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Eurex
1. Introduction
The Management Board of Eurex Deutschland took the following decisions with effect from 26 July 2021:
This circular contains information on the expansion of Basket Trades functionality for the EBB offering and updated sections of the relevant Rules and Regulations of Eurex Deutschland.
The enhancement of the trading functionality for Equity Bespoke Baskets has been incorporated within T7 Release 8.1 implemented in the Production environment on 29 June 2020. An overview of the T7 enhancements for Equity Bespoke Basket is contained in the T7 Release 8.1 Final Release Notes available at the Eurex website under the following link:
Support > Initiatives & Releases > T7 Releases > T7 Release 8.1 > System Documentation > Overview and Functionality
Production start: 26 July 2021
2. Required action for participation
The EBB offering will be enabled to the Trading Participants based on an opt-in approach in the T7 trading system.
Trading Participants which intend to trade via the EBB offering are required to submit a standard Eurex admission form which must be countersigned by their respective Clearing Member. Clearing Members can contact their Clearing Key Account Manager to obtain the form.
Trading Participants which have been already enabled for Basket Trades of Equity Total Return Futures (ETRF/BTRF) will be automatically enabled for EBB trading.
3. Details
A. Offering overview
The EBB offering is aimed at facilitating the execution of directional or relative value trading strategies, with multiple component underlyings, which capture the returns or beta of those underlying components. In overview, the EBB trading functionality allows the counterparts to construct, trade, separately identify and manage the component exchange traded derivatives of such a trade.
The component elements initially offered will be Single Stock Futures (cash settled), Single Stock Dividend Futures and Stock Tracking Futures. There will also be the ability to combine Single Stock Futures and Single Stock Dividend Futures, in an EBB, where the underlying reference equity is available for both.
The building block for EBB is the Basket Trades functionality implemented in the Eurex Trade Entry Services (TES) for the ETRF/BTRF offering. EBB enables traders to assemble and trade one or more contracts simultaneously as a package. Once executed, EBB basket trades are identified and maintained in the C7 clearing system based on a unique identifier (Basket ID). An EBB basket may consist of 1-99 individual components traded via the Basket Trades functionality in the Eurex Trade Entry Services.
T7 basket trade types applicable to the EBB offering are the following:
It is to be noted that the special type of Substitution Trade is not applicable to EBB as they are specific to the ETRF/BTRF offering for equity financing.
For each counterparty, each individual basket component must have identical:
In addition, each individual component of a basket will have its own individual price, while the market side (Buy/Sell) may be the same or different.
B. Product scope and buckets
The products that may be traded via the EBB offering are Single Stock Futures, Single Stock Dividend Futures and Stock Tracking Futures as per the table below:
Product | Minimum number of contracts traded * | Contracts that may be included in a Basket Trade (“Eligible | ||
Single Stock Futures | As per Annex A | All contracts with the Group ID CH01, AT01, BE01, DE01, ES01, FI01, FR01, IE01, IT01, NL01, PT01 or GB01 as per Annex A | ||
Single Stock Dividend Futures | As per Annex D | All contracts with the Group ID CH21, CH22, BE21, DE21, DE22, ES21, FI21, FR21, FR22, GB21, GB22, GB23, IE21, IT21, NL21, US21 as per Annex D | ||
Stock Tracking Futures | As per Annex H | All contracts with the Group ID BE31, DE31, ES31, FI31, FR31, IE31, IT31, NL31 as per Annex H |
* Annexes A, D and H are part of the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland (see Attachment 1).
The product currencies in scope are EUR, USD, CHF and GBP/GBX.
There will be no changes to the minimum block trade size (MBTS) for eligible products due to EBB offering. The T7 trading system validates the MBTS for each individual EBB component, as of today for regular block trades entered via the Eurex TES functionality.
The list of products and combinations thereof via eligible buckets are included in Attachment 2.
C. Trading hours
The trading hours are in line with the existing contract specifications currently applicable to the respective products.
D. Contract specifications
The amended contract specifications due to EBB offering are included in Attachment 1.
The full version of the updated Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland will be published on the Eurex website as of start of trading under:
Rules & Regs > Eurex Rules & Regulations > Contract Specifications
E. Transaction fees
There will be no changes to the Price List of Eurex Clearing AG due to the launch of the EBB offering. The same transaction fees shall apply to the products in scope for EBB, regardless of the trading method.
Attachments:
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: | Stuart Heath, Equity & Index Product Design, tel. +44 20 7862 72 53, stuart.heath@eurex.com; Elena Marchidann, Equity & Index Product Design, tel. +44 20 7862 72 65, elena.marchidann@eurex.com | |
Web: | www.eurex.com | |
Authorized by: | Randolf Roth |
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