29 Jul 2021

Eurex

FX derivatives: Introduction of FX Futures on Scandinavian currency pairs

Eurex Circular 073/21 FX derivatives: Introduction of FX Futures on Scandinavian currency pairs


1.  Introduction

The Management Board of Eurex Deutschland took the following decisions with effect from 6 September 2021:

  • Introduction of seven new FX Futures on Scandinavian currency pairs
  • Amendment of the contract specifications for Futures Contracts and Options Contracts at Eurex Deutschland in accordance with Attachment 2

In addition, the Executive Board of Eurex Frankfurt AG took the following decisions with effect from 1 September 2021:

  • Amendment of the Liquidity Provider Scheme for the FX Futures, pursuant to Attachment 3
  • Amendment of the Liquidity Provider Scheme for the FX Options, pursuant to Attachment 4

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: 11 August 2021
Production start:   6 September 2021

2.  Action required

There is no action required for participation.

3.  Details

A.  Product overview

Please refer to Attachment 1 for the products.

B.  Contract specifications and product parameters

For general product parameters, please find an overview in table format in Attachment 1. 

For the detailed Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland (Contract Specifications), please see Attachment 2.

The full version of the updated Contract Specifications will be published on the Eurex website www.eurex.com as of start of trading under:

Rules & Regs > Eurex Rules & 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). Please refer to the Contract Specifications in Attachment 2 for the minimum block trade sizes on product level.

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

D.  Simulation

The FX Futures on the currency pairs Euro–Norwegian Krone (FCNK), Euro–Swedish Krona (FCSK) and Euro–Danish Krone (FCDK) will be available in the simulation environment as of 11 August 2021.

E.  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 under the following link:

Services > Risk parameters

where you will also find an updated list with details regarding Prisma-eligible Eurex products. 

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 Equity Index Derivatives. For detailed information, please refer to the Eurex website under the following links:

Markets > FX

or

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

G.  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 links:

Markets > FX
Markets > Product Overview

H.  Transaction fees

The transaction fees listed in Attachment 1 will apply. For details, please refer to the current Price List of Eurex Clearing AG, available on the Eurex website under the following link:

Rules & Regs > Eurex Rules & Regulations > Price List

I.  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

J.  Liquidity Provisioning

The new FX Futures on Scandinavian currency pairs will be included in the existing Product Specific Supplement (PSS) "Foreign Exchange 01 – FX Futures and FX Rolling Spot Futures". 

To simplify access participations, a new FX Future Scheme will be introduced in the above-mentioned PSS. Liquidity Providers can choose in the future to quote the current existing combination of FX Futures and Rolling Spot Futures or alternatively the new scheme which includes only the FX Futures with different spread and size requirements. 

In addition, the revenue sharing process will be amended to only pay revenue sharing in US dollar.

Please refer to Attachment 3 for the details regarding Liquidity Provisioning. 

K.  FX Options Liquidity Provisioning

To support the FX options markets on the existing currencies, the stipends for the FX options liquidity provider scheme will be extended to 30 April 2022 and reduced from €15,000 per month to €10,000 per month. In addition, the revenue sharing process will be amended to only pay revenue sharing in US dollar. For the avoidance of doubt, FX options on Scandinavian Currencies are not being introduced.

Please refer to Attachment 4 for the details regarding Liquidity Provisioning.
 

Attachments:

  • 1 – Details regarding product overview, contract specifications, trading hours, product group, Eurex T7 Entry Services, transaction fees (specification of contract months has been updated on 31 August 2021)
  • 2 – Updated sections of the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland
  • 3 – Amendments to the Product Specific Supplement "Foreign Exchange 01 – FX Futures and FX Rolling Spot Futures"
  • 4 – Amendments to the Product Specific Supplement "Foreign Exchange 02 – FX Options"


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:

Markets > FX

Authorized by:

Randolf Roth


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