MSCI Index derivatives: Introduction of additional products, extension of terms and a new incentive component

1.    Introduction

The Management Board of Eurex Deutschland took the following decisions:

• Introduction of Futures on four MSCI Indices (MSCI Germany, MSCI Israel, MSCI Europe ESG Screened, MSCI EMU ESG Screened) and Options on two MSCI Indices (MSCI China, MSCI Saudi Arabia), effective 21 February 2022
• Extension of the term of three MSCI Futures (MSCI EM, EAFE, World), effective 21 February 2022
• Inclusion of the new products into the existing Liquidity Provider Schemes (as of 1 March 2022) 
• Introduction of a new incentive component (“stipends”) into the existing Liquidity provider scheme (as of 1 March 2022)

In addition, it was decided to terminate introduction of new expiries in MSCI China Free Options (OMCN). Expiries without open Interest can be deactivated.

Production start of the new products: 21 February 2022

2.   Required action

There is no specific action required for participation.

3.   Details of the initiative

A. Product overview

Please refer to Attachment 1 for an overview of the new products, as well as for the one product to be terminated.

B. Contract specifications

Attachment 1 contains an overview in table format.

For the detailed Contract Specifications please see Attachment 2.

These also include the changed terms for the three MSCI Futures MSCI EM (Price, USD) (Product ID: FMEF), MSCI EAFE (Price, USD) (Product ID: FMFP) and MSCI World (Price, USD) (Product ID: FMWP), from 3 years up to 5 years.  

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 & Regulations > Contract Specifications

C. Trading hours

Please refer to Attachment 1 for the trading hours.

D. Trading calendar

Futures and Options on MSCI Indices will be available for trading on every exchange trading day at Eurex Deutschland. As of start of trading, the exact trading days can be retrieved from the trading calendar on the Eurex website under the following link:

Trade > Trading calendar

E. Product group

The product groups for the new products are contained in Attachment 1.

F. Liquidity Provider Scheme

As of 1 March 2022, the new products will be added to the existing Liquidity Provider (LP) Schemes for MSCI Futures and Options. Please refer to the Product Specific Supplements (PSS) in Attachments 3 and 4 for the detailed incentives of the scheme, quote parameters and all further information.

At the same time, a new incentive component („stipends“) will be added, which should lead to a further improvement of order book liquidity in selected MSCI Futures. The new scheme (LP3) targets existing Liquidity Providers as well as other participants who are able to quote with tighter spreads than in the LP1 scheme (by reduced order size). 

In difference to the existing schemes, participants will receive – in addition to rebates – a fixed and variable payment as further detailed in the attached PSS document. These additional payments are independent and additive to the existing revenue sharing scheme.

Please note: As theoretically participants in the scheme could receive incentives exceeding their actual Eurex fees, these are not settled via the normal billing process but via separate invoices. In order to keep the operational efforts small, these invoices will only be issued on a quarterly basis. Eurex will determine the respective invoice amount for this purpose and the participant must send a corresponding invoice. Interested participants should reach out to Eurex (email to Ralf.Huesmann@eurex.com) to set up this process.

For a detailed description of the new LP3 scheme, please refer to the amended PSS “Equity Index 01 - Futures on MSCI Indices”.

G. 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 > Equity Index or

Rules & Regs > Excessive System Usage Fee or

Rules & Regs > Order to Trade Ratio

H. Mistrade parameters and vendor codes

Mistrade ranges and vendor codes for the new index derivatives will be published as of start of trading on the Eurex website under the link:

Markets > Equity Index > MSCI Indexes

I. Transaction fees and rebates

The transaction fees stated in Attachment 1 will apply to the new MSCI derivatives. 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

J. Admission to the Eurex T7 Entry Services (TES)

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:

Trade > Eurex T7 Entry Services

The new derivatives on MSCI Indices will be admitted to the TES with the parameters listed in Attachment 1.

K. 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

Under this link, an updated list is available with details regarding Prisma-eligible Eurex products. 

Attachments:

1. Overview of the new products
2. Updated sections of the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland
3. Product Specific Supplement „Equity Index 01 – Futures on MSCI Indices”
4. Product Specific Supplement „Equity Index 02 – Options on MSCI Indices”

Further information