FX Derivatives: Introduction of new cash-settled FX Futures on Emerging Markets currency pairs

1.  Introduction

The Management Board of Eurex Deutschland took the following decisions with effect from 10 October 2022:

• Introduction of five new cash-settled FX Futures on Emerging Markets currency pairs
• Amendment of the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland pursuant to Attachment 2. 

In addition, the Executive Board of Eurex Frankfurt AG took the following decisions:

• Introduction of the Liquidity Provider Scheme for cash-settled FX Futures, pursuant to Attachment 3, with effect from 10 October 2022
• Amendment of the Liquidity Provider Scheme PSS Foreign Exchange 01- FX Futures and Rolling Spot Futures, pursuant to Attachment 4, with effect from 10 October 2022

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.

Simulation start: 26 August 2022
Production start: 10 October 2022

2.  Action required

There is no action required for participation.

3.  Details

A.  Product overview

Please refer to Attachment 1 for the products.

B.  Contract specifications and product parameters

For general product parameters, please find an overview in table format in Attachment 1. 

For the detailed Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland (Contract Specifications), please see Attachment 2.

The full version of the updated Contract Specifications will be published on the Eurex website as of start of trading under:

Rules & Regs > Eurex Rules & Regulations > 03. Contract Specifications

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

The new products will be admitted to the Eurex T7 Entry Services (TES). Please refer to the Contract Specifications in Attachment 2 for the minimum block trade sizes on product level.

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

D.  Simulation

The cash-settled FX Futures on the currency pairs Mexican Peso - US Dollar (FCMU), South African Rand - Euro (FCZE) and Brazilian Real - US Dollar (FCBU) will be available in the simulation environment as of 26 August 2022.

E.  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

where you will also find an updated list with details regarding Prisma-eligible Eurex products. 

F.  Excessive System Usage Fee and Order to Trade Ratio

The Excessive System Usage Fee and the Order to Trade Ratio were determined in line with the existing Equity Index Derivatives. For further information, please refer to the Eurex website under the following links:

Markets > FX

or

Rules & Regs > Excessive System Usage Fee
Rules & Regs > Order to Trade Ratio

G.  Mistrade parameters 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 links:

Markets > FX

or 

Markets > Product Overview

H.  Transaction fees

The transaction fees listed in Attachment 1 will apply. For details, please refer to the current Price List of Eurex Clearing AG, available on the Eurex website under the following link:

Rules & Regs > Eurex Rules & Regulations > Price List

I.  Vendor codes

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

Markets > Product Overview > Vendor Codes

J.  Liquidity Provisioning

A new Product Specific Supplement (PSS) - Foreign Exchange 04 - Cash Settled FX Futures will be introduced. 

Please refer to Attachment 3 for the details regarding Liquidity Provisioning. 
 

Attachments:

1. Details regarding product overview, contract specifications, trading hours, product group, Eurex T7 Entry Services, transaction fees
2. Updated sections of the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland
3. Details of the newly introduced “Product Specific Supplement - Foreign Exchange 04 - Cash Settled FX Futures”
4. Amendments to the “Product Specific Supplement - Foreign Exchange 01 - FX Futures and Rolling Spot Futures”

Further information