15 Mar 2021

Eurex

Equity index derivatives: Introduction of Micro Futures on the DAX®, EURO STOXX 50® and SMI® indices

Eurex Circular 025/21 Equity index derivatives: Introduction of Micro Futures on the DAX®, EURO STOXX 50® and SMI® indices


1.  Introduction

The Management Board of Eurex Deutschland took the following decisions with effect from 19 April 2021:

  • Introduction of Micro Futures on the DAX®, EURO STOXX 50® and SMI® indices
  • Introduction of a Liquidity Provider Scheme for the new products.

This circular contains all information on the introduction of the new products and the updated sections of the relevant Rules and Regulations of Eurex Deutschland.

Simulation start: 25 March 2021
Production start: 19 April 2021

2.  Required action

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

3.  Details of the initiative

Please refer to the table in Attachment 1 for the product details.

A. Product overview

Micro Futures on DAX®, EURO STOXX 50® and SMI® Indices differ from the existing benchmark index futures in terms of contract size only. The value of one index points is 1 euro for Micro Futures on the DAX® and EURO STOXX 50® indices and 1 Swiss franc for Micro Futures on the SMI® index.

B. Contract specifications and product parameters

In general, contract specifications for the new futures are in line with the existing contracts, also in terms of trading hours and trading calendar, last trading day, settlement and determination of the daily and final settlement prices. Please note that the minimum price movement (tick) for Micro-Futures on the EURO STOXX 50® index will already be 0.5 index points (see Eurex circular 007/21). 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.eurex.com as of start of trading under:

Rules & Regs > Eurex Rules and 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 in Attachment 2. 

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 link:

Services > Risk parameters

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

E. Mistrade ranges

Mistrade ranges for the new products will be published as of start of trading on the Eurex website under the following links:

Markets > Product Overview > Contract Specs

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 products for equity index derivatives. For detailed information, please refer to the Eurex website under the following links:  

Rules & Regs > Excessive System Usage Fee
Rules & Regs > Order to Trade Ratio

G. Transaction fees

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:

Rules & Regs > Eurex Rules & 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:

Markets > Product Overview > Vendor Codes

I. Liquidity provisioning

Please refer to the attached Product Specific Supplements.

Attachments: 

  • 1 – Product overview
  • 2 – Updated sections of the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland
  • 3 – Product Specific Supplement 56 for Micro Futures on DAX®, Euro STOXX 50® and SMI®
  • 4 – Product Specific Supplement 57 for Micro Futures on DAX® and EURO STOXX 50® during Asian trading hours


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@eurex.com

Web:

Eurex Exchange Support

Authorised by:

Randolf Roth


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