Index Total Return Futures: Introduction of calendar strategies

1.    Introduction

Effective 26 September 2022, calendar strategies will be available for Index Total Return Futures (“Index TRFs”) on the following products:

• EURO STOXX 50^® (TESX) 
• EURO STOXX^® Banks (TESB)
• EURO STOXX^® Select Dividend 30 (TEDV)
• FTSE^® 100 (TTUK)
• iSTOXX^® Europe Collateral Indices (TCBX, TC1L)

This circular contains all information on the handling of the calendar strategies for the Index TRFs.

Implementation date in production: 26 September 2022

2.    Required action

Trading Participants are recommended to pay close attention to the information provided in this circular and analyze the potential impact in their own technical systems. Therefore, it might be necessary for Trading Participants to update their internal processes and technical interfaces to adapt for this change.

3.    Details 

The handling in the T7 trading system will be the following: 

• The strategies with Index TRFs will be available via the Eurex Trade Entry Services (TES) only. Orderbook trading will not be available.
• Calendar spread strategies will have two legs, where the expiry of the first leg will need to have an earlier expiry than the expiry of the second leg (e.g. Buy DEC23 and Sell DEC27). 
• The market side of the calendar spread strategies will be defined as follows:

o    BUY strategy is equivalent to “Buy Expiry of first Leg and Sell Expiry of second Leg”
o    SELL strategy is equivalent to “Sell Expiry of first Leg and Buy Expiry of second Leg”

Example: Buy TESX DEC23 and Sell TESX DEC27, where:

o    Buy Calendar Spread strategy is equivalent to “Buy TESX DEC23 and Sell TESX DEC27”
o    Sell Calendar Spread strategy is equivalent to “Sell TESX DEC23 and Buy TESX DEC27”

• Calendar strategies will be defined by the trader and be active for the day after which they will be automatically deleted by the system.
• The ratio for the strategy will be 1-to-1 (i.e. each leg will have the same number of contracts).
• Each individual leg of the strategy will need to be entered by the trader with its own price (TRF spread) expressed in basis points, while the Eurex T7 trading system will calculate the corresponding price in clearing notation in index points.
• Both legs of a calendar strategy will have the same trade type (i.e. either only Trade-at-Close (TAC) or only Trade-at-Market (TAM)). For TAM trades a single custom underlying index level can be entered that will be applied to both legs of the calendar spread.
• Each individual leg of the strategy will need to comply with the minimum number of contracts requirement (MBTS) applicable to the respective Index TRF.  

Calendar strategies are currently available for testing in the simulation environment.
 

Further information