04 Mar 2022

Eurex

Index derivatives: Termination of trading in RDX® USD Index Derivatives – Details for the Fair Value Settlement

Eurex Circular 027/22 Index derivatives: Termination of trading in RDX® USD Index Derivatives – Details for the Fair Value Settlement

1.   Introduction

As announced in Eurex Circular 024/22, the Management Board of Eurex Deutschland has decided to terminate trading in RDX® USD Index Derivatives (FRDX, ORDX), effective 3 March 2022 at the close of trading 17:30 CET (22:00 CET for FRDX), as orderly trading seems not to be ensured anymore. 

Furthermore, it was announced that open positions on 3 March 2022 will be cash settled using the Fair value method based on index close that will be provided by Wiener Börse to Eurex or the last available index price before that if the index closing price cannot be provided on 3 March 2022. 

Due to the suspension of index components at the London Stock Exchange on 3 March 2022, Eurex suspended the trading in RDX® USD Index Derivatives (FRDX, ORDX) on 3 March 2022 before trading start. 

This circular details the Fair value settlement procedure and applicable parameters. 

2.   Required action

Trading participants with open positions in above-mentioned contracts are encouraged to take notice of the settlement details. Additionally, all participants holding open positions in options contracts will receive a notice containing an overview of their respective open positions.

3.   Details

Procedure for the Fair Value Settlement of Eurex Index Futures and Index Options

The above-mentioned Index Future and Index Option contracts will be settled according to the Fair value method. The following parameters are defined for calculation of the Fair value settlement:

  • Closing price; based on index price provided by Wiener Börse to Eurex 
  • Interest rate and dividends; if applicable
  • Volatility; the average implicit volatility of the ten days preceding the sanction announcement, 14 February 2022 to 25 February 2022, excluding every highest and lowest value from the calculation of the average 

Index Futures and Index Options settlement details

Future fair value settlement values

The following index price provided by Wiener Börse will be used for determination of the fair values:

RDX® USD Index: 61.04

Contract

Fair value settlement price

FRDX MAR22

61.0

FRDX JUN22

59.5

Option fair value settlement values 

The below table details the fair value settlement price: 

Cash Settlement

On 4 March 2022, all participants holding open positions in options contracts will receive a notice containing an overview of their respective open positions. Booking of the cash amounts will take place on 4 March 2022 with value date 4 March 2022. In the end-of-day batch processing of 4 March 2022, the positions will be booked out effective 7 March 2022.

All obligations in futures contracts are fulfilled with the last variation margin. No cash bookings will take place.

Attachment:

  • Index price provided by Wiener Börse

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:

Michael Peters


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