Eurex Clearing
1. Introduction
Since March 2019, a procedure has been used in the event of market disruptions in MSCI derivatives, which provides that final settlement prices can also be corrected retrospectively if individual markets are not tradable on the last trading day. This subsequent correction was initially limited to 5 weekdays.
In accordance with an adjustment by index provider MSCI and in coordination with the derivatives exchanges offering regional MSCI index derivatives, this period has been extended from 5 to 15 weekdays (whereby only Mondays till Fridays are considered).
A first test of the new procedure was done in Simulation in December 2024 and January 2025 (see Eurex Clearing Circular 089/24). Another simulation test shall be offered in March and April 2025, as further outlined in this circular.
2. Required action
Clearing Members are recommended to fully analyze the potential effects on their internal systems and procedures.
3. Details of the initiative
Testing activities in Simulation
Please find below a summary of actions on Market Disruption impacted products FMAS and OMAS. For the simulation event, the scope of the disruption will be the March 2025 expiry and contracts thereof.
The following test scenario will be offered in simulation:
On the last trade date 20 March 2025*
Action | Details | |
Contract creation | Eurex generates new contracts which are 15 weekdays from the original last trade date and final settlement date. The new contracts will reflect the last trade date as 8 April 2025 and the final settlement date as 9 April 2025. Only contracts containing open interest will appear after batch processing. Daily contract generation is suppressed. | |
Advanced Risk Protection (ARP) | ARP is deactivated to prevent unintended margin fluctuations. |
On 24 March 2025*
Action | Details | |
Book out and book in of Positions | Open positions on the disrupted contracts are booked out and a book-in takes place on the newly created contracts. Book-in's are entered as Block trades (tran type = 040/042) with Text 2 as Market Disruption. | |
Trading and Clearing | Trading and Clearing is suspended during the booking out and in of positions. After verification of positions, trading and clearing in the disrupted contracts is resumed. | |
Advanced Risk Protection (ARP) | ARP is resumed. |
* Please note that not all weekdays are batch days in the simulation environment, therefore the dates shown here slightly differ from the production environment. From 26 March to 30 March 2025, the T7 trading system is closed for maintenance. The C7 system remains open during this period.
On 1 April 2025
Action | Details | |
Index level publications | A scenario of the Index provider publishing an adjusted Index price is created. | |
Settlement | Futures and Options are settled based on the adjusted Index price, whereby the Options are settled at intrinsic values. | |
Booking-out of position | Contracts impacted by the Market Disruption are booked out at the settlement prices determined above. |
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.
Further information
Recipients: | All Clearing Members, ISA Direct Clearing Members, Disclosed Direct Clients of Eurex Clearing AG, vendors, all FCM Clearing Members and other affected contractual parties | |
Target groups: | Front Office/Trading, Middle + Backoffice, IT/System Administration, Auditing/Security Coordination | |
Related circular: | Eurex Circular 014/25 | |
Contact: | eurextrading@eurex.com | |
Web: | www.eurex.com/ec-en/ | |
Authorized by: | Jens Janka |
