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Introduction of a “Product Specific Supplement for Inter-Product Spreads in fixed income futures” to the Liquidity Provider Agreement

Release date: 11 Sep 2019 | Eurex Exchange

086/2019 Introduction of a “Product Specific Supplement for Inter-Product Spreads in fixed income futures” to the Liquidity Provider Agreement

Eurex Circular 086/19

1. Introduction

The Management Board of Eurex Deutschland and the Executive Board of Eurex Frankfurt AG took the following decision with effect from 16 September 2019:

  • Introduction of a Product Specific Supplement for Inter-Product Spreads in fixed income futures

The Liquidity Provider scheme will support the launch of Inter-Product Spreads (IPS) for Fixed Income Futures that will start trading as a standardised futures inter-product spread strategy (e.g. Bund-Buxl spread) on 16 September 2019.

For details of the Liquidity Provider scheme, please refer to the Product Specific Supplement (PSS) in attachment 2.

The new quotation requirements will be valid from 16 September 2019 until 31 December 2022.

The PSS will be provided as single PDF file on the Eurex website www.eurexchange.com.

2. Action required

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

Interested Liquidity Providers are invited to participate in the scheme to have the opportunity to benefit from the available incentives by fulfilling the quote requirements.

3. Details of the initiative

Liquidity Provider scheme

This circular provides information on the new quotation requirements for inter-product spreads (Eurex product ID: IPLX, IPPL, IPS2) effective from 16 September 2019 until 31 December 2022.

Fee Reports

As mentioned in the previous circular on IPS, the fee types „IPS Strategy Trade“ and „IPS Strategy SMP“ will be available at launch so that IPS transaction fees can be distinguished from non-IPS trades both in the daily reports CB165 and CB196, and in the monthly CB192 report.

The new fee types will be displayed in the same format as all other current fee types:

Fee Type / Text (XML: feeIndTyp)

Fee Type / SortFee (XML: sortFeeTyp)

IPS Strategy Trade

AAC1

IPS Strategy SMP

ACC1

The layout of the beforementioned fee reports is unaffected by the new fee types.


Trading Hours of the new products:

IPS order books become available in trading as soon as both legs instruments are in trading. For example, trading in the Bund-Buxl IPS will start in the early morning trading session, as both futures are traded throughout the entire Eurex trading day. In contrast, Long-term BTP-Bund IPS and Schatz-Short-term BTP IPS will be tradable from 08:00 CET until 19:00 CET as the BTP futures legs of these IPS are not tradable during the full length of the Eurex trading day. A detailed table is attached to this circular (attachment 1).

Please note the following correction to Eurex circular 083/19 regarding the trading hours: On the last trading day of IPS, trading ends when one of the two leg instrument enters the Post-trading Full-Period. Trading in the initial set of IPS, based on the DEC19 leg instruments, will therefore end on 3 December 2019, as outlined in the table in attachment 1.

Attachments:

  1. Trading hours of the new products (table)

  2. Product Specific Supplement for Inter-Product Spreads in fixed income futures to the Liquidity Provider Agreement


Recipients:All Trading Participants of Eurex Deutschland and Vendors
Target groups:Front Office/Trading, Middle + Backoffice, IT/System Administration, Auditing/Security Coordination
Contact:

Sales: Vassily Pascalis, T +44-20-78-62-72-11, vassily.pascalis@eurexchange.com; FI Product Design: Rex Jones, rex.jones@eurexchange.com, T +49-69-211-1 78 06

Related Eurex circulars:029/19, 055/19, 067/19, 083/19
Web: www.eurexchange.com
Authorized by:Randolf Roth
 

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