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Feb 17, 2006

Eurex

Volatility Futures: Developments in the Regulatory Environment and Adjustment to Product Parameters

  1. On January 26, 2006 the Committee of European Securities Regulators (CESR) published its final advice for the European Commission with regard to “Eligible Assets for Investments of Undertakings for Collective Investment in Transferable Securities (UCITS)”. According to this, a derivative on a financial index is, principally, UCITS-compatible, if the index fulfills certain criteria. This applies to the construction of the Volatility Future.
  2. The Executive Board of Eurex Clearing AG decided in its session on February 1, 2006 to reduce the minimum contract size for Block Trades in Volatility Futures from 500 contracts to 100 contracts effective March 1, 2006.
  3. Maximum Spreads for Designated Market-Making in Volatility Futures on the VSMI® Index (FVSM) will be reduced from 15 percent to 10 percent with effect from March 1, 2006.

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Please find further information about incident handling in the Emergency Playbook published on the Eurex webpage under Support --> Emergencies and safeguards. Detailed information about incident communication, market re-opening procedures and best practices for order and trade reconciliation can be found in the chapters 4.2, 4.3 and 4.5, respectively. Concrete information for the respective incident will be published during the incident via newsboard message. 

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