13 Jan 2022

Eurex

Equity and Basket Total Return Futures: Expansion of EUR-denominated products and amendments to contract specifications

Eurex Circular 003/22 Equity and Basket Total Return Futures: Expansion of EUR-denominated products and amendments to contract specifications

1.   Introduction

The Management Board of Eurex Deutschland took the following decisions with effect from 31 January 2022:

  • Introduction of new Equity Total Return Futures (ETRF) pursuant to Annex G to the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland (hereafter: Contract Specifications) included in Attachment 3;
  • Reallocation of the individual buckets (Group IDs) for existing ETRFs pursuant to Annex G to the Contract Specifications included in Attachment 3;
  • Amendments to the contract specifications of ETRF/Basket Total Return Futures (BTRF):
    - Introduction of a new Profile 11 for Substitution Trades which require prior electronic approval by the counterparties and other editorial changes,
    - Update of the Annex G to the Contract Specifications regarding the new equity dividend indices (EDIs) for existing ETRFs, as previously announced by Eurex circular 120/21.

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.

Production start: 31 January 2022

2.   Required action

Participants interested to trade ETRF/BTRF will need to fill in and submit the “Application Form for Participation in Trading/Clearing of Basket Trades Functionality” for the assignment of the ETRF product capacity and entitlement to the Basket Trades functionality. The form will be sent to the participants via their Key Account Managers.

No further registration is required for the participants already active in trading ETRF/BTRF. However, it is recommended that the participants analyze the potential impact front-to-back of the above changes, in particular handling of the new Profile 11.

3.   Details

A. Product overview

Please refer to Attachment 1 for the new ETRF products. 

B. Contract specifications and product parameters

Please refer to Attachment 2 for the amendments to the Contract Specifications for ETRF/BTRF.

In general, contract specifications for the new ETRFs are in line with the existing contracts with the relevant Eurex group ID, also 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 refer to Attachment 2.

As of start of trading of the new products, 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 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). You can find the minimum block trade sizes on product level in the Contract Specifications in Attachment 2.

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

D. Fees and First Adopter Incentive Scheme for ETRF/BTRF

The same transaction and maintenance fees shall apply as for the corresponding existing ETRF products.

In addition, similar to the existing products, the new ETRF products will be subject to the First Adopter Incentive Scheme for ETRF/BTRF accordingly as per the Eurex Circular 113/21.

E. Vendor codes

As of start of trading, vendor codes for the new products will be published on the Eurex website under the link:

Markets > Product Overview > Vendor Codes

F. 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

Under the same link, you will also find an updated list with details regarding Prisma-eligible Eurex products.

G. Mistrade ranges 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 link:

Markets > Product Overview

Attachments:

  • 1 – Product overview
  • 2 – Updated sections of the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland
  • 3 – Updated Annex G to 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:

Stuart Heath, Equity & Index Product Design, tel. +44-207-862-72 53, stuart.heath@eurex.com; 
Elena Marchidann, Equity & Index Product Design, tel. +44-207-862-72 65, elena.marchidann@eurex.com

Related Eurex circulars:

113/21120/21

Web:

www.eurex.com

Authorized by:

Randolf Roth


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