MSCI Index Derivatives: Introduction of additional Futures, change of tick sizes, renaming of MSCI ESG Screened Derivatives

1.  Introduction

The Management Board of Eurex Deutschland took the following decisions:

• a.  Introduction of Futures on six MSCI Indices effective as of 27 January 2025
• b.  Reduction of the tick sizes of standardized Futures strategies (Futures calendar spreads) for 12 MSCI-Futures effective as of 27 January 2025
• c.  Renaming of derivatives based on MSCI ESG Screened Indices effective as of 3 February 2025
• d.  Adjustment of the existing Liquidity Provider Schemes for MSCI Futures and MSCI Options with regard to new products and the renaming (as of 27 January 2025 and 3 February 2025)

Production start of the new products: 27 January 2025

​2.  Required action 

There is no action required for participation.

3.  Details 

• a.   Launch of new MSCI Futures

A.  Product overview

Please refer to Attachment 1 for an overview of the new products.

B.  Contract specifications

Attachment 1 contains an overview in table format.

For the detailed contract specifications please see Attachment 2.

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. Trading hours

Please refer to Attachment 1 for the trading hours.

D. Trading calendar

Futures and Options on MSCI Indices will be available for trading on every exchange trading day at Eurex Deutschland. As of start of trading, the trading days can be retrieved from the trading calendar on the Eurex website under the following link:

Trade > Trading calendar

E. Product group

The product group for the new products is contained in Attachment 1.

F. Liquidity Provider Schemes

As of 27 January 2025, the new products will be added to the existing Liquidity Provider (LP) Scheme for MSCI Futures. Please refer to the Product Specific Supplements (PSS) (Attachments 4 and 5) for the detailed incentives of the scheme, quote parameters and all further information.

G. Excessive System Usage Fee and Order-to-Trade Ratio

The Excessive System Usage Fee and the Order-to-Trade Ratio for the new products are determined in line with the existing equity index derivatives. For detailed information, please refer to the Eurex website under the following links:

Markets > Equity Index
Rules & Regs > Regulations > Excessive System Usage Fee
Rules & Regs > Regulations > Order-to-Trade Ratio

 H. Mistrade parameters and vendor codes

Mistrade ranges and vendor codes for the new index derivatives will be published as of start of trading on the Eurex website under the link:

Markets > Equity Index > MSCI Indexes

I. Transaction fees and rebates

The transaction fees stated in Attachment 1 will apply for the new MSCI derivatives. 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

 J. Admission 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 a 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:

Trade > Eurex T7 Entry Services

The new MSCI derivatives will be admitted to the TES with the parameters listed in Attachment 1.

K. 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:

Services > Risk parameters

You will also find an updated list with details regarding Prisma-eligible Eurex products under this path.

• b.   Reduction of tick sizes of Futures calendar spreads 

A. Overview

Effective 27 January 2025, the tick in futures calendar spreads for the products shown below will be changed. Accordingly, the value that represents a tick will be reduced. In the outright contracts (simple instruments), the minimum price change will remain unchanged. 

The following table contains an overview of the contracts and their tick sizes:

In the products FMED, FMJP, FMCH and FMEE there is already today a smaller tick size in the calendar spread order book than in the outright order book. 

For the other eight products, the outright and calendar spread order books will be decoupled at the same time when the futures calendar spread tick will be changed. Thereby, the synthetic matching in the outright order book with implied prices in the calendar spread book will no longer be supported by the trading system. This means that the combinations of best price orders or quotes stored in different order books (“synthetic path“) and the price determined from such a combination of order book pages (“synthetic price“), as well as path priorities for the aforementioned MSCI Futures will no longer be supported. 

Please note that in those products, where the old tick size is not a multiple of the new tick size, the orders in the calendar spread order book need to be deleted in the evening before the change is implemented.

B. Technical distribution of the product and instrument configuration

The price granularity is distributed via the instrument snapshot in RDI (Reference Data Interface). The respective instrument attributes are InstrumentPricePrecision, MinPriceIncrement and MinPriceIncrementAmount.

Please note that all MSCI Futures already have a separate, smaller tick size of 0.001 in the Eurex T7 Entry Services (TES), as announced in Eurex Circular 083/18.

The valid limit order price granularity for different instrument types and trade types can be found in the product snapshot in the field “TickRules”. 

• c.   Renaming of derivatives based on MSCI ESG Screened indices

ESMA published guidelines for the naming of funds with regard to the usage of the terms “ESG“ or sustainability. The Index provider MSCI will follow that guidance also for their indices and will rename the MSCI ESG Screened Index family into MSCI Screened as of 3 February 2025: 

CONCLUSIONS FROM THE CONSULTATION ON PROPOSAL TO RENAME SOME MSCI ESG INDEXES

This change should be reflected also in the names of the derivatives as of the same date, as in Attachment 3.
 

Attachments: 

• 1 – Product overview
• 2 A – Updated sections of the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland (changes as of 27 January 2025)
• 2 B – Updated Annexes of the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland (changes as of 27 January 2025)
• 3 A – Updated sections of the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland (changes as of 3 February 2025)
• 3 B – Updated Annexes of the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland (changes as of 3 February 2025)
• 4 – Product Specific Supplement „Equity Index 01 - Futures on MSCI Indices”
• 5 – Product Specific Supplement „Equity Index 02 - Options on MSCI Indices”

Further information