Equity derivatives: Introduction of Stock Tracking Futures

1. Introduction

The Management Board of Eurex Deutschland took the following decisions with effect from 29 July 2019:

• Introduction of 50 Stock Tracking Futures on the components of the EURO STOXX 50^® Index;
• Introduction of a Liquidity Provider Scheme for the new products

This circular contains all information on the introduction of the new products, the Product Specific Supplement related to the Liquidity Provider scheme and the updated sections of the relevant Rules and Regulations of Eurex Deutschland.

Information on clearing of the new products as well as the updated sections of the relevant Rules and Regulations of Eurex Clearing AG are contained in Eurex Clearing circular 063/19.

Simulation start: 5 July 2019

Production start: 29 July 2019

2. Required action

There is no required action for participation.

3. Details about the new products

Please refer to the table in attachment 1 for the Eurex products.

4. Contract Specifications

Please refer to the table in attachment 1 for the Contract Specifications.

For the detailed Contract Specifications please see attachment 2. 

The full version of the updated Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland will be published on the Eurex website www.eurexchange.com as of start of trading under:

Resources > Rules and Regulations > Contract specifications

5. Adjustment process after dividend payments

The previous day settlement price is adjusted for the regular gross dividend paid by the underlying company. The adjustment takes place via technical trades. The start of day position of each affected Clearing Member of Eurex Clearing AG is booked out at the previous day’s settlement price and booked in at the adjusted previous day’s settlement price. The resulting variation margins offset the reduction in share price resulting from the dividend payment.

6. Trading hours (CET)

Please refer to the table in attachment 1 for the trading hours.

7. Trading calendar

Stock Tracking Futures are available for trading on each Eurex Deutschland trading day. The exact trading days can be found in the trading calendar, which will be published on the Eurex website as of start of trading under the following link:

Trading > Trading calendar

8. Product group

Please refer to the table in attachment 1 for the product group.

9. Liquidity Provider Programme

Effective 29 July 2019, the new products will be available in a new Liquidity Provider Programme “Equity 06 – Stock Tracking Futures”. Detailed quote obligations and benefits are available in the Product Specific Supplement to the Eurex Liquidity Provider Programme in attachment 3.

10. Excessive System Usage Fee and Order to Trade Ratio

The Excessive System Usage Fee and the Order to Trade Ratio are determined in line with the existing equity derivatives (FSTK). For detailed information, please refer to the Eurex website under the following links: 

Products > Equity index derivatives or
Technology > Excessive System Usage Fee or
Technology > Order to Trade Ratio

11. Mistrade parameters

Mistrade ranges for the new Stock Tracking futures will be available for download on the Eurex website as of start of trading under the following link:

Products > Equity derivatives > Stock Tracking Futures

12. Data vendor codes

At start of trading, vendor codes for the new products will be published on the Eurex website under the link:

Products > Vendor product codes

13. Simulation

The Stock Tracking Futures will be available for testing purposes in the Eurex Simulation environment as of 5 July 2019.

14. Admission to the T7 Entry Services (TES)

The new Stock Tracking futures will be admitted to the T7 Entry Services (TES).

You can find the minimum block trade sizes on product level in the attached contract specifications.

An overview of the Eurex T7 Entry Services available for the products as well as detailed information on single product basis with regard to availability, possibility of utilisation and minimum entry size for the various Eurex T7 Entry Services is available on the Eurex website under the link:

Trading > Market models -> Eurex T7 Entry Services -> T7 Entry Service parameters

14.1 Eurex Flexible Futures Service

The Eurex Flexible Futures Service will also be available for the new Stock Tracking Futures upon acceptance of the General Conditions for Participation.

The Flexible Futures Service is available for cash settlement only.

15. Transaction fees and rebates

Please refer to the table in attachment 1 for the fee rebates for trading, clearing and settlement.

For further details, please refer to the current Price List for Eurex Clearing AG on the Eurex website under the following link:

Resources > Rules and Regulations > Price list

16. Risk parameters

As of start of trading, risk parameters of the new products will be published on the Eurex website under the link:

Market data > Clearing data > Risk parameters and initial margins

and on the Eurex Clearing website www.eurexclearing.com under the link:

Risk management > Risk parameters

There, you will also find an up-to-date list with details for all Prisma-eligible Eurex products.

Attachments:

• Attachment 1 - Stock Tracking Futures: Tables for Eurex products, Contract Specifications, trading hours, product group and transaction fees and rebates
• Attachment 2 - Updated sections of the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland 
• Attachment 3 - Product Specific Supplement for Stock Tracking Futures