Pre-trade risk measures

The pre-trade risk controls we offer are the first step in helping Members to manage their risk. These tools offer Members flexibility in setting intelligent limits that reflect their risk profiles. Furthermore, they are part of our ongoing commitment to safeguarding the marketplace.

Advanced Risk Protection

In response to industry demand for enhanced intraday risk monitoring, Eurex Clearing offers a pre-trade risk management service that enables Clearing Members to define individual risk limits for their associated Trading Participants and DC Market Participants to define risk limits for themselves. These limits are based on actual calculations and result in various pre-trade actions without latency impact.

The limits are evaluated against corresponding risk figures being calculated by Prisma and any breach of a set limit can result in the restriction of further trading activity, as pre-defined by the Clearing Member or their associated Trading Participants.

How limits are defined

All Members can select from four pre-defined metrics. Each represents a different aggregate of risk values, described below:

Available actions

These new limits encourage Members to set risk limits in advance to proactively safeguard trading activities. Members specify which of three actions will be implemented when a breach of each level or risk limits occurs.

Level 1: An alert message is broadcasted to the respective member.

• An additional checkbox is available for Members to configure an automatic delete of all open orders and quotes.

Level 2: The system automatically slows down a Participant's order/quote entry and order/quote modification by enforcing a minimum delay between non-delete transactions in any single product.

• Minimum delays can be configured between 250 and 5,000 milliseconds. Setting the level to zero deactivates the feature.
• An additional checkbox is available for Members to configure an automatic delete of all open orders and quotes.

Level 3: Upon violation of a Level 3 Limit, the affected Market Participant of a CM is set to "HALT".

• All open orders, quotes and pending TES trades will be deleted in case the 'Delete Orders/Quotes' flag's value is TRUE (Hard Breach). The open orders and quotes will remain untouched in case the `Delete Orders/Quotes' flag's value is FALSE but pending TES trades will be deleted (Soft Breach).
• The affected Market Participant will be set to Halt, that is, the ETD Trading and Clearing will be halted for the concerned Market Participant. However, in case the 'Delete Orders/Quotes' flag's value is FALSE, the Clearing functions of Derivative Market will be halted for the concerned Market Participant, but the Member will be able to perform some restricted ETD Trading maintenance for orders and quotes (Soft Breach).

The affected Member is prevented from

• Entering new orders and quotes
• Carrying out Clearing functions (i.e., Give-up-/Take-ups, Position Transfers etc.).

The CM/Maintenance Participant is informed by a legal message on the C7 ARP GUI and the Eurex Clearing FIXML interface. Further notifications via T7 FIX are provided.

An e-mail notification service for ARP L3 Breaches was launched on 18 November 2024. 

Changing limits & timelines for settings

The Advanced Risk Protection service is based on real-time data being calculated by Prisma. This enables Members to implement additional risk monitoring metrics that are more complex as well as tailor-made.

Members can set risk limits using the C7 ARP GUI provided by Eurex Clearing. When Members use the GUI to enter and/or change risk limits, the new limits become valid immediately.