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1. Introduction
The Management Board of Eurex Deutschland took the following decisions with effect from Monday, 1 July 2024:
I.:
o The full trading day for MSCI Index Total Return Futures
o To introduce Delta Neutral TAM (Trade- at-Market) to support delta-neutral strategies entered into the T7 trading system via T7 Entry Services for MSCI Index Total Return Futures
II.:
o Introduction of quarterly expiries for EURO STOXX® 50 Index Dividend Futures
o Extension of contract expirations up to seven years for selected Single Stock Dividend Futures
This circular contains all information on the trading-related updates as stated above and the updated sections of the relevant Rules and Regulations of Eurex Deutschland.
Production start: 1 July 2024
Simulation start: Already available in simulation
2. Action required
Participants are recommended to completely analyze the potential impact in their internal systems and procedures of the above changes.
3. Details
I. MSCI Index Total Return Futures
A. MSCI TRFs Contract Specifications overview
Please find the overview in Attachment 1.
B. Delta-neutral Trade-at-Market Trades
The objective of the Delta TAM functionality in T7 Entry Services 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. More information is available in Eurex circular 039/24.
Please find an overview of products for which the Delta-neutral Trade-at-Market functionality will be available in Attachment 1.
II. Dividend Derivatives
The expiration cycle available for EURO STOXX® 50 Index Dividend Futures (FEXD) will be amended such that additional quarterly expiries are introduced (for September and March) and that going forward expirations covering the next three quarters in the March, June, September, and December cycle are always available at Eurex Deutschland.
In addition, the contract expirations for selected Single Stock Dividend Futures will be extended up to seven years.
An overview of the products can be found in Attachment 1.
Please refer to Attachment 2 for the complete amendments to the Contract Specifications and to Attachment 3 for the amendments to Annexes C and D 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
Attachments:
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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