045/2023: MSCI derivatives: Cancellation of admission of three MSCI Futures and launch of another five MSCI Futures

1. Introduction

The Management Board of Eurex Deutschland (Eurex) and the Executive Board of Eurex Frankfurt AG took the following decisions:

• Cancellation of admission of Futures on three MSCI Real Estate Sector Indices (World, Emerging Markets and Europe) as of 12 June 2023
• Introduction of Futures on five MSCI Indices (World ex USA, EM ex China, Vietnam, as well as Re-introduction of Futures on two MSCI Real Estate Sector Indices) as of 12 June 2023
• Adjustment of the existing Liquidity Provider Scheme "Equity Index 01 - Futures on MSCI Indices" with regard to new products and products whose admission to trading will be cancelled (as of 1 July 2023)

Start of trading for the new products: 12 June 2023

2. Required action

There is no action required for participation.

3. Details of the initiative

A. Product overview

Please refer to Attachment 1 for an overview of the new products and products whose admission to trading will be cancelled.

Whereas the three MSCI Futures on World ex USA, EM ex China and Vietnam will cover new indices, the change for the Real Estate Sector indices is just for technical reasons: The currently listed Futures are based on the Real Estate Indices, which were originally set up as so-called "Industry Group" on Level 2 of the GICS-System (the sector classification system used by MSCI).

When Real Estate became a separate sector (Level 1), MSCI has introduced new indices for it. Both index versions (Level 1 and 2) were identical in the composition since then. Now, MSCI will discontinue the Level 2 indices und Eurex will accordingly cancel admission to trading of the current Futures and admit new ones for World and Emerging Markets with adjusted contract specifications. For the MSCI Europe Real Estate Sector, currently no EUR-denominated index exists, therefore at this stage no new Futures will be reintroduced.

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 scheme

As of 1 July 2023, the new products will be added to the existing Liquidity Provider (LP) scheme for MSCI Futures. Please refer to the Product Specific Supplement (PSS) (Attachment 3) 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. Further information can be found on the Eurex website under the following links:

Markets > Equity Index
Rules & Regs > Excessive System Usage Fee
Rules & Regs > 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

I. Transaction fees

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 single product basis with regard to availability, possibility of utilisation 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.

Attachments:

• 1 - Overview of the new products
• 2 - Updated Sections of the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland
• 3 - Product Specific Supplement "Equity Index 01 - Futures on MSCI Indices"

Further information

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