08 Sep 2022
Eurex
Fixed Income Derivatives: A. Introduction of Euro High Yield Index Futures; B. Editorial changes to the Contract Specifications for existing bond index futures
1. Introduction
The Management Board of Eurex Deutschland took the following decisions with effect from 17 October 2022:
A. | Introduction of Euro High Yield Index Futures | |
B. | Editorial changes to the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland (Contract Specifications) for existing Eurex Bond Index Futures |
Simulation start: 6 September 2022
Production start: 17 October 2022
This circular contains all information on the introduction of the new products and the updated sections of the relevant Rules and Regulations of Eurex Deutschland.
2. Action required
There is no action required for participation.
3. Details of the initiative
A. Introduction of Euro High Yield Index Futures
With the launch of the Euro High Yield Index Futures, Eurex aims to expand the range of its Fixed Income Index derivatives to help investors manage their exposure in Euro-denominated sub-investment grade securities.
The products in scope for launch are Futures on the Bloomberg Liquidity Screened Euro High Yield Index (FEHY). These futures will give market participants a valuable investment vehicle to track the Euro-denominated high yield corporate bond market.
The versatile nature of these futures will enable investors to take long or short positions, and hence either hedge euro-high yield corporate securities held in their investments, or take additional exposure via an index-linked product, which broadly represents this market.
a. Contract Specifications and product parameters
Contract Specifications for the new Euro High Yield Index Futures follow the contract standards of existing Futures on Bond Indices in terms of trading hours and trading calendar, last trading day, settlement and determination of the daily and final settlement prices.
For the detailed Contract Specifications, please see the Attachments.
The full version of the updated Contract Specifications will be published on the Eurex website www.eurex.com as of start of trading under:
Rules & Regs > Eurex Rules & Regulations > 03. Contract Specifications
b. Admission to the Eurex T7 Entry Services (TES)
The new products will be admitted to the Eurex T7 Entry Services (TES). You can find the minimum block trade sizes on product level in the attached Contract Specifications in the 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 utilization and minimum entry size for the various Eurex T7 Entry Services is available on the Eurex website under the link:
Data > Trading files > T7 Entry Service parameters
c. Risk parameters
As of start of trading, risk parameters of the new products will be published on the Eurex website under the link:
Data > Clearing files > Risk parameters and initial margins
and on the Eurex Clearing website under the following path:
you will also find an updated list with details regarding Prisma-eligible Eurex products.
d. Excessive System Usage Fee and Order to Trade Ratio
The Excessive System Usage Fee and the Order to Trade Ratio for the new products have been defined according to the existing products (FINX). For detailed information, please refer to the Eurex website under the following links:
Rules & Regs > Excessive System Usage Fee
Rules & Regs > Order to Trade Ratio
e. Mistrade parameters and position limits
Mistrade ranges and position limits for the new products will be published as of start of trading on the Eurex website under the link:
Markets > Product Overview > Contract Specs
f. Transaction limits
The same values apply as for existing products with the relevant Eurex group ID. For details, please refer to the Eurex website under the link:
Rules & Regs > Excessive System Usage Fee
g. Transaction fees
The Euro High Yield Index Futures will be subject to the following transaction fees:
For details, please refer to the Price List of Eurex Clearing AG available for download on the Eurex Clearing website www.eurex.com/ec-en/ under this link:
Rules & Regs > Eurex Clearing Rules & Regulations > 3. Price List
The following volume rebates will apply to both order book and TES transactions:
h. Vendor codes
As of start of trading, vendor codes for the new products will be published on the Eurex website under the link:
Markets > Product Overview > Vendor Codes
i. Availability in Eurex simulation
Since 6 September 2022, the futures on Bloomberg Liquidity Screened Euro High Yield Index have been available in the Eurex simulation environment for testing purposes.
For further information, please refer to the simulation calendar on the Eurex website under the following link:
Support > Initiatives & Releases > Simulation calendar
B. Editorial changes to the Contract Specifications for existing Eurex Bond Index Futures
Bloomberg announced that the Bloomberg Barclays fixed income benchmark indices are rebranded as the Bloomberg Fixed Income Indices.
To reflect the rebrand, the following provisions will be amended as outlined in Attachments 1 and 2:
- Part 1 Numbers 1.23.1, 1.23.5; Part 2 Numbers 3.2.1, 3.2.3 of the Contract Specifications
- Annex C to the Contract Specifications
Attachments:
- 1. Updated sections of the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland
- 2. Updated sections of the Annexes to the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland
Further information
Recipients: | All Trading Participants of Eurex Deutschland and Vendors | |
Target groups: | Front Office/Trading, Middle + Backoffice, IT/System Administration, Auditing/Security Coordination | |
Related circular: | Eurex Clearing circular 065/22 | |
Contacts: | davide.masi@eurex.com, vassily.pascalis@eurex.com, client.services@eurex.com | |
Web: | www.eurex.com | |
Authorized by: | Randolf Roth |
