Money Market Derivatives: Introduction of Synthetic Matching in Pack and Bundle strategies and amendment of the Synthetic Path Priority

1. Introduction

Following the switch of the order allocation scheme to time pro-rata in the STIR market, as announced with Eurex Circular 014/26, Eurex plans to further enhance matching capabilities for Money Market Index Futures by introducing synthetic matching for Pack and Bundle strategies and by changing in general the matching priority of synthetic combinations having the same execution price compared to price-best orders directly opposing the incoming order.

The Management Board of Eurex Deutschland took the following decision with effect from 27 July 2026:

• Amendment of the Annexes to the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland pursuant to the Attachment

Simulation start: already activated

Production start: 27 July 2026

Learn now more about T7 Release 14.1 on our dedicated initiative page under the following link: T7 Release 14.1. System documentation, circulars, timeline and much more information will be available there for you.

2. Required action

Trading Participants active in the STIR market are encouraged to get familiar with the additional matching capabilities for Money Market Index Futures and test different scenarios in the simulation environment.

Trading Participants are recommended to check their open orders and quotes in Money Market Index Derivatives with the start of trading on 27 July 2026 and are also recommended to pay close attention to the information included in this circular and analyze the potential impact on their own technical systems.

Therefore, it might be necessary for Trading Participants to update their internal processes and technical interfaces to adapt to this change. 

3. Details of the initiative

A. Synthetic Matching in Pack and Bundle strategies

To improve the liquidity picture in Packs and Bundles, the concept of synthetic Packs and Bundles (“bundle synthetics”) was introduced with T7 Release 14.1. As a result, synthetic prices and quantities will be available for Packs and Bundles provided the corresponding outright contracts do contain liquidity.

The new bundle synthetics is complementing the currently existing Calendar Spread synthetics, Inter-Product spread synthetics, and Butterfly and Condor synthetics. All the mentioned strategies are available in the STIR futures market, namely in Euribor futures (Product ID: FEU3), Euro-STR futures (Product ID: FST3), and SARON Futures (Product ID: FSR3). Pack and Bundle strategies enable to trade four or more consecutive quarterly expirations covering an accrued interest rate period of one or several years. For those strategies, average pricing notation is enabled.

A Pack instrument is defined by 𝑃𝑎𝑐𝑘(𝐴1,𝐴2,𝐴3,𝐴4) with expiration dates satisfying the relation 𝐴1<𝐴2<𝐴3<𝐴4 where all legs are bought with a leg ratio of 1 in case of a 𝑏𝑢𝑦 𝑃𝑎𝑐𝑘(𝐴1,𝐴2,𝐴3,𝐴4) and all legs are sold with a leg ratio of 1 in case of a 𝑠𝑒𝑙𝑙 𝑃𝑎𝑐𝑘(𝐴1,𝐴2,𝐴3,𝐴4). A 𝑛-year Bundle instrument is defined by 𝐵𝑛𝑑𝑙𝑛(𝐴1,𝐴2,…,𝐴4𝑛−1,𝐴𝑛) where 4𝑛 consecutive quarterly expirations cover an accrued interest rate period of 𝑛 years. Here again, buying (selling) a 𝑛-year Bundle instrument means that all Bundle legs are bought (sold) with a leg ratio of 1. To include Packs in the Bundle synthetics it will be referred to as a 1-year Bundle with 𝑛=1.

With the activation of bundle synthetics, Eurex will only consider Pack or 2-year Bundle instruments, meaning, Bundle instruments longer than two years will not be considered for matching.

To keep the Bundle synthetics as simple as possible, the concept will consider one synthetic match path for a given buy (sell) side of a Pack or Bundle instrument which is the path containing all buy (sell) sides of simple instruments that are the leg instruments of the involved Pack or Bundle instrument. Price and/or quantity information of such synthetically created Packs and Bundles are published via market data interfaces and considered for matching against an incoming buy (sell) Pack or Bundle order on the opposite order book side (implied-in). Additionally, a synthetic match path is considered for a buy (sell) side of a simple instrument which is given by a synthetic combination of a buy (sell) side of a pack or bundle instrument and all remaining opposing sell (buy) sides of simple instruments balancing the leg instruments of the corresponding pack or bundle. Price and/or quantity information of such synthetically created simple instruments containing a Pack or Bundle are considered for matching against an incoming simple instrument order on the opposite order book side (implied-out). For further information, please refer to the Final Release Notes for T7 Release 14.1, chapter 2.

B. Change of Path Priority to Pro-Rata Sharing

In the T7 Trading Platform, the path priority governs the priority of synthetic combinations resulting in the same order book side and having the same best price as the direct orderbook side for matching against an incoming order.

Eurex will switch the path priority for all Money Market Index Futures to pro-rata priority which means that direct and synthetic paths having the same price are considered for matching against the incoming order in accordance with their quantity percentage.

In more detail, the matching algorithm at Eurex considers a 3-level basic matching priority structure based on price, synthetic path, and order priority. Following the price priority which naturally prioritizes book orders by their price, path priority governs the priority of different synthetic combinations resulting to the same order book side having the same price and, hence, is only applicable in futures markets supporting synthetic matching. The direct order book side is included by path priority. The priority of orders contributing to the best price level of an order book side is governed by the order allocation scheme determining how many lots of an individual price best order is considered for matching. The order allocation scheme can be configured independently from the path priority.

For the matching priority of several synthetic combinations (paths) representing the same order book side and having the same price, the different available instrument types involved in synthetic combinations play a role, so that

1. Synthetic combinations of calendar spreads and simple instruments have a higher priority than
2. Synthetic combinations of butterfly/condor and simple instruments or calendar spreads which have a higher priority than
3. Synthetic combinations of packs/bundles and simple instruments

Furthermore, synthetic paths of the same instrument type combination with an earlier expiration have a higher priority than synthetic paths of the same instrument type combination with a later expiration.

To govern the matching priority between direct orderbook side and one or several synthetic combinations representing the same direct order book side and having the same best price of execution against an incoming order, Eurex supports three different path priority rules:

• Direct Path First:
  • Direct Path (opposite order book side of incoming order) is preferred over synthetic paths
  • Currently enabled in all futures markets supporting synthetic matching
• Synthetic Path First:
  • Synthetic paths in compliance with priority outlined before are preferred over direct path
• Pro-Rata Sharing:
  • Direct path and synthetic paths are considered for matching against the incoming order in accordance with their quantity percentage
  • To be enabled for all instrument type combinations in STIR futures market

By switching to Pro-Rata Sharing for price-best paths competing for execution against an incoming order, the likelihood that an incoming order is matched against a synthetic combination is increased. Consequently, the matching of the incoming order is triggering additional matches outside the direct orderbook resulting to increased traded volume in order book sides used in corresponding synthetic combinations.

The change follows the switch of the order allocation scheme to time pro-rata which has been performed earlier in March this year for all Money Market Index Futures and applies similarly in particular to Futures contracts on Euribor (Product ID: FEU3), Euro-STR (Product ID: FST3), ECB Dated Euro-STR (Product ID: FEMP), and 3M SARON (Product ID: FSR3).

Attachment:

• Amended sections of Annex E to the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland

Further information