UPDATE: Please note that the Contract Specifications in the attachment have been updated.
1. Introduction
The Management Board of Eurex Deutschland took the decision to amend corporate action procedures for equity derivatives with effect from 1 November 2021, supporting further harmonization and guidance from the “European Corporate Actions Committee” (ECAC). Furthermore, several clarifications are made in relation to Benchmarks Regulations to harmonize across all derivatives that reference an index (most equity derivatives and additionally Money Market Futures).
In addition to the above, the Annexes to the Contract Specifications for Futures Contracts and Options Contracts tradeable at Eurex Deutschland are consolidated in a single bilingual document. This should allow Trading Participants to find relevant information in a more efficient way.
This circular contains information regarding the above amendments and the updated sections of the relevant Rules and Regulations of Eurex Deutschland.
Production start: 1 November 2021
2. Required action
There is no action required for participation.
3. Details
In support for further harmonization and guideline from the European Corporate Actions Committee (ECAC), following amendments to the corporate action procedure will take effect from 1 November 2021:
- Remove reference to the Cox/Ross/Rubinstein option pricing model and allow for inclusion of other relevant cost of carry for fair value settlement,
- Clarify that in case additional distributions are cancelled or revised after the ex-date, the adjustments made to the respective contracts shall not be reversed or amended,
- Set threshold for mandatory takeovers at 75 percent of the shares underlying the options contract and suspend exercise between end of take over acceptance period and the official publication of the result.
Furthermore, in relation to Benchmarks Regulations, if the index ceases to be provided, the Management Board of Eurex Deutschland may order the termination of trading in such contract as of the last trading day prior to the date these changes occur. This clarification has been included for all derivatives that reference an index (most equity derivatives and additionally Money Market Futures).
Attachment:
- UPDATE: Updated sections of the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland
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: | | www.eurex.com |
Authorized by: | | Randolf Roth |