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Delisting of Inter-Product Spread Strategies in Fixed Income Futures

Release date: 07 Jul 2020 | Eurex Exchange

055/2020 Delisting of Inter-Product Spread Strategies in Fixed Income Futures

Eurex Circular 055/20

1.   Introduction

The Management Board of Eurex Deutschland and the Executive Board of Eurex Frankfurt AG took the following decisions with effect from 3 August 2020:

  • Delisting of Inter-Product Spreads (IPS) for Fixed Income Futures that are currently available as a standardised futures inter-product spread strategy 
  • Discontinuation of the Liquidity Provider Scheme with the “Product Specific Supplement Fixed Income 11 to the Eurex Liquidity Provider Agreement” for Inter-Product Spreads.

This circular contains information on the changed sections of the relevant Rules and Regulations of Eurex Deutschland. It also cites the “Product Specific Supplement Fixed Income 11”, that will no longer be available to Trading Participants due to the discontinuation of the Liquidity Provider Scheme for Inter-Product Spreads in Fixed Income Futures. 

  • Production introduction: 3 August 2020

2.   Required action

Inter-Product Spread Strategies are available to all Trading Participants and Traders that are set up to trade both futures products from which a given IPS draws its leg instruments. 

There is no action required for Trading Participants and Traders.

3.   Details

Standardised futures inter-product spread strategies are offered as a combined instrument defined by the Management Board of Eurex Deutschland consisting of a defined number of instruments of two different futures products and a corresponding leg ratio that do not differ in maturity. 

These will be delisted due to lack of liquidity and very low trading volume, in order to reduce the complexity of product setup and the IT configurations of the Eurex T7 system.

The respective Liquidity Provider Scheme for Inter-Product Spreads titled “Product Specific Supplement Fixed Income 11 to the Eurex Liquidity Provider Agreement” will also be discontinued. 

Production and simulation schedule

IPS strategies were decommissioned in the Eurex simulation environment effective 18 June 2020. 

Inter-Product Spread Strategies for the three available combinations of Fixed Income Futures “BTP-Bund Spread”, “Bund-Buxl Spread” and “Schatz-BTS Spread” will have their last trading day on 31 July 2020. As of 3 August 2020, Inter-Product Spread Strategies will no longer be available for trading. 

Attachments:

  1. Updated sections of the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland 
  2. Discontinuation: Product Specific Supplement for Inter-Product Spreads in Fixed Income Futures to the Liquidity Provider Agreement 

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@eurexchange.com

Related Eurex Circular(s):

 

029/19, 055/19, 067/19, 083/19, 086/19

Web:

 

www.eurexchange.com

Authorised by:

Michael Peters

 

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