Equity and Basket Total Return Futures: Amendments to the Price List of Eurex Clearing AG

1. Introduction

Effective 1 June 2024, Eurex Clearing AG will introduce the following changes to the Price List of Eurex Clearing AG applicable to the Equity and Basket Total Return Futures (ETRF/BTRF) offering:

• Amendments to transaction, cash settlement and maintenance fees for Equity Total Return Futures (ETRFs) based on the previous trade day’s official closing price of the underlying equity share on the relevant primary Cash Market.

Production start: Monday, 3 June 2024

2.    Required action

Participants interested to trade and clear ETRF/BTRF are recommended that they analyze the potential impact of the above changes in their internal systems.

3.    Details of the initiative

A.    Background

Currently, ETRF transaction fees are calculated as a percentage (%) of notional value using the official closing price of the underlying equity share on the relevant primary Cash Market on the respective trade day.

The new handling will entail that the transaction, maintenance and cash settlement fees will use the previous trade day’s official closing price (adjusted accordingly in case of corporate actions) to determine the notional value used for the fee amount calculation. This is to ensure that the cost of trade is known at the time of execution. 

B.    Amendments to the fees of Eurex Clearing AG

The transaction, cash settlement and maintenance fees for ETRFs can be retrieved from the updated sections of the Price list, as outlined in the Attachment.

As of the effective date, the full versions of the Price List will be available for download on the Eurex Clearing website under the following link:

Rules & Regs > Eurex Clearing Rules and Regulations > 3. Price List

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.

Attachment:

• Amended Sections of the Price List of Eurex Clearing AG

Further information