Eurex
1. Introduction
The Management Board of Eurex Deutschland took the following decision with effect from 6 May 2024:
The Executive Boards of Eurex Frankfurt AG and Eurex Clearing AG took the following decision with effect from 6 May 2024:
Production start: 6 May 2024
2. Action required
The new Inter-Product Spread “ESEU” replaces the previous Inter-Product Spread “IPEE”. The relevant changes are the product code and the direction of the underlying products within the Inter-Product Spread. All other details remain the same.
Liquidity Providers should adapt their quotation behavior accordingly.
3. Details of the initiative
A. Replacement of Inter-Product Spread Strategies "Euribor - Euro-STR Spread" “IPEE” as a Combined Instrument with Inter-Product Spread Strategies "Euro-STR - Euribor Spread" “ESEU” as a Combined Instrument
To reflect market standards, the existing Inter-Product Spread Strategies “IPEE” will be replaced with Inter-Product Spread Strategies "Euro-STR – Euribor Spread" “ESEU” as a Combined Instrument.
For example, buying an Inter-Product Spread “ESEU” allows market participants to simultaneously buy a future contract on the Euro-STR (FST3) and sell a future contract on Euribor (FEU3), the leg ratio between the two contracts is 1:1.
Only futures instruments with the same display month are part of an IPS whereby the display month is given by the contract date of the corresponding futures contract. Please note that the expiration of the Euro-STR (Product ID: FST3) leg contract will expire three months later than the Euribor leg (Product ID: FEU3) (e.g. Euro-STR MAR vs Euribor MAR contract with Euro-STR expiration in June and Euribor expiration in March).
For the detailed Contract Specifications, please see Attachment 1.
The full version of the updated Contract Specifications will be published on the Eurex website www.eurex.com as of start of trading under:
Rules & Regs > Eurex Rules & Regulations > 03. Contract Specifications
Special situations due to the synthetic matching of the IPS to the underlying futures contracts and consequences of transaction cancellations
Please refer to details in Eurex Circular 099/23 “Money Market Derivatives: Introduction of Inter-Product Spread Strategies and introduction of a temporary transaction fee waiver for certain products” sent out on 10 November 2023.
B. Introduction of clear wording on the measurement of the performance volume for Net average Open Interest
Section 4.1 of PSS “Fixed Income 17” is modified to clarify that the measurement of the Net Open Interest component is to include not only M-account but also the P-account activity of Liquidity Providers to the scheme.
C. Introduction a new requirement in the participation conditions for the “Additional Supporter Incentive Payment”
Section 4.1 of PSS “Fixed Income 17” “Participation Condition for Additional Supporter Incentive Payment” is modified to introduce a new qualification requirement that the Liquidity Providers need to trade at least one lot in each expiration of the respective Outrights schemes.
The amendments of the PSS will be deemed to have been approved if Liquidity Provider does not lodge objections with Eurex Frankfurt AG and Eurex Clearing AG within two (2) weeks of notification of the amendment by means of this circular pursuant to Number 4 (2) of the Liquidity Provider Agreement.
D. Correction in Section 5.3 of PSS “Fixed Income 17” for “FST3 T2 CS”
Section 5.3 Quotation Requirements for Tier 1 and Tier 2 Calendar Spreads has the wrong reference quarters for the Tier 2 “FST3” Calendar Spread Maturity Range. This has been corrected to reflect the Tier 1 “FST3” Calendar Spread Maturity Range.
Attachments:
Further information
Recipients: | All Trading Participants of Eurex Deutschland and Vendors | |
Target groups: | Front Office/Trading, Middle + Backoffice, IT/System Administration, Auditing/Security Coordination | |
Contact: | client.services@eurex.com | |
Web: | www.eurex.com | |
Authorized by: | Randolf Roth |
Market Status ⓘ
XEUR
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