09 Nov 2020

Eurex

Foreign Exchange (FX) derivatives: Delisting of FX Options and introduction of options on FX Futures

Eurex Circular 085/20 Foreign Exchange (FX) derivatives: Delisting of FX Options and introduction of options on FX Futures


1. Introduction

The Management Board of Eurex Deutschland and the Executive Board of Eurex Frankfurt AG took the following decisions with effect from 14 December 2020:

  • To delist all currently available options contracts on currencies, pursuant to Attachment 3, for trading on Eurex Deutschland;
  • To introduce Options on FX Futures pursuant to Attachment 3;
  • To introduce a Liquidity Provider Scheme for the Options on FX Futures, valid as of 1 February 2021, pursuant to Attachment 4. 

This circular contains information on the introduction of the new products 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 095/20.

For implementation of the decisions, the Contract Specifications for Futures Contracts at Eurex Deutschland will be amended in accordance with Attachment 3.

Simulation start: 12 November 2020
Production start: 14 December 2020

2. Required action

In order to trade the new Options on FX Futures, Trading Participants have to complete the form “Application for Participation in Trading FX-Products/23h Trading”. The form is available for download on the Eurex website www.eurex.com under the following link:

Find > Forms > Application for Participation in Trading FX-Products/23h Trading

In order to use British Pound, Swiss Franc or Japanese Yen as an alternative fee currency for the respective FX products, the form “Choice of alternative fee currencies for FX products” has to be completed. The form is available for download on the Eurex website under the following link:

Find > Forms > Choice of alternative fee currencies for FX products

Please contact your Key Account Manager for further information.

3. Details of the initiative

A. Product overview

After the delisting of FX Options on Euro – Japanese Yen (OCEY) in March 2019, Eurex Exchange will delist the remaining eleven available FX Options and extend its range of FX products with the simultaneous launch of Options on all currently available Classic FX Futures on 14 December 2020. 

Passive Liquidity Protection (PLP) will be activated for the Options on FX Futures. The deferral time will be set in accordance with of all other existing FX contracts listed at Eurex Exchange. More information on the PLP functionality available on the Eurex website under:

Trade > Eurex PLP

In simulation, only a limited number of Options on FX Futures will be listed. Please see Attachment 2 for the currency pairs that will be available in simulation.

B. Contract specifications and product parameters

Please find an overview of the FX Options which will be delisted in table format in Attachment 1.

The newly introduced Options on FX Futures in table format are contained in Attachment 2.

For the detailed Contract Specifications, please see Attachment 3.

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.eurex.com as of start of trading under:

Rules & Regs > Eurex Rules & Regulations > Contract specifications

C. Admission to the Eurex T7 Entry Services (TES)

The new products will be admitted to the Eurex 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:

Data > Trading files > T7 Entry Service parameters  

D. Risk parameters

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

Data > Clearing files > Risk parameters and initial margins

and on the Eurex Clearing website www.eurex.com/ec-en/ under the following path:

Services > Risk parameters

You will also find an updated list with details regarding Prisma-eligible Eurex products under this path.

E. Mistrade parameters

Mistrade ranges will be published as of start of trading on the Eurex website under:

Markets > FX > FX Options and

Data > Trading files > Product parameter files

F. Excessive System Usage Fee and Order to Trade Ratio

The Excessive System Usage Fee and the Order to Trade Ratio for the new products are determined in line with the existing FX products. For detailed information, please refer to the Eurex website under the following links:

Markets > FX > FX Options or

Rules & Regs > Excessive System Usage Fee or

Rules & Regs > Order to Trade Ratio.

G. Transaction fees

Details are contained in Eurex Clearing circular 095/20 and will be published as of start of trading on the Eurex website under:

Rules & Regs > Eurex Rules & Regulations > Price List

I. Vendor codes

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

Markets > Product Overview > Vendor Codes.

J. Liquidity Provider Scheme

Effective from 1 February 2021, a Liquidity Provider (LP) Scheme for the new Options on FX Futures, “Product Specific Supplement for Options on FX Futures”, will be introduced. The LP scheme will come into effect after the production launch in December 2020 to provide sufficient time for member readiness.

All further information can be found in the attached PSS document (Attachment 4) which will be published as of start of trading on the Eurex website under the link:

Trade > Market-Making and Liquidity provisioning

Attachments:

  • 1 – Overview of the deleted FX Options contracts
  • 2 – Overview of the contract specifications for the new products in table format
  • 3 – Updated sections of the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland
  • 4 – Product Specific Supplement (PSS) for Options on FX Futures


Further information

Recipients:

All Trading Participants of Eurex Deutschland and Vendors

Target groups:

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

Contact:

Andreas Stillert, tel. +49-69-211-1 72 78, andreas.stillert@eurex.com

Web:

www.eurex.com

Authorised by:

Randolf Roth


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