Given current market conditions and with focus on business continuity, the launch of RSS Futures is moved back to 22 June 2020 (previously: 30 March 2020).
Additionally, the initial ratio definition of 13 pairs is inverted (see Attachment 1).
The announced Liquidity Provider Scheme will start on 22 June 2020.
Please see the updated circular for the new values below.
The Management Board of Eurex Deutschland took the following decisions with effect from 22 June 2020:
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:
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:
D. Risk parameters
As of start of trading, risk parameters of the new products will be published on the Eurex website under the link:
and on the Eurex Clearing website www.eurexclearing.com under the following path:
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:
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:
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:
H. Vendor codes
At start of trading, vendor codes for the new products will be published on the Eurex website under the link:
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).
|Recipients:||All Trading Participants of Eurex Deutschland and Vendors|
|Target groups:||Front Office/Trading, Middle + Backoffice, IT/System Administration, Auditing/Security Coordination|
|Related circular:||Eurex Clearing circular 019/20|
|Authorised by:||Michael Peters|
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