083/2021: Money Market Futures: Introduction of 3M SARON® Futures with a new naming convention

1. Introduction

The Management Board of Eurex Deutschland took the following decisions with effect from 27 September 2021:

• Introduction of 3M SARON^® Futures (FSR3) with a new contract naming convention

Production start: 27 September 2021

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.

2. Required action

There is no specific action required for participation.

3. Details of the Initiative

To align with the new benchmark RFR market convention, the Eurex Exchanges will launch futures contracts based on the Swiss Average Rate Overnight index SARON^® over a three-month period considering the compounded interest effect. The contracts will follow the market convention, whereby the contract name matches the start of the contract period, and not the expiry.

The new contracts will be titled '3M SARON^® Futures' with Eurex product code FSR3. Other than the new naming convention of the contracts, the new contracts will mirror the contract specifications of the existing Three-Month SARON^® Futures (Eurex product code: FSO3).

Trading in the existing Three-Month SARON^® Futures contracts (Eurex product code: FSO3) will be halted with effective date 15 September 2021 once the September 2021 contract expires (all expiries beyond September 2021 have already been de-activated). It will be replaced by the 3M SARON^® Futures (FSR3) on 27 September 2021.

A. Product overview

B. Contract Specifications

The full version of the updated Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland will be published on the Eurex website as of start of trading under:

Rules & Regs > Eurex Rules & Regulations > Contract Specifications

For the detailed Contract Specifications, please see Attachments 1 and 2.

C. Trading hours

For the detailed trading hours, please see the tables in Attachment 1.

D. Transaction fees and rebates

For the detailed transaction fees and rebates, please see the tables in Attachment 1.

For details, please refer to the Price List of Eurex Clearing AG available for download on the Eurex website under this link:

Rules & Regs > Eurex Rules & Regulations > Price List

E. Trading calendar

Futures on Swiss Average Rate Overnight index SARON^® compounded over a three-month period will be available for trading on every exchange trading day at Eurex Deutschland. As of start of trading, the exact trading days can be retrieved from the trading calendar on the Eurex website under the following link:

Trade > Trading calendar

F. 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 money market derivatives. For further information, please refer to the Eurex website under the following links:

Markets > Interest Rates or

Rules & Regs > Excessive System Usage Fee
or
Rules & Regs > Order to Trade Ratio

G. Mistrade parameters and vendor codes

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

Markets > Interest Rates > Money Market Derivatives

H. 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 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 futures on the Swiss Average Rate Overnight index SARON^® will be admitted to the TES with the parameters listed in Attachment 2.

I. 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:

Services > Risk parameters

Under this link, an updated list is available with details regarding Prisma-eligible Eurex products.

Attachments:

1. Details of the initiative: Tables for: B. Contract specifications, C. Trading hours, D. Transaction fees and rebates
2. Updated sections of the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland

Further information