Equity index derivatives: Introduction of Related Security Spread (“RSS”) Futures (Phase 2)

1.  Introduction

The Management Board of Eurex Deutschland took the following decisions with effect from 22 March 2021:

• Introduction of additional Related Security Spread (“RSS”) Futures (six products in phase 2),
• Introduction of a Liquidity Provider Scheme for the new products,
• Withdrawal of admission of two RSS Futures.

This circular contains all information on the introduction of the new products and the updated sections of the relevant Rules and Regulations of Eurex Deutschland.

Production start: 22 March 2021

2.  Action required

The new products will trade and clear similar to existing equity index derivatives, hence there is no action required for participation.

3.  Details of the initiative

Please refer to the table in Attachment 1 for the product details.

A.    Product overview

Related Security Spread (“RSS”) Futures are futures contracts on a specific spread ratio index. The iSTOXX Spread Ratio indices aim to offer exposure to the relative value spread, which is defined as the ratio between two securities that are related to the same company and is measured using five-day moving averages. Each index of the family consists of two securities, referred to as leg A and leg B. The composition of each index is fixed over time.

B.    Contract specifications and product parameters

In general, contract specifications for the new futures are in line with the existing contracts, also in terms of trading hours and trading calendar, last trading day, settlement and determination of the daily and final settlement prices. For the detailed Contract Specifications, please see Attachment 2.

The full version of the updated Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland will be published on the Eurex website as of start of trading under:

Trade > Rules & Regs > Eurex Rules and Regulations > 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 utilisation and minimum entry size for the various Eurex T7 Entry Services is available on the Eurex website under the link:

Trade > Data > Trading files > 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: 

Trade > Data > Clearing files > Risk parameters and initial margins

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

Clear > Services > Risk parameters

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

E.    Mistrade ranges

Mistrade ranges for the new products will be published as of start of trading on the Eurex website under the link:

Trade > Markets > Product Overview > Contract Specs

F.    Excessive System Usage Fee and Order to Trade Ratio

The Excessive System Usage Fee and the Order to Trade Ratio are determined in line with the existing Equity Index Derivatives (FINX). For further information, please refer to the Eurex website under the following links:

Trade > Rules & Regs > Excessive System Usage Fee
Trade > Rules & Regs > Order to Trade Ratio

G.    Transaction fees

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

Trade > Rules & Regs > Eurex Rules & Regulations > 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:

Trade > Markets > Product Overview > Vendor Codes

I.   Liquidity Provisioning

Please refer to the attached PSS document (Attachment 3).

Attachments:

1. Details regarding the new products overview, contract specifications and product parameters
2. Updated sections of the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland
3. Product Specific Supplement (PSS) 50 for Related Security Spread Futures

Further information