07 Feb 2024
Eurex
Index Total Return Futures: Introduction of Index Total Return Futures on MSCI World, EAFE and EM indices denominated in USD
1. Introduction
The Management Board of Eurex Deutschland took the following decisions with effect from Monday, 11 March 2024:
- Introduction of MSCI Index Total Return Futures (TRF) denominated in US dollar (USD) pursuant to the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland (“Contract Specifications”), based on the following indices:
– MSCI World Index (M1WO Index, NTR, USD)
– MSCI EAFE Index (M1EA Index, NTR, USD)
– MSCI Emerging Markets Index (M1EF Index, NTR, USD)
- Amendments to the Contract Specifications to support the introduction of the MSCI Index TRFs:
– Addition of definition of Expiry Day and adjustments to definition of Final Settlement Day – this is to allow the separation of Expiry Day (generally the third Friday on which all calculations for TRF products are done) from the Final Settlement Day: For MSCI Index TRFs, the Final Settlement Day will be the trading day immediately following the Expiry Day.
– Addition of USD-specific reference overnight interest rate (as a percentage) as Funding Rate, defined as being the Secured Overnight Financing Rate (SOFR) as published daily by the Federal Reserve Bank of New York.
– Addition of USD daycount convention Act/360 which represents the actual number of days in the period referenced for calculation divided by 360 as the Annualisation Factor.
– Addition of definition of US Federal Reserve calendar to be used to determine Settlement Days.
– Provision that the close of trading on the Last Trading Day for MSCI Index TRFs is at 10:00 p.m. CET.
– Provision that the Index Close with respect to the calculation of Traded Basis for Trades at Index Close (TAC) and the calculation of the Daily Settlement Basis is the level of the respective MSCI Index as calculated by MSCI Inc. at the European Close at 17:30 CET.
– Provision that the Index Close level with respect to the calculation of the Accrued Funding and Final Settlement is the level of the respective Official Index Close of the respective MSCI Index as calculated by MSCI Inc.
Detailed changes to the Contract Specifications are included in the Attachments.
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.
Production start: Monday, 11 March 2024
2. Required action
Participants interested to trade MSCI Index TRF products are recommended to completely analyze the potential impact in their internal systems and procedures of the above changes.
3. Details
A. Product overview and contract specifications
Please refer to Attachment 1 for the product overview and contract specifications in table format.
Attachment 2 contains the complete amendments to the Contract Specifications for MSCI Index TRF products, Attachment 3 shows the amendments to Annex C to the Contract Specifications.
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 (Attachment 3).
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 Eurex T7 Entry Services is available on the Eurex website under the link:
Data > Trading files > T7 Entry Service parameters
C. Transaction Size Limits (TSL) Product Group
The new products will be included in the following TSL Product Group: TRF
D. C7 Capacity and Product Group
E. Fees for the MSCI Index TRF products denominated in USD
The following transaction fees shall apply to the new products:
The following cash settlement fees shall apply to the new products:
The following daily accrued maintenance fees shall be charged for the open positions with the new products:
The full version of the updated Price List of Eurex Clearing AG will be published on the Eurex Clearing website www.eurex.com/ec-en/ under the link:
Rules & Regs > Eurex Clearing Rules & Regulations > 3. Price List
F. Vendor codes
At start of trading, vendor codes for the new products will be published on the Eurex website under the link:
Markets > Product Overview > Vendor Codes
G. 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 www.eurex.com/ec-en/ under the following link:
You will also find an updated list with details regarding Prisma-eligible Eurex products under this path.
H. Mistrade parameters
Mistrade ranges and position limits for the new products will be published as of start of trading on the Eurex website under the link:
Attachments:
- 1 – Product overview and contract specifications in table format
- 2 – Updated sections of the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland
- 3 – Updated sections of Annex C 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 | |
Contact: | Damien Zinck, Equity & Index Sales America, tel. +1-312-544-10 51, damien.zinck@eurex.com; Stuart Heath, Equity & Index Product Design, tel. +44-207-862-72 53, stuart.heath@eurex.com; Elena Marchidann, Equity & Index Product Design, tel. +44 20 7862 72 65, elena.marchidann@eurex.com | |
Web: | www.eurex.com | |
Authorized by: | Randolf Roth |
