The Management Board of Eurex Deutschland took the following decision with effect from 4 September 2023:
The Executive Board of Eurex Frankfurt AG took the following decision with effect from 4 September 2023:
Production start: 4 September 2023
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.
2. Required action
For trading the new products, Trading Participants are required to be assigned the clearing capacity “Physical ETFs USD”. There is no action required from Trading Participants who are already participating in options on USD-denominated ETFs.
If there are any further questions, please get in touch with your Key Account Manager or via e-mail to: firstname.lastname@example.org.
Introduction of options on mid- and short-duration US Treasury UCITS ETFs
With the launch of options on mid- and short-duration US Treasury UCITS ETFs, Eurex Deutschland aims to expand the range of its Fixed Income ETF derivatives to help European investors manage their exposure to US Treasuries.
The products in scope for the launch are options on the iShares USD Treasury Bond 7-10 Year UCITS ETF (ODTM) and options on the iShares USD Treasury Bond 1-3 Year UCITS ETF (ODBT). These options will give market participants a valuable investment vehicle to trade various points on the US treasury curve.
The versatile nature of these options will enable investors to take long or short positions in puts and calls, and hence either hedge US duration risk held in their investments, overlay their existing holdings in the underlying ETFs with options strategies or take additional exposure via an ETF-linked product which broadly represents this tenor on the US treasury curve.
A. Contract specifications and product parameters
Contract Specifications for the Options on mid- and short-duration US Treasury UCITS ETFs follow the contract standards of existing Options on 20yr+ US Treasury UCITS ETFs in terms of trading hours and trading calendar, last trading day, settlement and determination of the daily and final settlement prices.
For the detailed Contract Specifications, please see Attachment 1.
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:
B. 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:
C. Risk parameters
As of start of trading, risk parameters of the new products will be published on the Eurex website under the link:
and on the Eurex Clearing website www.eurex.com/ec-en/ under the following link:
You will also find an updated list with details regarding Prisma-eligible Eurex products under this path.
D. Excessive System Usage Fee and Order to Trade Ratio
The Excessive System Usage Fee and the Order to Trade Ratio for the new products are determined in line with the existing products (FINX). For detailed information, please refer to the Eurex website under the following links:
E. 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 link:
F. Transaction fees
The new options on mid- and short-duration US Treasury UCITS ETFs will be subject to the following transaction fees:
For details, please refer to the Price List of Eurex Clearing AG on the Eurex Clearing website www.eurex.com/ec-en/ under the link:
G. Vendor codes
As of start of trading, vendor codes for the new products will be published on the Eurex website under the link:
Inclusion of the new products in the existing Liquidity Provider scheme
To support the launch of the options on short- and mid-duration US Treasury UCITS ETFs, they will be included in the Product Specific Supplement (PSS) “Equity 04 – ETF Options” with effect from start of trading on 4 September 2023.
Please note the new quotation requirements in aforementioned PSS in Attachment 2.
Market participants will be entitled to receive monetary incentives in the form of fee rebates and net revenue sharing upon fulfilling the orderbook quoting requirements specified in the PSS in Attachment 2.
The new quotation requirements will be valid from 4 September 2023 until 31 December 2023.
The PSS will also be provided as single PDF file on the Eurex website under the following path:
All Trading Participants of Eurex Deutschland and Vendors
Front Office/Trading, Middle + Backoffice, IT/System Administration, Auditing/Security Coordination
email@example.com, firstname.lastname@example.org, email@example.com
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