MSCI Futures: Reduction of the smallest price change (tick) for futures calendar spreads; Amendment of the „Product Specific Supplement for Futures on MSCI Indices“ for Liquidity Providers

1. Introduction

The Management Board of Eurex Deutschland decided to reduce the smallest price change (tick) for standardised futures strategies (futures calendar spreads) for a total of ten different MSCI Futures.

Start of Eurex simulation: 1 August 2019 (for product FMEU)
Start of Eurex production: 19 August 2019

In addition, as of 1 September 2019, the quotation requirements for Liquidity Providers in MSCI Futures shall be amended. The detailed changes can be found in the „Product Specific Supplement for Futures on MSCI Indices“ (PSS) in Attachment 3. 

The reduction of the tick size in futures calendar spreads will increase the price transparency in the quarterly roll and should lead to a better tradability via the order book. 

The amendment of the Product Specific Supplement aims at the same goal by asking the Liquidity Providers to quote the calendar roll of additional MSCI Futures and by increasing the quotation requirements. Additionally, a new Liquidity programme will be introduced with the purpose of improving the order book depth of the MSCI Futures. This scheme is targeted primarily at the banks.

The new quotation requirements as well as the additional scheme will be effective from  1 September 2019 until 31 December 2019.

This circular contains all information on the adjustment of the products, the adjusted Product Specific Supplement related to the Liquidity Provider scheme and the updated sections of the relevant Rules and Regulations of Eurex Deutschland.

2. Required actions

A. Reduction of tick size for futures calendar spreads
All Trading Participants of Eurex Deutschland and vendors are affected by the change in tick size and should consider the new tick size in their trading activities. 

B. Amendment of PSS for MSCI Futures
The amendment of the „Product Specific Supplement for Futures on MSCI Indices“ is relevant in particular for current Liquidity Providers or those Participants interested in becoming a Liquidity Provider.
 

3. Details of the initiatives

A. Reduction of tick size for futures calendar spreads
Effective 19 August 2019, the tick in futures calendar spreads of the products shown in Attachment 1 will be changed. Accordingly, the value that represents a tick will be reduced. In the outright contracts (simple instruments), the minimum price change will remain unchanged.

Please see the table in Attachment 1 for an overview of the contracts and their ticks.

At the same time, with the change of the calendar spread tick, the outright and calendar spread order books will be decoupled. Thereby, the synthetic matching in the outright order book with implied prices in the calendar spread book will no longer be supported by the trading system. This means that the combinations of best price orders and quotes stored in different order books (“synthetic path“) and the price determined from such a combination of order book pages (“synthetic price“) as well as path priorities for the aforementioned MSCI futures will no longer be supported. 

Please note that in those products, where the old tick size is not a multiple of the new tick size (this is the case in the products FMEU and FMWN), the orders in the calendar spread order book will be deleted in the evening before the change is implemented.

Technical distribution of the product and instrument configuration
The price granularity is distributed via the instrument snapshot in RDI (Reference Data Interface). The respective instrument attributes are “InstrumentPricePrecision”, “MinPriceIncrement” and “MinPriceIncrementAmount”.

Please note that all MSCI Futures already have a separate, smaller tick size of 0.001 in the Eurex T7 Entry Services (TES), as announced via Eurex circular 083/18.

The valid limit order price granularity for different instrument types and trade types can be found in the product snapshot in the field “TickRules”. 

As a reference for the change of tick size in calendar spread instruments, the products FESB or FXXP can be used in the production environment or FMEU in the simulation environment. 

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.eurexchange.com as of start of trading under:

Resources > Rules and Regulations > Contract specifications

B. Amendment of PSS for MSCI Futures
Please refer to Attachment 3 for the detailed changes in quotation requirements, as well as new Liquidity programme for futures on MSCI indices.

Attachments:

• Attachment 1 – Overview of the contracts and their ticks 
• Attachment 2 – Updated sections of the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland
• Attachment 3 – Updated Product Specific Supplement for Futures on MSCI Indices