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1. Introduction
The Management Board of Eurex Deutschland took the following decision with effect from Tuesday, 28 May 2024:
The amendments concern the Settlement Days parameters used in the calculation of Days to Maturity and Funding Days and reflect the transition to T+1 settlement of the majority of the underlying securities in MSCI World Index Total Return Futures (TRF) (TMWO).
All other Index Total Return Futures Contracts denominated in EUR, GBP and USD, including other MSCI Index Total Return Futures, are not impacted and will retain calculations based on T+2 settlement.
Detailed changes to the Contract Specifications are included in the Attachment.
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.
Production start: Tuesday, 28 May 2024
2. Required action
Participants should analyze the impact of the above changes.
3. Details
The U.S. Securities and Exchange Commission (SEC) adopted rule amendments to shorten the standard settlement for U.S. equities from T+2 to T+1 with an implementation date of 28 May 2024. Canada will similarly adopt this change.
The MSCI World Index has a majority weighting of North American equities constituents, therefore Eurex will apply the reduction of the number of settlement days used for calculations for MSCI World Index TRF (TMWO) to correspond with this change on 28 May 2024 and going forward.
The following will apply on Tuesday, 28 May 2024 for MSCI World Index TRF (TMWO) due to this transition:
The MSCI Emerging Markets Index TRF (TMEM) and MSCI EMEA Index TRF (TMFA) will retain calculation based on the T+2 settlement.
More information on Eurex MSCI Index TRF products is available on the Eurex website www.eurex.com under the following link: Markets > Index Total Return Futures.
Please refer to the Attachment for the amendments to the Contract Specifications.
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:
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: | Stuart Heath, Equity & Index Product Design, tel. +44-207-862-72 53, stuart.heath@eurex.com; Elena Marchidann, Equity & Index Product Design, tel. +44-207-862-72 65, elena.marchidann@eurex.com; | |
Web: | www.eurex.com | |
Authorized by: | Randolf Roth |
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