Volatility Derivatives: Change in Final Settlement Price calculation in VSTOXX® Futures and delisting of Futures on Euro Stoxx 50® Realized Dispersion Index

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:

• Termination of Clearing in Futures on Euro Stoxx 50^® Realized Dispersion Index (Product ID: FESD)

• Extension of calculation period of the Final Settlement Price in Futures on VSTOXX^® Index (Product ID: FVS) from the period between 11:30 AM to 12:00 PM CE(S)T to the period between 11:00 AM to 12:00 PM CE(S)T on Final Settlement Day. This change affects all contracts that are listed after 15 January 2024.

The amendments will become effective as of 15 January 2024.

Please refer to Eurex Circular 110/23 for detailed trading-related information and the related amendments to the Rules and Regulations of Eurex Deutschland.

2.  Required action

There is no specific action required for participation.

3.  Details of the initiative

Clearing in Futures on Euro Stoxx 50^® Realized Dispersion Index (product ID FESD) will no longer be supported from 15 January 2024.

The Final Settlement Price in VSTOXX^® Futures is the Time Weighted Average Price (TWAP) of all index calculations in the VSTOXX^® Index between 11:30 AM and 12:00 PM CE(S)T. With the change in the Clearing Conditions, the calculation period of the Final Settlement Price is extended from 30 to 60 minutes. The Final Settlement Price in VSTOXX^® Futures will be changed to the Time Weighted Average Price (TWAP) of all index calculations in the VSTOXX^® Index between 11:00 AM and 12:00 PM CE(S)T.

The extended calculation period applies to all contracts that are listed after 15 January 2024.

Amendments to the legal framework of Eurex Clearing AG

To reflect this decision in the legal framework of Eurex Clearing AG, the following provisions will be amended as outlined in Attachments 1 and 2: 

• Chapter II Part 2 Numbers 2.1.2 and 2.6.2 of the Clearing Conditions
• Numbers 3.1, 3.3, 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

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. In case of an objection by the respective contractual party pursuant the preceding sentence, Eurex Clearing AG is entitled to terminate the respective contract (including a Clearing Agreement, if applicable). Instead of submitting an objection, the respective contractual party may submit in writing to Eurex Clearing AG comments to any amendments of the legal framework of Eurex Clearing AG within the first 10 Business Days after the publication of the amendments. Eurex Clearing AG shall assess whether these comments prevent the published amendments from becoming effective taking into account the interests of Eurex Clearing AG and all contractual parties. 

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, 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