UPDATE: MiFID II/MiFIR: Changes in TES/EnLight Minimum Block Trade Sizes and Non-Disclosure Limits for Eurex products

UPDATE: 

In line with the recently published ESMA update on 7 September 2020, the resulting new Eurex thresholds previously announced in Eurex Circular 059/20 are now effective as of 21 September 2020, in order to concur with regulatory guidance (previously: 7 September 2020). The updated Rules & Regs are attached to this circular.

See link for more ESMA information: https://www.esma.europa.eu/press-news/esma-news/esma-provides-option-apply-annual-transparency-calculations-non-equity

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1.  Introduction

On 15 July 2020, ESMA published results of the annual transparency calculations for non-equity instruments, which was scheduled to take effect on 15 September 2020. Therefore, Eurex will adjust the TES (Trade Entry Service)/EnLight Minimum Block Trade Sizes (MBTS) as well as the Non-Disclosure Limits for certain products to ensure compliance with the ESMA pre-/post-trade thresholds, effective as of 21 September 2020 (see attachment 1).

Additionally, Eurex will introduce maturity-dependent Minimum Block Trade Sizes for TES complex instruments in EURO STOXX 50^® Index Options, effective 5 October 2020 (see attachment 2).

This circular contains information on the conversion of ESMA notional thresholds into Eurex lot sizes and the updated sections of the relevant Rules and Regulations of Eurex Deutschland.

Production start: 21 September 2020 and 5 October 2020

2. Required action

Eurex invites all Trading Participants to familiarize themselves and their clients with the new thresholds, for which the new effective date will be communicated shortly.  

3.  Details of the initiative

Conversion of ESMA EUR thresholds into Eurex lot sizes

The monetary large-in-scale (LIS) thresholds determined by ESMA in accordance with Commission Delegated Regulation (EU) 2017/583 (RTS 2) are converted into Eurex lot sizes in accordance to ESMA’s “Q&As on MiFID II and MiFIR transparency topics” last updated by ESMA on 29 May 2020.

For Single Stock/Equity Index Futures and Options, the arithmetical average closing prices of the underlying during the 12-months of the previous year is determined. If required, it is adjusted to EUR using the FX rate on the last trading day of the same period. ESMA’s LIS threshold is divided by the product of the above adjusted average price and contract size.

For Single Stock Options, at this review point Eurex does not apply the quantitative framework to analyze and evaluate MBTS revisions given the current challenging market conditions, Eurex will therefore apply only the regulatory driven MBTS increases so as to minimize further impact on Participants and clients.

For Dividend Index Futures and Options, the underlying reference price is determined using the futures prices, rather than the index, due to the recurring nature of a dividend point index.

For Single Stock Dividend Futures, the adjusted underlying average price is additionally multiplied with the benchmark dividend yield for the same period.

For Fixed Income, the LIS thresholds are converted from the notional euro amounts required by ESMA divided by the nominal amount of the respective Fixed Income Futures, multiplicated by the average futures price of the assessment period considered. As Fixed Income Futures prices are denoted in percentage terms, the observed Futures price is further divided by 100 for the calculation. 

Options on Fixed Income Futures are physically delivered with a long or short position in one Fixed Income Futures contract, so their nominal value corresponds to the underlying futures contract. The average futures price is also used to determine the average at-the-money strike, and used as a further divisor for the LIS conversion to the applicable number of options contracts.

Eurex reserves the right to amend Minimum Block Trade Sizes and Non-Disclosure Limits, even in the absence of ESMA having published updated transparency calculations, if doing so serves to further increase the transparency of the market or to protect the functioning and the integrity of the market. Any such possible amendment of Minimum Block Trade Sizes and/or Non-Disclosure Limits will be done by Eurex in line with the guidance provided in ESMA's Q&As on MiFID II and MiFIR transparency topics.

Change of Minimum Block Trade Sizes in TES complex instruments

As announced in Eurex Circular 051/19, Eurex will introduce a maturity-dependent minimum number of contracts traded also for TES complex instruments in EURO STOXX 50^® Index Options. Currently, a maturity-dependent minimum number of contracts traded is only applied for simple instruments in EURO STOXX 50^® Index Options.

Effective 5 October 2020, the following Minimum Block Trade Sizes will apply for EURO STOXX 50^® Index Options in TES:

Publication of new thresholds

You can find the TES/EnLight Minimum Block Trade Sizes on product level in the attached Contract Specifications.

The current version of the Contract Specifications can be found on the Eurex website www.eurexchange.com under:

Rules & Reg’s > Eurex Rules & Regulations > Contract specifications

As a reminder, the individual TES Profiles for simple instruments and strategies are always available on the next trading day in the file “YYYYMMDD_tradeEntryServiceProfiles.csv” on the Eurex website www.eurexchange.com under the following link:

Trade > Eurex T7 Entry Services > Eurex T7 Entry Service parameters

For the period before the above automated file is generated, a temporary file with the new thresholds will be available on the Eurex website under the following link:

Trade > Eurex T7 Entry Services > Eurex T7 Entry Service parameters

Attachments:

1. Updated sections of Contract Specifications for MiFID II Transparency MBTS
2. Updated sections of Contract Specifications for SX5E TES Complex Instruments

Further information