On Apr. 4, Eurex replaced Euribor-Euro-STR Spread with Euro-STR.
Eurex announced changes to inter-product spread strategies and adjustment of liquidity provider schemes for Euribor and Euro STR Futures in PSS Fixed Income 17.
Euro-STR - Euribor Spread
With effect from May 6, 2024, Eurex announced replacement of inter-product spread strategies Euribor - Euro-STR Spread as combined instrument (IPEE) with inter-product spread strategies Euro-STR - Euribor Spread as combined instrument (ESEU).
On the same date, to reflect the change, amendment of Eurex contract specifications for futures contracts and options contracts pursuant to attachments 1 and 2.
Also with effect from May 6, 2024, 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; PSS amendments will be deemed to have been approved if liquidity provider does not lodge objections with Eurex, EUREX Cleat within 2 weeks of notifying the amendment per number 4(2) of liquidity provider agreement.
PSS fixed income 17 section 4.1 modified to clarify measurement of Net Open Interest component includes M-account and P-account activity of scheme liquidity providers.
