30 Mar 2021

Eurex

Equity index derivatives: Introduction of futures on STOXX® Europe 600 and USA 500 Factor Indices

Eurex Circular 032/21 Equity index derivatives: Introduction of futures on STOXX® Europe 600 and USA 500 Factor Indices


1.  Introduction

The Management Board of Eurex Deutschland took the following decisions with effect from 26 April 2021:

  • Introduction of futures on:
    -  STOXX® Europe 600 Industry Neutral Ax Value, Size, Quality, Multi-Factor, Momentum, Low Risk Indices
    -  STOXX® USA 500 Industry Neutral Ax Value, Size, Quality, Multi-Factor, Momentum, Low Risk Indices

and

  • Introduction of a Liquidity Provider Scheme for the new products (as of 26 April 2021)

Production start: 26 April 2021

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.

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

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 www.eurex.com as of start of trading under:

Rules & Regs > Eurex Rules and Regulations > Contract Specifications

C. Trading hours

Please refer to Attachment 1 for the trading hours.

D. Trading calendar

Futures on STOXX® Europe 600 and USA 500 Value, Size, Quality, Multi-Factor, Momentum, Low Risk 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 Scheme

As of 26 April 2021, a Liquidity Provider (LP) Scheme will be introduced for the new STOXX® Europe 600 and USA 500 Factor index futures. Please refer to the “Product Specific Supplement 62 for Futures on STOXX® Europe 600 und USA 500 Factor Indices“ (Attachment 3) 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 are determined in line with the existing equity index derivatives. For detailed information, please refer to the Eurex website under the following links:

Markets > Equity Index > STOXX® Indexes 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 will be published as of start of trading on the Eurex website under the link:

Markets > Equity Index > STOXX® Indexes

I. Transaction fees and rebates

The transaction fees stated in Attachment 1 will apply for the new STOXX® Europe 600 and USA 500  Factor index futures. 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 futures on STOXX® Europe 600 and USA 500 Factor indices 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 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. 

Attachments: 


  1. Details regarding product overview, contract specifications, trading hours, product group, Eurex T7 Entry Services, transaction fees
  2. Updated sections of the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland
  3. Product Specific Supplement (PSS) to the Liquidity Provider Scheme for STOXX® Europe 600 and USA 500 Factor-Index 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

Related circular:

Eurex Clearing Circular 30/21

Contact:

Product R&D Equity and Index, Christine Heyde, tel. +49-69-211-1 56 98,  christine.heyde@eurex.com

Web:

www.eurex.com 

Authorised by:

Randolf Roth


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