Eurex
1. Introduction
The Management Board of Eurex Deutschland took the decisions with effect from 22 April 2024:
This circular contains all information on the introduction of the Delta TAM trades and the updated sections of the relevant Rules and Regulations of Eurex Deutschland.
Simulation: The new functionality for Delta TAM trades is already available for testing in the simulation environment.
Start of Production: 22 April 2024
2. Action required
Trading Participants interested in trade type Delta TAM are recommended to analyze the potential implementation impact in their internal systems due to the introduction of the new T7 TES functionality.
3. Details of the initiative
A. Overview
The objective of the new T7 Entry Services (TES) functionality is to support market participants entering delta hedged Index Total Return Futures (TRFs) in conjunction with the corresponding Index Futures via a new TES type (Delta TAM) in the Eurex T7 trading system.
Today, delta neutral trades with Index TRFs are executed as two separate TES trades with opposite market sides, usually as a front-month of regular Index Futures contract traded in conjunction with a longer dated expiry of the related Index TRF contract (for example a Buy EURO STOXX 50® Index Futures front month – e.g. FESX JUN24 and Sell EURO STOXX 50® Index TRF with a longer dated expiry – e.g. TESX DEC26).
The Index TRF contract component (e.g. TESX DEC26) is executed as a Trade-at-Market (TAM) trade with the market participant entering a custom index “strike” which is determined based on the:
The new functionality Delta TAM will facilitate crossing of the two related products as a package which will ensure the execution of both components at the same time. The main features of the new functionality are:
When entering a Delta TAM trade, the trader needs to enter a valid combination of related instruments:
Products | Minimum Number of Contracts Traded | |
Index Total Return Futures (“TRF”) | Index Futures Contract | |
Index Total Return Futures Contracts on the EURO STOXX® 50 Index (TESX) | Futures Contracts on the EURO STOXX 50® Index (FESX) | 100 |
EURO STOXX® Banks Index (TESB) | Futures Contracts on the EURO STOXX® Banks Index (FESB) | 100 |
Index Total Return Futures Contracts on the EURO STOXX® Select Dividend 30 Index (TEDV) | Futures Contracts on the EURO STOXX® Select Dividend 30 Index (FEDV) | 10 |
Index Total Return Futures Contracts on the FTSE® 100 (TTUK) | Futures Contracts on the FTSE® 100 (FTUK) | 50 |
The Delta TAM strategies will be executed as follows:
BUY DeltaTAM = Buy Index TRF + Sell Index Futures Contract
SELL DeltaTAM = Sell Index TRF + Buy Index Futures Contract
The trader needs to enter the following information for Delta TAM strategies:
Basis in index points = Price of Index Futures Contract – Custom Index Level for Index TRF Contract
Delta TAM strategies can be traded both bilaterally and multilaterally. Delta TAM TES type is only relevant for trading via T7 trading system - after the trade execution, the Delta TAM trade will be split by its leg components into two single trades when routed to the C7 clearing system.
B. Contract Specifications and product parameters
Please refer to the Attachment for the amendments 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
C. Eurex T7 Entry Services (TES)
The Index Futures Contracts and Index TRF Contracts in scope for the Delta TAM trades are already admitted to the Eurex T7 Entry Services (TES).
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
Attachment:
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: | Stuart Heath, Equity & Index Product Design, tel. +44-207-862-72 53, stuart.heath@eurex.com, | |
Web: | www.eurex.com | |
Authorized by: | Randolf Roth |
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