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Exchange for Swaps

Exchange for Swaps

 

Interest rate derivatives

The Exchange for Swaps (EFS) Service is available for the following combinations of Eurex interest rate futures and off-book interest rate swaps as well as off-book interest rate swaptions:

Futures Leg

Contract Product ID
Euro-Schatz FuturesFGBS
Euro-Bobl FuturesFGBM
Euro-Bund FuturesFGBL
Euro-Buxl® FuturesFGBX
Short-Term Euro-BTP FuturesFBTS
Mid-Term Euro-BTP FuturesFBTM
Long-Term Euro-BTP FuturesFBTP
Mid-Term Euro-OAT FuturesFOAM
Euro-OAT FuturesFOAT
Euro-BONO FuturesFBON
CONF FuturesCONF
EONIA FuturesFEO1
Three-Month EURIBOR FuturesFEU3
EUR Secured Funding FuturesFLIC
Euro-Swap FuturesFSWS, FSWM,
FSWL, FSWX


Cash Leg
EFS for fixed income
Cash transactions in EFS Trades must have the following characteristics:

  • Off-book interest rate swap or swaption
  • Agreement under the terms of an ISDA Master Agreement or any similar framework agreements

EFS for credit
Cash transactions in EFS trades must have the following characteristics:

  • An Credit Default Swap (CDS) on an iTraxx® index or a single reference entity
  • Agreement under the terms of an ISDA Master Agreement that incorporates by reference the definitions and provisions contained in the 2003 ISDA Credit Derivatives Definitions as supplemented by the May 2003 Supplement to the 2003 ISDA Credit Derivatives Definitions
  • Regular periodic premium payments against certain payment obligations by the premium receiver on the bankruptcy or other defined credit event of the reference entity or entities underlying the contract
  • All swap payments must be denominated in a currency of the OECD Member States
  • EFS for inflation
  • All versions of inflation swaps can be cash transactions within EFS Trades and must have the following characteristics:
  • Agreement under the terms of an ISDA Master Agreement or any similar framework agreements
  • All swap payments must be denominated in a currency of the OECD Member States
  • Clearing of Exchange for Swaps
  • EFS Trades are supported by Eurex Clearing for clearing and settlement.
  • The EFS Service allows Eurex Trading Participants to clear futures positions resulting from EFS Trades through Eurex Clearing
  • The EFS Service is not used to conclude cash transactions (see Cash Leg)
  • Fixed income and Euro-Swap Futures positions resulting from EFS Trades are administered as normal exchange positions by the Eurex system and may be closed through the regular market

Equity Index Futures

The Exchange for Swaps (EFS) Service is available for the following combinations of Eurex equity index futures and off-book equity index swaps:

Futures Leg

Contract Product ID
EURO STOXX 50® Index FuturesFESX
EURO STOXX 50® Index Quanto FuturesFESQ
EURO STOXX® Select Dividend 30 Index FuturesFEDV
EURO STOXX® Index FuturesFXXE
EURO STOXX® Large/Mid/Small Index FuturesFLCE/FMCE/FSCE
STOXX® Europe 50 Index FuturesFSTX
STOXX® Global Select Dividend 100 Index FuturesFGDV
STOXX® Europe 600 Index FuturesFXXP
STOXX® Large/Mid/Small Europe 200 Index FuturesFLCP/FMCP/FSCP
EURO STOXX® Sector Index Futures 
STOXX® Europe 600 Sector Index Futures 
DJ Sector Titans IndexSM Futures 
DJ Global Titans 50 IndexSM Futures (EUR/USD)FGTI/FT50
DAX® FuturesFDAX
Mini-DAX® FuturesFDXM
DivDAX® FuturesFDIV
MDAX® FuturesF2MX
TecDAX® FuturesFTDX
SMI® FuturesFSMI
SMIM® FuturesFSMM
SLI® FuturesFSLI
ATX® FuturesFATX
CECE® EUR Index FuturesFCEE
OMXH25 FuturesFFOX
RDX® USD FuturesFRDX
MSCI Index Futures
SENSEX FuturesFSEN
TA-25 Index FuturesFT25

 

Cash Leg
Cash transactions in EFS Trades for equity indexes are equity index swaps with the following characteristics:

  • The share basket reflected via the swap shall be composed of at least ten different index components or a number of shares which represent at least half of the equity index underlying the futures contract
  • The market value of the part of the share basket reflected via the swap whose values are part of the equity index underlying the futures contract shall be at minimum 20 percent of the market value of the entire cash transaction
  • All single shares in the share basket reflected via the swap shall be part of the STOXX® Europe TMI Index, the Dow Jones Global Titans 50 IndexSM, the Dow Jones Sector Titans IndexesSM, the MSCI World Index, the MSCI Emerging Markets Index, the MSCI Frontier Markets Index, the ATX®, the CECE® EUR Index, the RDX® USD, the TA-25 Index or the SENSEX
  • Written under the terms of an ISDA Master Agreement
  • All swap payments must be denominated in a currency of the OECD Member States

Clearing of Exchange for Swaps
EFS Trades are supported by Eurex Clearing for clearing and settlement.

  • The EFS Service allows Eurex Trading Participants to clear futures positions resulting from EFS Trades through Eurex Clearing
  • The EFS Service is not used to conclude cash transactions (see Cash Leg)
  • Equity index futures positions resulting from EFS Trades are administered as normal exchange positions by the Eurex system and may be closed through the regular market

 
 
 
 

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