MSCI Derivatives: Introduction of additional Factor Futures, Introduction of weekly options, Changes regarding flexible contracts

1. Introduction

The Management Board of Eurex Deutschland took the following decisions with effect from 7 September 2026:

• Introduction of Futures on further MSCI Factor Indices pursuant to the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland (Attachments 2 and 3),
• The extension of the maturities of some MSCI options by weekly expirations (weekly options) in accordance with the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland (Attachments 1 to 3) 
• Adjustments to Flex contract namings and year-end Flex expirations

The Executive Board of Eurex Frankfurt AG took the following decision with effect from 7 September 2026:

• Amendment of the existing Liquidity Provider scheme “Equity Index 01 - Futures on MSCI Indices” regarding the new products admitted to trading (Attachment 4).

To implement the above decisions of Eurex Deutschland, the Contract Specifications will be amended with effect from 7 September 2026, as outlined in Attachments 2 and 3.

This circular contains all information on the introduction of the new products, the updated sections of the relevant Rules and Regulations of Eurex Deutschland, as well as the adjusted Liquidity Provider scheme.

Production start: 7 September 2026

2. Required action

There is no action required for participation.

Information regarding Section 871(m) IRC

a.) Information on Section 871(m) IRC – Products Potentially in Scope (Capacity Groups: Cash Section 871(m) USD and Cash Section 871(m) USD – CFTC)

Clearing Member/s need to be documented with a valid W8-IMY U.S. form confirming the status as “Qualified Intermediary (QI)” and assuming primary withholding responsibilities and/or “Qualified Derivatives Dealer (QDD)” assuming primary withholding responsibilities in front of Eurex Clearing AG. Clearing Member/s, not providing such documentation are unable to clear such potentially in-scope products for Section 871(m) IRC derivatives transactions.

Further, the Clearing Member/s clearing derivatives transactions in products potentially in-scope for sec.871(m) IRC need to provide Eurex Clearing AG with the reportable data in-scope for Section 871(m) IRC derivatives transactions covering the respective tax reporting period. (Please refer to the published Eurex Clearing Circular 046/24 published 11 July 2024, and the information in the Clearing Conditions. 

b.) Information on Section 871(m) IRC – Current Assessment (No Current Section 871(m) Relevance) (Capacity Group: Cash USD – CFTC)

Certain derivatives (e.g. Single Stock Options, Single Stock Futures, or products referencing U.S. equity indices) may, in principle, fall within the scope of Section 871(m) IRC. However, based on the current product characteristics and the information available at the time of assessment, such instruments do not currently give rise to dividend-equivalent payments or otherwise qualify as transactions subject to Section 871(m) IRC. Consequently, they are currently not subject to withholding tax or reporting obligations under Section 871(m) IRC.

Accordingly, no additional documentation or eligibility requirements apply at this stage.

Clearing Members should note that this assessment is based on the facts and circumstances existing at the time of review and may change in the future. A reassessment may become necessary, for example, due to changes in dividend distributions, product features, index composition, constituent weightings, the availability of a Qualified Index Exemption, applicable IRS guidance, or other relevant regulatory or factual developments. As a result, an instrument that is currently considered outside the scope of Section 871(m) IRC may become subject to the relevant withholding tax, documentation, and reporting requirements at a later stage.

Clearing Members are advised that, in the event of a product reassignment or reclassification to a different clearing capacity, existing product assignment settings are not automatically transferred. Product assignments and de-assignments must therefore be reviewed and, where required, newly configured by the relevant Clearing Member for the respective clearing capacity and trading client(s).

Clearing Members remain responsible for ensuring compliance with any applicable U.S. tax, withholding, documentation, and reporting requirements, including those arising under Section 871(m) IRC where applicable.

This information is provided for guidance purposes only and reflects Eurex Clearing AG’s current assessment. It does not constitute tax or legal advice and is subject to change, in particular in the event of changes to the underlying facts, product characteristics, applicable law, or regulatory guidance. Clearing Members remain responsible for their own assessment and compliance with any applicable tax obligations.

3. Details
 
A. Product overview

Please refer to Attachment 1 for the products.

B. Contract specifications and product parameters

For the detailed contract specifications, please see Attachments 2 and 3.

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: 03. Contract Specifications.

C. 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 in Attachment 2.

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: T7 Entry Service parameters.

D. Risk parameters

As of start of trading, risk parameters of the new products will be published on the Eurex website under the link: Risk parameters and initial margins.

and on the Eurex Clearing website www.eurex.com/ec-en/ under the following path: Risk parameters.

You will also find an updated list with details regarding Prisma-eligible Eurex products under this path. 

E. 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. For detailed information, please refer to the Eurex website under the following links: Excessive System Usage Fee, Order to Trade Ratio.

F. 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: Product Overview.

G. Transaction fees

For the transaction fees for the new products, please refer to the Price List of Eurex Clearing AG on the Eurex Clearing website www.eurex.com/ec-en/ under the link: 3. Price List.

H. Vendor codes

At start of trading, vendor codes for the new products will be published on the Eurex website under the link: Vendor Codes.

I. Liquidity Provisioning

Please refer to the attached Product Specific Supplement (Attachment 4) for details. An overview of Market-Making and Liquidity Provisioning at Eurex can be found on the Eurex website under the following link: Market-Making and Liquidity provisioning.

J. Changes regarding Flexible contracts

In the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland, Flexible Contracts were originally introduced under the naming "additional contract versions". This terminology is now being revised and harmonized with the naming convention used in the Clearing Conditions of Eurex Clearing AG.

In addition, an exception is being defined for Flexible Contracts in MSCI and STOXX Global Select Dividend 100 Index Options: Since 31 December is not a trading day at Eurex, whereas it is a trading day in other international markets, there is demand for options that are settled based on the respective index closing level at year-end (31 December). Therefore, Flexible Options on these indices that expire on the first Eurex trading day of the following year will now be settled using the last index closing level of the year, rather than the index closing level on the last Eurex trading day of the year.

Attachments:

1 – Product overview
2 – Updated sections of the Contract Specifications for Futures Contracts and Options Contracts
at Eurex Deutschland
3 – Updated sections of the Annexes to the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland
4 – Product Specific Supplement (PSS) for Equity Index 01 - Futures on MSCI Indices 

Further information