Find
30 Nov 2022

Eurex

Dividend Futures: Introduction of the strip functionality

Eurex Circular 116/22 Dividend Futures: Introduction of the strip functionality

1.    Introduction

Effective from 5 December 2022, the strip functionality will be available for EURO STOXX 50® Index Dividend Futures (FEXD). This circular contains all information on the handling of the strip functionality for FEXD.

  • Implementation date in production: 5 December 2022

2.    Required action

Trading Participants are recommended to pay close attention to the information provided in this circular and analyze the potential impact in their own technical systems. Therefore, it might be necessary for Trading Participants to update their internal processes and technical interfaces to adapt for this change.

3.    Details

The handling in the T7 trading system will be the following:

  • The strip functionality for EURO STOXX 50® Index Dividend Futures (FEXD) will only be available via the Eurex Trade Entry Services (TES) only. Order book trading will not be available.
  • Strips allow a trader to execute or work an order in two or more consecutive expiry years – representing an equivalent of a two year or greater strip.
  • Strips will be defined by the trader and be active for this day, after which they will be automatically deleted by the system.
  • Strips are priced based on “averaged net change pricing” whereby the averaged net change price is defined as the sum of the differences between the leg prices and the previous day’s settlement prices of the corresponding leg instruments divided by the number of legs used in the strip. 
  • All leg instruments are bought with a leg ratio of one contract. Though the execution is in one trade - once executed the trade is then decomposed into individual positions in the underlying contract expiry months. Therefore, buying a one contract strip will result in positions in each of the consecutive contract expiry months.
  • The minimum number of contracts requirement (Minimum Block Trade Size - MBTS) as well as non-disclosure limit applicable to EURO STOXX 50® Index Dividend Futures (FEXD) apply to each individual leg of the strategy. 

Strips are currently available for testing in the simulation environment. Please see the Eurex Functional Reference Guide for T7 Release 10.1 (Section 16. Strips), available on the Eurex website www.eurex.com under the following path: Support > Initiatives & Releases > T7 Release 10.1 > System documentation > Overview & Functionality.

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:

Lorena Dishnica, Equity & Index Product Design, tel. +44 207 862-72 42, lorena.dishnica@eurex.com; 
Stuart Heath, Equity & Index Product Design, tel. +44-207-862-72 53, stuart.heath@eurex.com

Web:

www.eurex.com

Authorized by:

Randolf Roth


Market Status

XEUR

The market status window is an indication regarding the current technical availability of the trading system. It indicates whether news board messages regarding current technical issues of the trading system have been published or will be published shortly.

Please find further information about incident handling in the Emergency Playbook published on the Eurex webpage under Support --> Emergencies and safeguards. Detailed information about incident communication, market re-opening procedures and best practices for order and trade reconciliation can be found in the chapters 4.2, 4.3 and 4.5, respectively. Concrete information for the respective incident will be published during the incident via newsboard message. 

We strongly recommend not to take any decisions based on the indications in the market status window but to always check the production news board for comprehensive information on an incident.

An instant update of the Market Status requires an enabled up-to date Java™ version within the browser.