18 Jul 2022

Eurex

Euro Fixed Income Futures: Definition of reporting and position limits for September 2022

Eurex Circular 074/22 Euro Fixed Income Futures: Definition of reporting and position limits for September 2022

1.    Introduction

Given the current higher volatility in the international capital markets, new issuances, and possible short notice “Cheapest to Deliver” (CTD) changes, the Management Board of Eurex Deutschland decided to adjust position limits for September 2022 futures expiry to a lower homogenous level to support fair and orderly market conditions and delivery.

Position limits apply only to long positions in the front month contracts of the products concerned. Reporting limits will be valid from 31 August 2022 after close of trading until 5 September 2022 after close of trading.

Position limits will be valid from 6 September 2022, start of trading, until expiration of the September contract on 8 September 2022. Long positions in September 2022 contracts must therefore be within the prescribed limits at start of trading on 6 September 2022

The measure taken by Eurex Deutschland is based on § 14 Paragraph 1 of the Exchange Rules of Eurex Deutschland (Eurex Exchange Rules). The limits will constantly be monitored intraday by the Trading Surveillance Office of Eurex Deutschland.

2.    Required action

In case the position limits have been exceeded, Exchange Participants are obliged according to § 14 Paragraph 5 of the Eurex Exchange Rules to submit a list of long positions in the Eurex C7 Clearing GUI including clear names of the customers to surveillance@eurex.com. 

Exchange Participants whose gross long positions on the A-account exceed the position limit as of the beginning of the validity of the reporting limit must proactively provide a breakdown of the respective gross positions of the individual beneficial customers of the A-account on a daily basis at the latest by 14:00 CET (on the last trading day by 10:00 CET) as of the end of the previous trading day. The notification shall be made as evidence that no individual beneficial owner customer of the Trading Participant exceeds the above position limits. 

Immediate position adjustments should be made by using the Trade Adjustment function (Open/Close Adjustment) instead of the Position Close-Out, in order to avoid such transactions being subject to late closing fees.

If the position limits are exceeded, the respective Participants will be requested by Eurex Deutschland to specify a Eurex user ID which can be used by Eurex Deutschland to undo the exceeding of the position limits.

3.    Details

The reporting and position limits for the September 2022 contracts in the Euro Fixed Income Futures were set as follows:

Contract name

Position limit

Euro-Buxl®-Futures (FGBX)

30,000 contracts

Euro-Bund-Futures (FGBL)

30,000 contracts

Euro-Bobl-Futures (FGBM)

30,000 contracts

Euro-Schatz-Futures (FGBS)

30,000 contracts

Long-Term Euro-BTP-Futures (FBTP)

30,000 contracts

Mid-Term Euro-BTP-Futures (FBTM)

30,000 contracts

Short-Term Euro-BTP-Futures (FBTS)

30,000 contracts

Euro-OAT-Futures (FOAT)

30,000 contracts

Mid-Term-Euro-OAT-Futures (FOAM)

30,000 contracts

Euro-Bono-Futures (FBON)

30,000 contracts


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:

Maesa Beany, Product R&D Fixed Income, tel. +44-207 8 62-72 35, maesa.beany@eurex.com;
Jutta Frey-Hartenberger, Product R&D Fixed Income, tel. +49-69-211-1 49 88,
jutta.frey-hartenberger@eurex.com

Related Eurex Circulars:

226/06, 088/20, 015/21, 042/21, 077/21, 100/21, 014/22,  051/22

Web:

www.eurex.com

Authorized by:

Randolf Roth


Market Status

XEUR

The market status window is an indication regarding the current technical availability of the trading system. It indicates whether news board messages regarding current technical issues of the trading system have been published or will be published shortly.

We strongly recommend not to take any decisions based on the indications in the market status window but to always check the production news board for comprehensive information on an incident.

An instant update of the Market Status requires an enabled up-to date Java™ version within the browser.