Eurex announces minimum day rule for EGB futures from June 2023

Eurex today announced the introduction of a 'minimum day rule' for bonds deliverable into the exchange’s German, Italian, French and Spanish bond futures from June 2023. Eurex explained:

“With volatility in rates returning, and yields starting to converge to the notional coupon, Fixed Income Futures have been witnessing abrupt shifts in CTD bonds whereby newly issued bonds can become CTD very close to expiry of the contracts. The change will help to support certainty of CTDs and price stability.”

The qualification of the bonds in the delivery basket changes as follows:

“Debt securities for all EUR-denominated Fixed Income Futures on debt securities of the Federal Republic of Germany, the Republic of Italy, the Republic of France, and the Kingdom of Spain which qualify by term and issuance volume will have to be issued prior to the first calendar day of the previous delivery month expiration cycle to be considered for delivery in the current due month. This change applies for first effective contract expiration June 2023.”

Eurex gave the following example:

Last trading day of June 2023 contract is 8 June 2023, delivery 12 June 2023.

First calendar day of the previous expiration month cycle: 1 March 2023

If a bond, qualifying by term and issuance volume, is issued before 1 March 2023, this bond will be deliverable into the June 2023 contract onwards.

If issued on or after 1 March 2023, the new bond will not be deliverable into the June 2023 contract, but could however be deliverable into contracts expiring later, if all other criteria are fulfilled.