28 Jun 2021

Eurex

Fixed Income derivatives: A. Introduction of Fixed Income ESG Index Futures; B. Withdrawal of admission of EURO STOXX 50® Corporate Bond Index Futures

Eurex Circular 060/21 Fixed Income derivatives: A. Introduction of Fixed Income ESG Index Futures; B. Withdrawal of admission of EURO STOXX 50® Corporate Bond Index Futures


1.  Introduction

The Management Board of Eurex Deutschland took the following decisions with effect from 27 September 2021:

  • Introduction of two new Fixed Income ESG Index Futures,
  • Withdrawal of admission of EURO STOXX 50® Corporate Bond Index Futures (FCBI). 

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: 6 August 2021
Production start: 27 September 2021

2.  Action required

There is no action required for participation.

3.  Details of the initiative

With the launch of the Fixed Income ESG Index Futures, Eurex aims to expand the range of its ESG derivatives to the fixed income area. 

As a market leader, we aim to pave the path for the establishment of ESG benchmark products, and therefore to support the adoption of these principles both in the equity index and fixed income investable area. This trading solution will offer market participants an optimal and efficient way to manage their sustainable portfolios with derivatives on sustainable fixed income indices.

Also, given the strong correlation with the traditional investment grade bond market returns, they offer a valuable proxy-hedge solution to complement the credit derivatives area.

The products in scope for this initial phase are:

  • Futures on the Bloomberg Barclays MSCI Euro Corporate SRI Index (FECX),
  • Futures on the Bloomberg Barclays MSCI Global Green Bond Index (FGGI).

The choice of these two indices reflects on the one hand the growing demand for derivatives in this area, spilling over to the fixed income space. On the other hand, it feeds on the need for standardization in the context of adoption of ESG principles. 

Futures on the Bloomberg Barclays MSCI Euro Corporate SRI Index will give investors a valuable investment vehicle to track the Euro investment grade corporate bond market, excluding the issuers belonging to the so-called sin-sectors. 

Futures on the Bloomberg Barclays MSCI Global Green Bond Index aim to provide a liquid and easily accessible solution for market participants willing to take exposure to the global green bond market. 

In parallel to the introduction of the Fixed Income ESG Index Futures, Eurex will withdraw the admission of the Futures on the EURO STOXX50® Corporate Bond Index (FCBI) with effective date 27 September 2021

A.    Contract specifications and product parameters

Contract Specifications for the new Fixed Income ESG Index Futures trading are following the existing contracts with the standard futures on Bond Indices in terms of trading hours and trading calendar, last trading day, settlement and determination of the daily and final settlement prices.

For the detailed Contract Specifications, please see the Attachment, including the withdrawal of admission of Futures on the EURO STOXX 50® Corporate Bond Index (FCBI).

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

B.    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.

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 utilization 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

C.    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 path:

Services > Risk parameters

You will also find an updated list with details regarding Prisma-eligible Eurex products under this path. 

D.    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 (FINX). 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

E.    Mistrade parameters and position limits

Mistrade ranges and position limits 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.    Transaction limits

The same values apply as for existing products with the relevant Eurex group ID. For details, please refer to the Eurex website under the link:

Rules & Regs > Excessive System Usage Fee

G.    Transaction fees

The Fixed Income ESG Index Futures will be subject to the following transaction fees:

Products

Currency

Transaction type

Account

Fee

Order book

A
P
M

0.50
0.40
0.40

Fixed Income ESG Index Futures
(FECX,  FGGI)

EUR

Eurex EnLight

A
P
M

0.75
0.60
0.60

TES

A
P
M

0.75
0.60
0.60

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

The following volume rebates will apply to both order-book and TES transactions:

Execution Type

Tier 1

Tier 2

Tier 3

Tier 4

Order book, TES and/or Eurex EnLight

Threshold

2,000

4,000

6,000

8,000

Rebate Level

30%

50%

70%

80%

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.    Availability in Eurex simulation 

Starting from 6 August 2021, the futures on the two Bloomberg Barclays MSCI ESG Indices will be available in the Eurex simulation environment for testing purposes. 

For further information, please refer to the simulation calendar on the Eurex website under the following link: 

Support > Initiatives & Releases > Simulation calendar
 

Attachment: 

  • Updated sections of the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland


Further information

Recipients:

All Trading Participants of Eurex Deutschland 

Target groups:

Front Office/Trading, Middle + Backoffice, IT/System Administration, Auditing/Security Coordination

Related circular:

Eurex Clearing circular 056/21

Contact:

davide.masi@eurex.com, vassily.pascalis@eurex.com, client.services@eurex.com

Web:

www.eurex.com

Authorized by:

Randolf Roth


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