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Equity index derivatives: Introduction of Related Security Spread (“RSS”) Futures

Release date: 21 Feb 2020 | Eurex Exchange

011/2020 Equity index derivatives: Introduction of Related Security Spread (“RSS”) Futures

Eurex Circular 011/20

1. Introduction

The Management Board of Eurex Deutschland took the following decisions with effect from 22 June 2020:

  • Introduction of Related Security Spread (“RSS”) Futures (22 products in phase 1),
  • Introduction of a Liquidity Provider Scheme for the new products.

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

Information on clearing of the new products as well as the updated sections of the relevant Rules and Regulations of Eurex Clearing AG are contained in Eurex Clearing circular 019/20. 

Simulation start: 03 March 2020

Production start: 22 June 2020

2. Required action

The new products will trade and clear similar to existing equity index derivatives, hence there is no action required for participation.

3. Details of the initiative

A.  Product overview

Related Security Spread (“RSS”) Futures are futures contracts on a specific spread ratio index. The iSTOXX Spread Ratio indices aim to offer exposure to the relative value spread, which is defined as the ratio between two securities that are related to the same company and is measured using five-day moving averages. Each index of the family consists of two securities, referred to as leg A and leg B. The composition of each index is fixed over time.

Please refer to Attachment 1 for the Eurex products that will be introduced.

B.  Contract specifications and product parameters

Please find an overview in table format in Attachment 1. For the detailed Contract Specifications, please see Attachment 2.

The full version of the updated Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland will be published on the Eurex website www.eurexchange.com as of start of trading under:

C.  Admission to the Eurex T7 Entry Services (TES)

The new products will be admitted to the TES with the parameters stated in Attachment 1.

An overview of the Eurex T7 Entry Services available for the products as well as detailed information on single product basis with regard to availability, possibility of utilisation and minimum number of tradable contracts for the various Eurex T7 Entry Services is available on the Eurex website under the link:

D.  Risk parameters

As of start of trading, risk parameters of the new products will be published on the Eurex website under the link:

and on the Eurex Clearing website www.eurexclearing.com under the following path:

There, you will also find an updated list with details regarding Prisma-eligible Eurex products.

E.  Mistrade parameters

Mistrade ranges will be published as of start of trading on the Eurex website under the following link:

F.  Excessive System Usage Fee and Order to Trade Ratio

The Excessive System Usage Fee and the Order to Trade Ratio are determined in line with the existing Equity Index Derivatives (FINX). For further information, please refer to the Eurex website under the following links:

G.  Transaction fees and rebates

Details can be found in the current Price List of Eurex Clearing AG which is available for download on the Eurex website under the following link:

H.  Vendor codes

At start of trading, vendor codes for the new products will be published on the Eurex website under the link:

I.  Liquidity Provider Scheme

Effective from 22 June 2020, a Liquidity Provider (LP) Scheme for the new RSS Futures, "Product Specific Supplement 50 for Related Security Spread Futures”, will be introduced.

All further information can be found in the attached PSS document (Attachment 3).

Attachments:

  • 1 – Overview of contract specifications for the new products in table format
  • 2 – Amended sections of the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland
  • 3 – Product Specific Supplement (PSS) 50 for Related Security Spread Futures

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 circular:Eurex Clearing circular 019/20
Web:www.eurexchange.com
Authorised by:Michael Peters
 

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