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June 19, 2014

Eurex Launch a Euribor Initiative | Incentives to Grow Liquidity

Eurex announce the launch of a Euribor Initiative:

This comprises a revenue sharing programme, introduction and extension of market making programmes for options and futures in Euribor which will commence from 1 July 2014 – details: https://www.eurexclearing.com/clearing-en/resources/circulars/968522/.

1. Extension of the existing Market-Making price model in EURIBOR Futures (FEU3),

2. Introduction of Spread Market-Making in EURIBOR Futures (FEU3),

3. Introduction of a long-term revenue sharing component in EURIBOR Futures (FEU3) for Spread Market Makers,

4. Introduction of a new Market-Making price model in EURIBOR Options (OEU3) and EURIBOR Mid Curve Options (OEM1, OEM2, OEM3, OEM4),

5. Introduction of a Market Maker volume rebate model for EURIBOR Options (OEU3),

6. Introduction of long-term revenue sharing scheme for EURIBOR Options (OEU3) and EURIBOR Mid Curve options (OEM1, OEM2, OEM3, OEM4) for Market Makers,

7. Introduction of long-term revenue sharing scheme in EURIBOR Futures for Marker Makers in EURIBOR Options.

The conditions and details as well as the exact parameters of the respective programmes in den corresponding products are contained in Eurex circulars 126/14 and 127/14. 

This Initiative follows on from the launch on 26th May 2014 at Eurex Clearing of the Cross Margining of Eurex Fixed Income Futures and Options with IRS giving both the Buy Side and Sell Side significant margin savings. See below for actual Sell Side Listed/IRS Portfolios which generated margin savings of between 40% and 59% with the introduction of Euribor into cross margining generating evan greater margin efficiencies. The Sell Side genaerate additional benefits from Cross Margining with the lower capital regulatory requirement due to the ability of netting exposures.    


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