Eurex
1. Introduction
The Management Board of Eurex Deutschland took the following decisions with effect from 2 October 2023:
Production start: 2 October 2023
This circular contains information on the changes of the products and the updated sections of the relevant Rules and Regulations of Eurex Deutschland for the re-classification of the products from Money Market Derivatives to Money Market Index Derivatives.
2. Required action
For the trading of the Money Market Index Derivatives, the clearing capacity "Cash EUR - CFTC" must be allocated to the Trading Participants. For Trading Participants who already participate in the existing Money Market Derivatives, no action is required.
3. Details of the initiative
A. Re-classification of Money Market Derivatives as Money Market Index Derivatives
With the expansion of the existing Eurex Partnership Program to include the Money Market segment, as announced in Eurex Circular 053/23, Eurex Deutschland plans to harmonize the current existing
with the current market convention and, accordingly, to re-classify the products as Money Market Index Derivatives, where the Money Market Index is calculated as 100 minus the numeric value of the published reference interest rate.
The value of a contract shall be defined as EUR 2,500 per index point for Futures contracts on the Three-Month Euribor (Product ID: FEU3) as well as the Three-Month Euro-STR Futures (Product ID: FST3) or CHF 2,500 per index point for Futures contracts on the 3M SARON® Futures (Product ID: FSR3).
The smallest price change (tick) for the products is 0.0025 index points (0.005 index points for 3M SARON® Future). This corresponds to 1/4 of a basis point per annum (1/2 of a basis point for 3M SARON® Future) with a value of EUR 6.25 (CHF 12.50 for 3M SARON® Future).
Open positions remain unaffected as these changes have no economic impact on the existing contracts.
B. Additional change of contract specifications for options
For the options on futures contracts on the Three-Month Euribor (Product ID: OEU3) as well as for the corresponding Euribor Mid-Curve Options (Product IDs: OEM1-4), the minimum block trade size will be reduced from 1.025 contracts to 100 contracts. The Price Gradation will be changed to match market conventions, so that the smallest price change will change from 0.0050 to 0.0025 index points with a value of EUR 6.25.
For the detailed amendments to the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland, please see the Attachments.
Attachments:
Further information
Recipients: | All Trading Participants of Eurex Deutschland and vendors | |
Target groups: | Front Office/Trading, Middle + Backoffice, IT/System Administration, Auditing/Security Coordination | |
Related circular: | Eurex Circular 053/23 | |
Contact: | client.services@eurex.com | |
Web: | www.eurex.com | |
Authorized by: | Michael Peters |
Market Status ⓘ
XEUR
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