17 May 2021

Eurex

MSCI index derivatives: Introduction of additional futures and options

Eurex Circular 044/21 MSCI index derivatives: Introduction of additional futures and options


1.  Introduction

The Management Board of Eurex Deutschland took the following decisions with effect from 31 May 2021:

  • Introduction of Futures and Options on a broader range of MSCI Indices including further ESG Indices (Futures on MSCI ESG Enhanced Focus Indices), further Sector products (Futures on MSCI Europe sectors), as well as further Indices with a focus on Asia (MSCI China Tech 100, MSCI HK Listed Indices, MSCI EM Asia ex China, MSCI World ex Australia)
  • Inclusion of the new products into the existing Liquidity Provider Schemes (as of 1 June 2021) 

Production start of the new products: 31 May 2021

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2.  Required action

There is no action required for participation.

3.  Details of the initiative

A. Product overview

Please refer to Attachment 1 for an overview of the new products.

B. Contract specifications and product parameters

Attachment 1 contains an overview in table format.

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 as of start of trading under:

Rules & Regs > Eurex Rules & Regulations > Contract Specifications

C. Trading hours

Please refer to Attachment 1 for the trading hours.

D. Trading calendar

Futures and Options on MSCI Indices will be available for trading on every exchange trading day at Eurex Deutschland. As of start of trading, the trading days can be retrieved from the trading calendar on the Eurex website under the following link:

Trade > Trading calendar

E. Product group

The product group for the new products is contained in Attachment 1.

F. Liquidity Provider Schemes

As of 1 June 2021, the new products will be added to the existing Liquidity Provider (LP) Schemes for MSCI Futures and Options. Please refer to the Product Specific Supplements „Equity Index 01 – Futures on MSCI Indices“ and „Equity Index 02 – Options on MSCI Indices“ (Attachments 3 and 4) for the detailed incentives of the scheme, quote parameters and all further information.

G. Excessive System Usage Fee and Order to Trade Ratio

The Excessive System Usage Fee and the Order to Trade Ratio for the new products were determined in line with the existing equity index derivatives. For further information, please refer to the Eurex website under the following links:

Markets > Equity Index

or

Rules & Regs > Excessive System Usage Fee

or

Rules & Regs > Order to Trade Ratio

H. Mistrade parameters and vendor codes

Mistrade ranges and vendor codes for the new index futures and options will be published as of start of trading on the Eurex website under the link:

Markets > Equity Index > MSCI Indexes

I. Transaction fees and rebates

The transaction fees stated in Attachment 1 will apply for the new MSCI futures and options. For details, please refer to the Price List of Eurex Clearing AG available for download on the Eurex website under this link:

Rules & Regs > Eurex Rules & Regulations > Price List

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

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:

Trade > Eurex T7 Entry Services

The new MSCI derivatives will be admitted to the TES with the parameters listed in Attachment 1.

K. 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 under the following link:

Services > Risk parameters

Under this link, an updated list is available with details regarding Prisma-eligible Eurex products.

Attachments:

  • 1 – Overview of the new products
  • 2 – Updated sections of the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland
  • 3 – Product Specific Supplement „Equity Index 01 – Futures on MSCI Indices”
  • 4 – Product Specific Supplement „Equity Index 02 – Options on MSCI Indices”


Further information

Recipients:

All Trading Participants of Eurex Deutschland and Vendors

Target groups:

Front Office/Trading, IT/System Administration, Auditing/Security Coordination

Contact:

Rachna Mathur, Equity & Index Sales, tel. +1 212 309 93 08, rachna.mathur@eurex.com;
Ralf Huesmann, Equity & Index Product Design, tel. +49-69-211-1 54 43, ralf.huesmann@eurex.com

Web:

www.eurex.com

Authorised by:

Randolf Roth


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