MSCI Derivatives: Introduction of Index Total Return Futures on MSCI World, EAFE and EM indices denominated in USD

1.   Introduction   

Effective 11 March 2024, Eurex Clearing AG (Eurex Clearing) will offer clearing services for Index Total Return Futures on MSCI World, EAFE and EM indices denominated in US dollar (USD).

In this context, the following measures will apply effective 11 March 2024:

• Amendments to the Clearing Conditions of Eurex Clearing AG (Clearing Conditions) and to the Price List of Eurex Clearing AG (Price List) regarding the introduction of Total Return Futures on MSCI World Index, MSCI EAFE and MSCI EM indices denominated in USD.

Please refer to Eurex circular 019/24 for detailed trading-related information, including fee classification and the related amendments to the Rules and Regulations of Eurex Deutschland.

Production start: 11 March 2024

2.   Required action

There is no action required for participation.

3.   Details of the initiative

A. Product overview

Please refer to the table below for the overview of the new products:

B. Contract specifications

For the detailed contract specifications, please refer to Eurex Circular 019/24.

C. Product group

Please refer to the table below for the product group of the new products:

D. Transaction fees

The transaction and maintenance fees for the new products can be retrieved from the updated sections of the Price List, as outlined in Attachment 2.

E. Risk parameters

Margins for the new products are calculated in Prisma. For the risk parameters of the new products, please refer to the Eurex Clearing website www.eurex.com/ec-en/ under the following link:

Services > Risk parameters

F. Amendments to the legal framework of Eurex Clearing

To reflect this decision in the legal framework of Eurex Clearing, the following provisions will be amended as outlined in the Attachments:

• Chapter II Part 2 Numbers 2.22.2, 2.22.3 of the Clearing Conditions
• Numbers 3.1, 3.3, 3.4 of the Price List

As of the effective date, the full versions of the amended Clearing Conditions and Price List will be available for download on the Eurex Clearing website www.eurex.com/ec-en/ under the following link:

Rules & Regs > Eurex Clearing Rules and Regulations

The amendments to the legal framework of Eurex Clearing AG published by this circular are deemed accepted by each affected contractual party of Eurex Clearing AG, unless the respective contractual party objects by written notice to Eurex Clearing AG prior to the relevant effective date(s) as stipulated in this circular. In case of an objection by the respective contractual party pursuant the preceding sentence, Eurex Clearing AG is entitled to terminate the respective contract (including a Clearing Agreement, if applicable). Instead of submitting an objection, the respective contractual party may submit in writing to Eurex Clearing AG comments to any amendments of the legal framework of Eurex Clearing AG within the first 10 Business Days after the publication of the amendments. Eurex Clearing AG shall assess whether these comments prevent the published amendments from becoming effective taking into account the interests of Eurex Clearing AG and all contractual parties. 

Unless the context requires otherwise, terms used and not otherwise defined in this circular shall have the meaning ascribed to them in the Clearing Conditions or FCM Clearing Conditions of Eurex Clearing AG, as applicable.

Attachments:

• 1 – Amended sections of the Clearing Conditions of Eurex Clearing AG
• 2 – Amended sections of the Price List of Eurex Clearing AG

Further information