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DAX®, Mini-DAX® and (EURO) STOXX® Banks Sector Index Futures: Change of the smallest price change (tick) for futures outright and calendar spreads

Release date: 31 Jul 2020 | Eurex Exchange

057/2020 DAX®, Mini-DAX® and (EURO) STOXX® Banks Sector Index Futures: Change of the smallest price change (tick) for futures outright and calendar spreads

Eurex Circular 057/20

1.   Introduction

The Management Board of Eurex Deutschland decided on several measures to increase the efficiency in DAX® (FDAX), Mini-DAX® (FDXM) and (EURO) STOXX® Banks Sector Index Futures (FESB/FSTB).

The following tick size changes will be effective as of 21 December 2020:

Product ID

Tick size outright contract (simple instrument) in index points
OLD

Tick size outright contract (simple instrument) in index points
NEW

Tick size calendar contract (standardised futures strategies) in index points
OLD
Tick size calendar contract (standardised futures strategies) in index points
NEW

FDAX

0.5

1.0

0.5

0.5

FDXM

 

1.0

1.0

 

1.0

0.5

FESB

 

0.1

0.05

 

0.02

0.02

FSTB

 

0.1

0.05

 

0.02

0.02

Simulation start: 5 August 2020

Production start: 21 December 2020

To implement the changes, the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland will be amended as outlined in Attachment 2.

The related changes to the Price List of Eurex Clearing AG with respect to the amendment of transaction fees in the above-mentioned index futures, effective as of 4 January 2021, and the draft amendment effective as of 3 January 2022, are attached to Eurex Clearing circular 065/20.

2.   Required action

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

Please note that all orders and quotes in FDAX will be deleted after the close of business on 18 December 2020. No order/quote deletion will take place in FDXM, FESB and FSTB.

3.   Details of the initiative

Effective 21 December 2020, the tick size in futures for outright or calendar spreads of the products DAX® (FDAX), Mini-DAX® (FDXM), EURO STOXX® Banks Sector (FESB) and STOXX® Banks Sector (FSTB) will be changed. Accordingly, the value that represents a tick will be either reduced or increased.

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

Decoupling of outright and calendar spread orderbooks for FDAX and FDXM

Also effective 21 December 2020, i.e. together with the change of the outright/calendar spread tick, the outright and calendar spread orderbooks will be decoupled for FDAX and FDXM. The synthetic matching in the outright orderbook 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 orderbooks (“synthetic path“) and the price determined from such a combination of orderbook pages (“synthetic price“) as well as path priorities for FDAX and FDXM will no longer be supported.

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: 
 

Attributes

FDAX
(unchanged)

FDXM
(changed)

FESB
(changed)

FSTB
(changed)

InstrumentPricePrecision

1

1

2

2

MinPriceIncrement

 

0.5

 

0.1

 

0.01

 

0.01

MinPriceIncrementAmount

 

12.5

 

0.5

 

0.5

 

0.5

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

Change of transaction fees

In the context of tick size changes, the standard fees in FDAX, FDXM, FESB and FSTB will be amended effective 4 January 2021. Further amendments of the transaction fees in these products are planned for 3 January 2022. The resulting (planned) amendments to the Price List of Eurex Clearing AG are attached to Eurex Clearing circular 065/20.

Attachments:

  • 1 – Overview of the different instruments of the contracts and their ticks
  • 2 – Updated sections of the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland

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:

 

Product R&D Equity and Index, Tobias Ehinger, tel. +49-69-211-1 23 13, tobias.ehinger@eurexchange.com

Related circular:

 

Eurex Clearing circular 065/20

Web:

 

www.eurexchange.com

Authorised by:

Michael Peters

 

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