14 Nov 2022

Eurex

Euro-Fixed Income Futures Contracts: Introduction of a minimum day rule on debt securities of the Federal Republic of Germany, the Republic of Italy, the Republic of France, and the Kingdom of Spain

Eurex Circular 110/22 Euro-Fixed Income Futures Contracts: Introduction of a minimum day rule on debt securities of the Federal Republic of Germany, the Republic of Italy, the Republic of France, and the Kingdom of Spain

1.    Introduction

The Management Board of Eurex Deutschland took the following decision with effect from 1 December 2022:

  • Amendment of the Contract Specifications for Futures Contracts and Options Contacts at Eurex Deutschland (Contract Specifications)

Production start: 1 December 2022

2.    Required action

Eurex invites all Trading Participants to familiarize themselves and their clients with the adjusted obligations for performance for the delivery of Euro-Fixed Income Futures.

3.    Details

With volatility in rates returning, and yields starting to converge to the notional coupon, Fixed Income Futures have been witnessing abrupt shifts in “Cheapest to Deliver” (CTD) bonds whereby newly issued bonds can become CTD very close to expiry of the contracts. The change will help to support certainty of CTDs and price stability.

The qualification of the bonds in the delivery basket changes as follows:

Debt securities for all EUR-denominated Fixed Income Futures on debt securities of the Federal Republic of Germany, the Republic of Italy, the Republic of France, and the Kingdom of Spain which qualify by term and issuance volume will have to be issued prior to the first calendar day of the previous delivery month expiration cycle to be considered for delivery in the current due month. This change applies for first effective contract expiration June 2023. 

Example

Last trading day of June 2023 contract is 8 June 2023, delivery 12 June 2023

First calendar day of the previous expiration month cycle: 1 March 2023

If a bond, qualifying by term and issuance volume, is issued before 1 March 2023, this bond will be deliverable into the June 2023 contract onwards.

If issued on or after 1 March 2023, the new bond will not be deliverable into the June 2023 contract, but could however be deliverable into contracts expiring later, if all other criteria are fulfilled.

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

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

Attachment:

  • Updated sections of the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland

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:

Product R&D Fixed Income, Maesa Beany, tel. +44 207 862 7235, maesa.beany@eurex.com
Product R&D Fixed Income, Jutta Frey-Hartenberger, tel. +49-69-211-1 49 88, jutta.frey-hartenberger@eurex.com
Fixed Income Sales, Vassily Pascalis, tel. +44-207 862 7211, vassily.pascalis@eurex.com

Web:

www.eurex.com

Authorized by:

Michael Peters


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