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02 Mar 2022

Eurex

Index derivatives: Termination of trading in RDX® USD Index Derivatives

Eurex Circular 024/22 Index derivatives: Termination of trading in RDX® USD Index Derivatives

1.   Introduction

The Management Board of Eurex Deutschland has decided today to terminate trading in RDX® USD Index Derivatives (FRDX, ORDX), effective 3 March 2022 at the close of trading 17:30 CET (22:00 CET for FRDX) as orderly trading seems not to be ensured anymore.

Open positions on 3 March 2022 will be cash settled using the Fair value method based on index close that will be provided by Wiener Börse to Eurex or the last available index price before that if the index closing price cannot be provided on 3 March 2022

Eurex Deutschland reserves the right to immediately take any further appropriate measures, if such become necessary due to measures of the index provider for the above-mentioned derivatives or the overall development with regards to the war in Ukraine.

Please find below the settlement details.

2.   Required action

Trading Participants are encouraged to take notice of the announced termination and settlement details. Additionally, Eurex Default Management will be available to assist and support with any queries in relation to position transfer or closing in above-mentioned contracts (FRDX, ORDX).

E-Mail: DMP_Inbox@deutsche-boerse.com
Tel.: Eurex Trading, +49-69-211-1 12 10

3.   Details

Procedure for Fair Value Settlement of Eurex derivatives 

The above mentioned Index Futures and Index Options Contracts will be settled according to the Fair value method. The following parameters will be defined for calculation according to the Fair value method:

  • Closing price; based on index close that will be provided by Wiener Börse to Eurex or the last available index price before that if the index closing price cannot be provided on 3 March 2022
  • Interest rate and dividends; if applicable
  • Volatility; the average implicit volatility of the ten days preceding the sanction announcement, 14 February 2022 to 25 February 2022, excluding every highest and lowest value from the calculation of the average. 

The exact adjustment details, including interest rate, applicable dividends and implied volatilities of option series with open positions will be published in a separate circular. 
 

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@eurex.com, DMP_Inbox@deutsche-boerse.com

Web:

www.eurex.com

Authorized by:

Michael Peters


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