) third party dividend forecasts. For the avoidance of doubt, the listing in the foregoing sentence shall not constitute an order of priority of the relevant inputs.

To reflect the changes, the following provision will be amended as outlined in the Attachment:

• Chapter II Part 2 Number 2.1.2 of the Clearing Conditions

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.

Attachment: 

• Updated sections of the Clearing Conditions

Further information