Money Market Derivatives: Introduction of new Inter-Product Spread Strategies, adjustment of the Contract Specifications and adjustment of Liquidity Provider Scheme PSS “Fixed Income - 17”

1.  Introduction

The Management Board of Eurex Deutschland took the following decision with effect from 2 March 2026:

• Introduction of new Inter-Product Spread Strategies " Euro-STR - Euribor Box" as Combined Instrument (“FBOX”)
• Amendment of the expiration cycle of Options on Three-Month Euro-STR Futures (OST3)
• Amendment of the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland (hereafter: Contract Specifications) pursuant to Attachment 1
• Amendment of the Annexes to the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland pursuant to Attachment 2 

The Executive Boards of Eurex Frankfurt AG and Eurex Clearing AG took the following decision with effect from 2 March 2026:

• The Product Specific Supplement (PSS) for Three-Month Euribor Futures (FEU3) and Three-Month Euro STR Futures (FST3) “Fixed Income 17” will be amended as shown in Attachment 3

Production start: 2 March 2026

The Management Board of Eurex Deutschland took the following decision with effect from 30 March 2026:

• Amendment of the Annexes to the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland pursuant to Attachment 4 

Production start: 30 March 2026

2.   Required action

Trading Participants are recommended to check their open orders and quotes in Money Market Index Derivatives with the start of trading on 30 March 2026 and are also recommended to pay close attention to the information included in the attachments and analyze the potential impact in their own technical systems. Therefore, it might be necessary for Trading Participants to update their internal processes and technical interfaces to adapt for this change. 

Liquidity Providers should adapt their quotation behavior accordingly.

3.   Details of the initiative

A.    Introduction of new Inter-Product Spread Strategies "Euro-STR - Euribor Box" “FBOX” as a Combined Instrument
 
In addition to the existing Inter-Product Spread Strategies “ESEU”, Eurex Deutschland (“Eurex”) will introduce under the product ID “FBOX” new combined instrument strategies which are a combination of two Euro-STR (Product ID: FST3) and two Euribor (Product ID: FEU3) contracts. 

For example, buying an Inter-Product Spread “FBOX” allows market participants to simultaneously buy a future contract on the Euro-STR (Product ID: FST3), sell a future contract on Euribor (Product ID: FEU3) both with the same display month as well as sell an Euro-STR (Product ID: FST3) and buy a future contract on Euribor (Product ID: FEU3) both with the succeeding quarterly display month, the leg ratio between the four contracts is 1:1:1:1.
 
At the start of trading on 2 March 2026, the following combination will be available:

• 1)    Buy Euro-STR March 2026 – Sell Euribor March 2026
  Sell Euro-STR June 2026 – Buy Euribor June 2026
• 2)    Buy Euro-STR June 2026 – Sell Euribor June 2026
  Sell Euro-STR September 2026 – Buy Euribor September 2026
• 3)    Buy Euro-STR September 2026 – Sell Euribor September 2026
  Sell Euro-STR December 2026 – Buy Euribor December 2026
• 4)    Buy Euro-STR December 2026 – Sell Euribor December 2026
  Sell Euro-STR March 2027 – Buy Euribor March 2027
• 5)    Buy Euro-STR March 2027 – Sell Euribor March 2027
  Sell Euro-STR June 2027 – Buy Euribor June 2027
• 6)    Buy Euro-STR June 2027 – Sell Euribor June 2027
  Sell Euro-STR September 2027 – Buy Euribor September 2027
• 7)    Buy Euro-STR September 2027 – Sell Euribor September 2027
  Sell Euro-STR December 2027 – Buy Euribor December 2027
• 8)    Buy Euro-STR December 2027 – Sell Euribor December 2027
  Sell Euro-STR March 2028 – Buy Euribor March 2028
• 9)    Buy Euro-STR March 2028 – Sell Euribor March 2028
  Sell Euro-STR June 2028 – Buy Euribor June 2028
• 10)   Buy Euro-STR June 2028 – Sell Euribor June 2028
  Sell Euro-STR September 2028 – Buy Euribor September 2028

Special situations due to the synthetic matching of the IPS to the underlying futures contracts and consequences of transaction cancellations

Please refer to details in Eurex Circular 099/23​ “Money Market Derivatives: Introduction of Inter-Product Spread Strategies and introduction of a temporary transaction fee waiver for certain products” sent out on 10 November 2023. 

B.    Amendment of the expiration cycle for Options on Three-Month Euro-STR Futures

Accordingly, to the amended “Contract Specifications” as outlined chapter 2.2.5. in Attachment 1, the expiration cycle for Options on Three-Month Euro-STR Futures (product ID: “OST3”) will be reduced from the next four months as well as eight succeeding months of the cycle March, June, September and December thereafter to next four months as well as seven succeeding months of the cycle March, June, September and December thereafter.  

C.    Amendment of the PSS “Fixed Income 17 – Three-Month Euribor Futures and Three-Month Euro-STR Futures”

The additional incentive component based on the open interest in Three-Month Euro STR Futures initially introduced on 1 July 2024 will be extended for the month of March 2026, as described in section 4.1 of the PSS ‘Fixed Income 17 - Three-Month Euribor Futures and Three-Month Euro STR Futures’. It will be effective as of 2 March 2026 with updated parameters. 

Furthermore, effective from 1 April 2026, the amendments in section 1, 2, 3.2, 4.1 and 5.5 with regards to the IPS Box (product ID: “FBOX”) as well as the extension of Phase 1 from 31 March 2026 to 30 June 2026 will be adjusted as shown in Attachment 3. 

The amendments shall be deemed approved unless objected to Eurex Frankfurt AG and Eurex Clearing AG within a period of two weeks after notification of this circular pursuant to Number 4 (2) of the Liquidity Provider Agreement.

The current versions of the PSS documents are also available in PDF format on the Eurex website www.eurex.com under the following path:

Market-Making and Liquidity provisioning

D.    Change of the allocation scheme for Money Market Index Futures

Effective from 30 March 2026, Eurex will change the allocation scheme for the Money Market Index Futures from “time” to “time-pro rata”, as shown in Attachment 4. 

This change will affect all existing Money Market Index Futures, in particular Futures contracts on the Three-Month Euribor (Product ID: FEU3), Three-Month Euro-STR Futures (Product ID: FST3), ECB Dated Euro-STR Futures (Product ID: FEMP) and on the 3M SARON^® Futures (Product ID: FSR3).

To ensure orderly and fair market conditions with the start of trading on 30 March 2026, Eurex will cancel all open orders and quotes after the close of trading on 27 March 2026. Therefore, Trading Participants are required to re-enter their own orders accordingly.

Adaptation to the new allocation scheme in the simulation environment will take place after the end of trading on 3 March 2026. With the start of trading on 4 March 2026, the abovementioned products will be available in the simulation environment with the allocation scheme “Time-Pro-Rata”.
 

Attachments:

• 1 – Amended sections of the Contract Specifications for Futures Contracts and Options Contracts at
  Eurex Deutschland
• 2 – Amended sections of Annex C to the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland
• 3 – Amended Product Specific Supplement (PSS) for Three-Month Euribor Futures (FEU3) and Three-Month Euro STR Futures (FST3) “Fixed Income 17”
• 4 – Amended sections of Annex E to the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland

Further information