UPDATE: Fixed Income Derivatives: A. Introduction of Euro High Yield Index Futures; B. Editorial changes to the Price List for existing bond index futures

Please note the following update:

This Circular informs market participants that the ISIN code initially published on 8 September 2022 for the new Futures on the Bloomberg Liquidity Screened Euro High Yield bond Index was incorrect. 

The corrected ISIN code is available in the table below in the highlighted. The value was also corrected in the section 3.A.a Product overview of this Circular.

Required action:

Please disregard the originally published ISIN code for the Futures on the Bloomberg Liquidity Screened Euro High Yield Bond Index, and replace it with the new ISIN code.

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1. Introduction

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

Effective date: 17 October 2022

2. Required action

There is no required action for the participants.

3. Details 

A.   Introduction of Euro High Yield Index Futures

Effective 17 October 2022, Eurex Clearing will offer clearing services for Euro High Yield Index Futures introduced at Eurex Deutschland.

In this context, the following measures will apply effective 17 October 2022:

• Amendments to the Clearing Conditions regarding the inclusion of Euro High Yield Index Futures,
• Amendments to the Price List regarding the inclusion of Euro High Yield Index Futures.

Please refer to Eurex circular 086/22 for detailed trading-related information as well as the amendments of the relevant Rules and Regulations of Eurex Deutschland.

Simulation start: 6 September 2022
Production start: 17 October 2022

a.  Product overview

b.  Contract specifications

For the detailed contract specifications, please refer to Eurex circular 086/22.

c.  Product group

The product group of the new product is as follows:

d.  Transaction fees

The fees for the products can be retrieved from the updated sections of the Price List, as outlined in Attachment 2.

e.  Simulation

Since 6 September 2022, the new products have been available in the Eurex simulation environment for testing purposes. For further information, please refer to the simulation calendar on the Eurex website www.eurex.com under the following link:

Support > Initiatives & Releases > Simulation calendar

f.  Risk parameters

Margins for the new products are calculated in Prisma. For the risk parameters of the new product, please refer to the Eurex Clearing website www.eurex.com/ec-en/ under the link:

Services > Risk parameters

g.  Amendments to the legal framework of Eurex Clearing AG

In this context, the following provisions will be amended as outlined in Attachments 1 and 2: 

• Chapter II Part 2 Number 2.23.2 of the Clearing Conditions
• Numbers 3.1, 3.3 and 3.4 of the Price List

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

Rules & Regs > Eurex Clearing Rules and Regulations

B.   Editorial changes to the provisions on the Clearing of Bond Index Futures Contracts in the Clearing Conditions and the Price List

Bloomberg announced that the Bloomberg Barclays fixed income benchmark indices are rebranded as the Bloomberg Fixed Income Indices

To reflect the rebrand, the following provisions will be amended as outlined in Attachments 1 and 2:

• Chapter II Part 2 Number 2.23.2 of the Clearing Conditions
• Numbers 3.1, 3.3 and 3.4 of the Price List

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 prior to the relevant effective date(s) as stipulated in this circular. 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. Updated sections of the Clearing Conditions of Eurex Clearing AG
• 2. Updated sections of the Price List of Eurex Clearing AG

Further information