17 Oct 2022

Eurex

MSCI Index derivatives: Introduction of additional products and amendments in the Liquidity Provider Schemes

Eurex Circular 096/22 MSCI Index derivatives: Introduction of additional products and amendments in the Liquidity Provider Schemes

1.  Introduction

The Management Board of Eurex Deutschland took the following decisions:

a.    Introduction of Futures on seven MSCI Indices (MSCI World Factor Futures) and Options on four MSCI Indices (MSCI ESG Screened Options), effective as of 7 November 2022

b.    Delisting of Futures and Options on the MSCI China Free Index

c.    Adjustment of the existing Liquidity Provider Schemes with regard to the new and delisted products (as of 1 December 2022) 

d.    Adjustment of the calendar quoting in the existing Liquidity Provider Schemes (as of 1 December 2022)

Production start of the new products: 7 November 2022

2.  Action required

There is no action required for participation.

3.  Details of the initiative

A.  Product overview

Please refer to Attachment 1 for an overview of the new and products to be deleted.

B.  Contract specifications 

Attachment 1 contains an overview in table format. For the detailed contract specifications please see Attachment 2.

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 > 03. 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 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 group for the new products is contained in Attachment 1.

F. Liquidity Provider Schemes

As of 1 December 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) (Attachments 3 and 4) for the detailed incentives of the scheme, quote parameters and all further information.

At the same time, some amendments will be made in Section 5c of Attachment 3 (Quotation of calendar spread contracts). The list of available products will be extended by the products FMEU, FMWO and FMWN. In addition, some quote sizes will be reduced.

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 have been defined according to the existing equity index derivatives. Further information can be found on the Eurex website under the following links:

Markets > Equity Index
Rules & Regs > Excessive System Usage Fee
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 for the new MSCI derivatives. For details, please refer to the Price List of Eurex Clearing AG available for download on the Eurex Clearing website www.eurex.com/ec-en/ under this link:

Rules & Regs > Eurex Clearing Rules & Regulations > 3. Price List

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

The new products will be admitted to the Eurex T7 Entry Services (TES). You can find the minimum block trade sizes on product level in the attached Contract Specifications.

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 MSCI derivatives 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 path:

Services > Risk parameters

you will also find an updated list 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

Recipients:

All Trading Participants of Eurex Deutschland and Vendors

Target groups:

Front Office/Trading, Middle + Backoffice, IT/System Administration, Auditing/Security Coordination

Contact:

Rachna Mathur, Equity & Index Sales, tel. +1 212 309 93 08, rachna.mathur@eurex.com;
Ralf Huesmann, Equity & Index Product Design, tel. +49-69-211-1 54 43, ralf.huesmann@eurex.com

Web:

www.eurex.com

Authorized by:

Randolf Roth


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