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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 December 2019:
These changes are reflected in the General Supplement (GS) and the Product Specific Supplements (PSS) to the Liquidity Provider Agreement, as well as the Price List of Eurex Clearing AG (Price List), which are attached to this circular. Please refer to Eurex Clearing circular 090/19 for the change of the Price List.
2. Required action
Liquidity Providers (LPs) should adapt their quotation behaviour accordingly.
3. Details of the initiative
3.1 Discontinuation of the requirement for LPs to respond to outright RFQs
Currently, responding to outright quote requests is a part of the Basis Building Block (BBB) requirements for Liquidity Providers. This requirement is valid for selected index products (OESX, ODAX, OSMI and OSLI) and for all equity options products. With effect from 1 December 2019, this requirement will be discontinued in order to reduce the complexity of Liquidity Provider requirements.
3.2 Increase of Larger Size Building Block (LBB) factors in options categorised in Liquidity Classes 1 and 2
The Larger Size Building Block (LBB) allows LPs to earn further rebates by quoting a larger size than required by the BBB minimum size requirement. To further improve the order book quality for liquid options products, the required factors for the LBB are increased as follows, effective from 1 December 2019:
Product Group | Liquidity Class 1 | Liquidity Class 2 | Liquidity Class 3 | |||
Equity Index Options | old: 1.4 new: 2.0 | old: 1.3 new: 1.5 | 1.1 | |||
Equity Options | old: 1.2 new: 2.0 | old: 1.2 new: 1.5 | 1.1 | |||
Interest Rate Options | old: 2.0 new: 4.0 | old: 2.0 new: 4.0 | 1.1 |
The increase in the LBB factors are further accompanied by the following changes in Liquidity Class assignments of following equity options:
Product | Name | Liquidity Class until | Liquidity Class from | |
ABBN | OPT ON ABB LTD | 2 | 1 | |
AXA | OPT ON AXA | 2 | 1 | |
CBK | OPT ON COMMERZBANK AG | 1 | 2 | |
IFX | OPT ON INFINEON | 2 | 1 | |
ISPA | OPT ON ARCELOR MITTAL | 2 | 3 | |
RWE | OPT ON RWE AG -ST- | 2 | 3 |
In addition, the following changes are made with regards to the minimum size requirement for the Basis Building Block (BBB):
Product | Name | BBB minimum size until | BBB minimum size from | |
NES1 | 1ST FRIDAY OPT ON NESTLE | 100 | 50 | |
NES2 | 2ND FRIDAY OPT ON NESTLE | 100 | 50 | |
NES4 | 4TH FRIDAY OPT ON NESTLE | 100 | 50 | |
NES5 | 5TH FRIDAY OPT ON NESTLE | 100 | 50 | |
NESE | OPT E ON NESTLE AG, NOM | 100 | 50 | |
NESN | OPT ON NESTLE AG | 100 | 50 |
3.3 Discontinuing the monetary incentive in options for the Stress Presence Building Block (SBB)
The monetary incentive of the Stress Presence Building Block (SBB), currently available for index options and selected equity and ETF options, will be discontinued effective 1 December 2019, to further reduce the complexities of the Liquidity Provider model. The 10 percent Liquidity Provider rebate which is currently attached to the SBB, will be assigned to the BBB (+ 5 percent) and the LBB (+ 5 percent).
The following table is an excerpt of the amended Price List of Eurex Clearing AG for Liquidity Provider Rebates in Index Options and Equity Options:
Execution Type | Building Blocks | Liquidity Class 1 | Liquidity Class 2 | Liquidity Class 3 | ||||
Order Book | Basis | old: 10% | old: 15% | old: 45% | ||||
Package | 20% | 20% | 20% | |||||
Strategy | 15% | 15% | 0% | |||||
Larger Size | old: 15% | old: 15% new: 20% | old: 15% new: 20% | |||||
Tighter Spread | 10% | 10% | 0% | |||||
Stress Presence | old: 10% | old: 10% new: 0% | old: 10% new: 0% | |||||
Total | 80% | 85% | 90% | |||||
Eurex EnLight | unchanged | |||||||
TES | unchanged | |||||||
The following table is an excerpt of the amended Price List of Eurex Clearing AG for Liquidity Provider Rebates in ETF Options:
Execution Type | Building Blocks | ETF Options | ||
Order Book | Basis | old: 40% new: 50% | ||
Package | 25% | |||
| Stress Presence (deleted) | old: 10% new: 0% | |||
Total | 75% | |||
TES | unchanged | |||
The non-monetary incentives for Liquidity Provider performance (increased limits for the Excessive Systems Usage fee) during Stressed Market Conditions will continue to be in place.
Attachments:
1. General Supplement to the Liquidity Provider Agreement
2. Product Specific Supplements to the Liquidity Provider Agreement:
3. Price List of Eurex Clearing AG
| Recipients: | All Trading Participants of Eurex Deutschland and Vendors |
| Target groups: | Front Office/Trading, Middle + Backoffice, IT/System Administration, Auditing/Security Coordination |
| Contact: | Derivatives Trading Operations, eurextrading@eurexchange.com, T +49-69-211-1 12 10 |
| Web: | www.eurexchange.com |
| Authorized by: | Randolf Roth |
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