EURO STOXX® 50 Index Futures: Reduction of the smallest price change (tick) for futures calendar spreads; Adjustment of minimum block trade size

1.    Introduction

The Management Board of Eurex Deutschland decided on several measures to increase the efficiency in EURO STOXX^® 50 Index Futures (FESX).

The following measures will be effective as of 23 March 2020:

• Reduction of the tick size for standardised futures strategies (futures calendar spreads) from 1.0 to 0.25 index points
• Switch-off of synthetic matching
• Increase of the minimum block trade size for the EURO STOXX^® 50 Index Futures from 1,000 to 2,000 contracts. 

Simulation start: 15 January 2020

Production start: 23 March 2020

The changes to the Price List of Eurex Clearing AG (Price List) with respect to fee changes for TES transactions in EURO STOXX^® 50 Index Futures (FESX), effective as of 1 June 2020, are available in Eurex Clearing circular 121/19.

2.    Participation requirements

All Trading Participants of Eurex Deutschland and vendors are affected by this change. 

3.    Details of the initiative

Effective 23 March 2020, the tick size in futures calendar spreads of the product EURO STOXX^® 50 Index Futures (FESX) will be changed from 1.0 to 0.25 index points. Accordingly, the value that represents a tick will be reduced from EUR 10 to EUR 2.50 and the number of decimal places will increase from one to two. In the outright contracts (simple instruments), the minimum price change will remain unchanged at 1.0.

The table in Attachment 1 contains an overview of the different instruments of the contracts and their tick.

At the same time, with the change of the calendar spread tick, the outright and calendar spread orderbooks will be decoupled. The synthetic matching in the outright orderbook with implied prizes 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 FESX will no longer be supported. 

In addition, for the entry of off-book-trades, the minimum block trade size for FESX will be increased from 1,000 to 2,000 contracts. The minimum block trade size for EFP-I Trade at Index Close transactions in FESX will remain unchanged at 100 contracts. 

Please note that Eurex will review the outright and calendar contract tick size in FESX in the course of 2020 in order to decide if further measures are required.

The changes to the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland (Contract Specifications) can be found in Attachment 2

4. Technical distribution of the product and instrument configuration

The new price granularity is valid for all outright instruments and will be distributed via the instrument snapshot in RDI (Reference Data Interface). The respective instrument attributes are: 

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

5. Change of transaction fees

Eurex Clearing continues to differentiate between fees for order book, EnLight and TES transactions in FESX. The fee changes will apply as of 1 June 2020 and can be found in Eurex Clearing circular 121/19.

Attachment: 

• Updated sections of the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland

Further information