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Foreign exchange (FX) derivatives: Introduction of FX Rolling Spot Futures

Release date: 13 Sep 2017 | Eurex Exchange

No. 097/2017 Foreign exchange (FX) derivatives: Introduction of FX Rolling Spot Futures

The Management Board of Eurex Deutschland and the Executive Board of Eurex Zürich AG decided to introduce FX Rolling Spot Futures on the following currency pairs with effect from 6 October 2017: EUR/USD, EUR/CHF, EUR/GBP, GBP/USD, GBP/CHF, USD/CHF, AUD/USD, AUD/JPY, EUR/AUD, EUR/JPY, USD/JPY, NZD/USD.

FX Rolling Spot Futures are perpetual futures contracts which are rolled daily if an open position exists at the end of the trading day. FX Rolling Spot Futures mimic trading OTC FX spot contracts combined with the daily usage of a tom-next (T/N) swap in order to roll over the value date of the spot position.

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

Information on clearing of FX products at Eurex Clearing AG (Eurex Clearing) products as well as the new and updated sections of the relevant Rules and Regulations of Eurex Clearing AG are contained in Eurex Clearing circular 086/17, which is available as attachment 2 to this circular.

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