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Eurex
1. Introduction
The Management Board of Eurex Deutschland and the Executive Boards of Eurex Frankfurt AG and Eurex Clearing AG took the following decisions:
With effect from 1 April 2020:
with effect from 6 April 2020:
2. Required action
Liquidity Providers (LPs) should adapt their systems that import the Liquidity Provider/Market Maker parameters and align their quotation behaviour with the new requirements.
3. Details
A. Change of the General Supplement to incorporate changes with regards to Eurex EnLight
The current requirement for Eurex EnLight Liquidity Providers in equity and equity index products is to respond to Eurex EnLight quote requests (RFQs) if the size of the RFQ is at or above the Eurex EnLight Minimum Block Trade Size (EMBTS). However, the Requester may specify a concrete size in the RFQ and choose not to show the size to the Responder. From 1 April 2020, such RFQs will not be counted as valid.
The “alternative solution to pass the certification test”, as announced in Eurex circular 039/19 and prolonged in Eurex circular 115/19, will cease as planned on 31 March 2020, i.e. it will not be prolonged beyond that date. Thus, from 1 April 2020, the basic requirement to receive any Eurex EnLight LP rebates will be the fulfilment of the certification test.
Both changes are reflected in the updated version of the General Supplement (Attachment 1).
B. Change of Liquidity Provider/Market Maker requirement parameter files
The files containing the Liquidity Provider/Market Maker requirement parameters are available:
Effective 1 April 2020, these files will be amended in order to reflect
A description of the files and the corresponding scheme files and examples for the XML- and Excel-file are attached to this circular (Attachment 2).
Eurex Exchange recommends that any automated imports of LP parameters should be based exclusively on the XML file on the Common Report Engine.
Eurex Exchange advises against using the Excel file “Program, Product, Size and Spread details” from the Eurex website as a source for automated data import, as it is designed to enable manual cross checks of imported parameters. Also, the structure, format and content of the file may be adapted at short notice.
C. Change in spread classes for selected equity options
With effect from 6 April 2020, the following changes will be made in the Liquidity Provider (LP) scheme for the equity options as specified below:
| Product | Product name | Spread Class old | Spread Class new | |||
| BEA | OPT ON BELIMO Holding AG | OSTK 21 | OSTK 22 | |||
| SOF | OPTION ON SOFINA S.A. | OSTK 8 | OSTK 18 | |||
| GBF | OPT ON BILFINGER SE | OSTK 2 | OSTK 4 | |||
| DUFN | OPT ON DUFRY AG | OSTK 8 | OSTK 9 |
The new Spread Class OSTK 22 is defined as follows:
| Bid up to | Maximum spread | Unit |
| 500 | 125 | Tick |
| 2500 | 25 % | Percent |
| 625 | Tick |
Attachments:
Further information
| Recipients: | All Trading Participants of Eurex Deutschland and Vendors |
| Target groups: | Front Office/Trading, Middle + Backoffice, IT/System Administration, Auditing/Security Coordination |
| Contact: | Eurex Market Models, marketmaking@eurexchange.com, tel. +49-69-211-1 34 41 |
| Web: | Market-Making and Liquidity provisioning |
| Authorised by: | Randolf Roth |
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