Announcement of T7 Release 11.0 (nur in Englisch)

1.  Introduction

Deutsche Börse plans to introduce T7 Release 11.0 on 21 November 2022. The simulation period for T7 Release 11.0 is planned to start on 12 September 2022.

This circular provides T7 Trading Participants with the T7 Release 11.0 timeline, planned scope and the communication schedule.

The following functional enhancements will be introduced in T7 Release 11.0:

• Pre-Trade Risk Limits enhancements for options 
• Eurex Total Return Futures for French Government Bonds
• Publication of Herfindahl-Hirschman Index via Market Data 
• Monday and Wednesday Weekly Option Contracts
• Tag 1031 “custOrderHandlingInst” Usage Adaptions
• Introduction of non-recoverable Eurex EnLight Quotes
• Off-book trades via T7 EOBI
• Message Encryption for ETI Low Frequency Gateways

Simulation start:   12 September 2022
Production start:   21 November 2022

Learn now more about T7 Release 11.0 on our dedicated Initiative Page on the Eurex website www.eurex.com under the following link: Support > Initiatives & Releases > T7 Release 11.0. System documentation, circulars, timeline and much more information will be available there for you.

2.  Required action

As there will be no backwards compatibility, Trading Participants are requested to initiate the preparatory steps for software readiness for the new T7 Release 11.0 on 21 November 2022. 

3.  Details of the initiative

Pre-Trade Risk Limits Enhancements for Options

With T7 Release 11.0, Eurex will offer an enhanced calculation for the Pre-Trade Risk Limit (PTRL) consumption for Options. A different aggregation logic for orders and quotes will be performed as compared to Futures products to address the position effect of orders and quotes entered and executed for Options products. The logic will follow the implementation already applied for the Market Maker Protection Delta Statistics Definitions. Thus, T7 will aggregate orders and quotes based on the trade side (Buy or Sell) in combination with the options type (Put or Call) differentiation respective to their contribution towards a long or short position.

Additionally, a Quote Weighting Coefficient (QWC) will be introduced. The QWC will weigh all incoming quotes as well as the accumulated open quantity of all quotes for the Open Long Quantity (i.e. Buy Calls and Sell Puts) and the Open Short Quantity (i.e. Buy Puts and Sell Calls) respectively. A QWC can be defined on each of the three levels of the PTRL Definition and will be valid for both limits (short and long). The QWC will be configurable by the Participants in the same way as the Netting Coefficient for Future PTRL definitions.

Delta equivalent Future quantities for PTRL for Options will also be introduced to reflect the individual instruments’ appropriate risk contribution. A per instrument risk weighing will be introduced and applied on each order/quote entry and respective execution based on each option instruments delta. For this, each order and quote quantity either resting in the book or executed, will be translated into a futures delta equivalent quantity. The theoretical delta of the instrument will be distributed via the T7 reference data. 

Eurex Total Return Futures for French Government Bonds

In T7 Release 11.0, Eurex will offer Total Return Futures (TRF) for French Government Bonds. French Government Bonds TRFs aim to replicate the payoff profile of an interest rate Total Return Swap with a government bond as underlying.

Publication of Herfindahl-Hirschman Index via T7 EOBI

With T7 Release 11.0, the T7 system will calculate the Herfindahl-Hirschman Index (HHI) during continuous trading for each order and quote transaction in the respective price level and respective orderbook side as well as on each trade execution when there are no synthetic orders in the match event of the involved products. T7 EOBI will distribute one HHI indicator for the order book and one HHI indicator for the passive side of a trade to provide an indication of the HHI in pre-defined intervals. These intervals will be published in the T7 reference data.

Monday and Wednesday Weekly Options Contracts

With T7 Release 11.0, it is envisioned to prepare the necessary steps to introduce integrated Monday and Wednesday Weekly Options contracts supplementing the already existing Friday Weekly Options contracts introduced by the Next Generation ETD Contracts initiative. The display of the contract name in the T7 GUIs and the T7 reference data will be extended to reflect integrated weekly options contracts with additional weekly expirations. The contract information of the T7 reference data will also contain the weekday of a weekly option contract in case of a contract display instruction identical to “week of month”.

Tag 1031 “custOrderHandlingInst” Usage Adaptions

With T7 Release 11.0, the ETI/FIX LF Tag 1031 “custOrderHandlingInst” will become mandatory for all agency trading. Order entries and modifications without a submitted “custOrderHandlingInst” when the Trading Capacity Agency is used will be rejected.

Please note that this change will require implementation changes in the Trading Participants’ and ISVs’ applications even though the ETI/FIX interfaces do not change.

Introduction of non-recoverable Eurex EnLight Quotes

With T7 Release 11.0, Eurex will introduce a change in the Eurex EnLight functionality to only offer non-recoverable Eurex EnLight quotes to minimize its (persistency layer) footprint. It will be possible to recover the state of the Eurex EnLight quote but not the history. Additionally, there will be a new Eurex EnLight quote attribute for visibility – to be set at the time of the Eurex EnLight quote entry. Non-visible Eurex EnLight quotes will only be distributed to the submitting session of the related Eurex EnLight respondent and all subscribed sessions of the Businesses Unit of the requester of the related Eurex EnLight negotiation. Furthermore, non-visible Eurex EnLight quotes will be deleted in case of a T7 session loss of the submitting session.

Off-book Trades via T7 EOBI

The T7 Enhanced Order Book Interface (T7 EOBI) provides the entire visible order book, by publishing information on each individual order and quote side, along with executions and state information in real-time and in an un-netted manner. The interface is available for a selected group of derivatives market benchmark products and all cash market products.

With T7 Release 11.0, Trading Participants will be enabled to use the T7 EOBI interface for both on-exchange and off-book transactions. It is planned that TES reporting in EOBI will work in the same way as in EMDI today.

Message Encryption for ETI Low Frequency Gateways

ETI will provide an additional connectivity option supporting payload encryption via OpenSSL (TLS 1.2 – restricted cipher-suites).

Attachment: 

• Introduction Schedule for T7 Release 11.0, Communication Calendar for T7 Release 11.0

Further information