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MSCI Futures: Changes in tick sizes for futures calendar spreads and Non-Disclosure Limits, as well as tradability for U.S. Participants

Release date: 05 Feb 2020 | Eurex Exchange

008/2020 MSCI Futures: Changes in tick sizes for futures calendar spreads and Non-Disclosure Limits, as well as tradability for U.S. Participants

Eurex Circular 008/20

1. Introduction

The Management Board of Eurex Deutschland decided on the following changes with regards to MSCI Futures as of 24 February 2020:

A.to reduce the smallest price change (tick) for standardised futures strategies (futures calendar spreads) for a total of 18 different MSCI Futures,
B.to increase the Non-Disclosure Limit for a total of 29 products,
C.to release 15 additional MSCI Futures for tradability for U.S. Participants.

In addition, one additional MSCI Future shall be made available for tradability of U.S. Participants as of 2 March 2020, pending regulatory approval.

The reduction of the tick sizes in futures calendar spreads will increase the price transparency in the quarterly roll and should also lead to a better tradability via the order book.

Similarly, the increase of Non-Disclosure Limits should improve the transparency of trading activities.

2. Required action

All Trading Participants of Eurex Deutschland and vendors are affected by the change in tick size and should consider the new tick size in their trading activities. As a reference, other MSCI Futures (e.g. Eurex products FMEU or FMWO), which have a smaller tick size in futures calendar spreads already today, can be taken.

3. Details of the initiative

A.: Reduction of tick size for futures calendar spreads

Effective 24 February 2020, the tick in futures calendar spreads for the products shown below will be changed. Accordingly, the value that represents a tick will be reduced. In the outright contracts (simple instruments), the minimum price change will remain unchanged.

The table in Attachment 1 contains an overview of the contracts and their tick sizes.

The first five products in this table have already today a smaller tick size in the calendar spread order book than in the outright order book. 

For the other 13 products, (from MSCI Australia onwards), the outright and calendar spread order books will be decoupled at the same time when the futures calendar spread tick will be changed. Thereby, the synthetic matching in the outright order book 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 or quotes stored in different order books (“synthetic path“) and the price determined from such a combination of order book pages (“synthetic price“), as well as path priorities for the aforementioned MSCI futures will no longer be supported. 

Please note that in those products, where the old tick size is not a multiple of the new tick size (this means in the products FMEA, FMEE, FMEL and FMEM) the orders in the calendar spread order book need to be deleted in the evening before the change is implemented.

Technical distribution of the product and instrument configuration

The price granularity is distributed via the instrument snapshot in RDI (Reference Data Interface). The respective instrument attributes are InstrumentPricePrecision, MinPriceIncrement and MinPriceIncrementAmount.

Please note that all MSCI Futures already have a separate, smaller tick size of 0.001 in the Eurex T7 Entry Services (TES), as announced in Eurex circular 083/18.

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

B.: Changes of Non-Disclosure Limits

For the following 29 products in the table in Attachment 1, the Non-Disclosure Limit will be increased.

C.: Tradability for U.S. Participants 

Eurex Deutschland submitted a certification request to the Division of Market Oversight of the Commodity Futures Trading Commission (CFTC), to offer the following MSCI Futures for trading in the U.S. The CFTC has now certified these contracts and they may be made available for trading in the U.S. For the table, please refer to Attachment 1. 

Pursuant to Eurex Deutschland’s registration with the CFTC as a foreign board of trade, the MSCI Futures can be offered to U.S. persons via Eurex terminals with direct access in the U.S. or sold to these persons.

The production date will be 24 February 2020. Furthermore, the Multicast addresses for data distribution will remain unchanged. Port numbers, however, will change as follows:

  • Snapshot messages: Change from 59032 to 59000
  • Incremental messages: Change from 59033 to 59001

Furthermore, Eurex Deutschland submitted a certification request for one additional MSCI-Future (MSCI Saudi Arabia). Pending regulatory approval from the CFTC, the following product will be offered for direct access in the U.S. as of 2 March 2020. For the table, please refer to Attachment 1.

Attachments:

  1. Tables for details of the initiatives
  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:Equity & Index Product Design, Ralf Huesmann, T +49-69-211-1 54 43, ralf.huesmann@eurexchange.com
Web:www.eurexchange.com
Authorised by:Michael Peters
 

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