21 Feb 2020

Eurex Exchange

Equity index derivatives: Introduction of Related Security Spread (“RSS”) Futures

Eurex Circular 011/20


1. Introduction

The Management Board of Eurex Deutschland took the following decisions with effect from 22 June 2020:

  • Introduction of Related Security Spread (“RSS”) Futures (22 products in phase 1),
  • Introduction of a Liquidity Provider Scheme for the new products.

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 019/20. 

Simulation start: 03 March 2020

Production start: 22 June 2020

2. Required action

The new products will trade and clear similar to existing equity index derivatives, hence there is no action required for participation.

3. Details of the initiative

A.  Product overview

Related Security Spread (“RSS”) Futures are futures contracts on a specific spread ratio index. The iSTOXX Spread Ratio indices aim to offer exposure to the relative value spread, which is defined as the ratio between two securities that are related to the same company and is measured using five-day moving averages. Each index of the family consists of two securities, referred to as leg A and leg B. The composition of each index is fixed over time.

Please refer to Attachment 1 for the Eurex products that will be introduced.

B.  Contract specifications and product parameters

Please find an overview in table format in Attachment 1. 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

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

The new products will be admitted to the TES with the parameters stated in Attachment 1.

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 number of tradable contracts 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

D.  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 following path:

Risk management > Risk parameters

There, you will also find an updated list with details regarding Prisma-eligible Eurex products.

E.  Mistrade parameters

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

Products > Product information > Product specifications

F.  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 Index Derivatives (FINX). For further information, please refer to the Eurex website under the following links:

Technology > Excessive System Usage Fee
Technology > Order to Trade Ratio

G.  Transaction fees and rebates

Details can be found in the current Price List of Eurex Clearing AG which is available for download on the Eurex website under the following link:

Resources > Rules and Regulations > Price list

H.  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

I.  Liquidity Provider Scheme

Effective from 22 June 2020, a Liquidity Provider (LP) Scheme for the new RSS Futures, "Product Specific Supplement 50 for Related Security Spread Futures”, will be introduced.

All further information can be found in the attached PSS document (Attachment 3).

Attachments:

  • 1 – Overview of contract specifications for the new products in table format
  • 2 – Amended sections of the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland
  • 3 – Product Specific Supplement (PSS) 50 for Related Security Spread 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:

client.services@eurexchange.com

Related circular:Eurex Clearing circular 019/20
Web:www.eurexchange.com
Authorised by:Michael Peters

Market Status

XEUR

The market status window is an indication regarding the current technical availability of the trading system. It indicates whether news board messages regarding current technical issues of the trading system have been published or will be published shortly.

We strongly recommend not to take any decisions based on the indications in the market status window but to always check the production news board for comprehensive information on an incident.

An instant update of the Market Status requires an enabled up-to date Java™ version within the browser.