25 May 2021

Eurex

UPDATE: MiFID II/MiFIR: 1. Changes in TES/EnLight Minimum Block Trade Sizes based on ESMA's annual transparency calculations and 2. Non-Disclosure Limits for Eurex products and introduction of intra-day Non-Disclosure Limits for Dividend Futures

UPDATE: Eurex Circular 046/21 MiFID II/MiFIR: 1. Changes in TES/EnLight Minimum Block Trade Sizes based on ESMA's annual transparency calculations and 2. Non-Disclosure Limits for Eurex products and introduction of intra-day Non-Disclosure Limits for Dividend Futures


Update:

Please find attached an update to the Contract Specifications with a clarifying correction with regard to the Minimum Block Trade Sizes (MBTS) for weekly expiring options contracts of the EURO STOXX® Banks Index Group.

All changes are highlighted.


1.    Introduction

On 30 April 2021, ESMA published results of the annual transparency calculations for non-equity instruments, which will come into effect on 31 May 2021. 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 31 May 2021.

In addition, with effect from 31 May 2021, the Management Board of Eurex Deutschland decided to introduce intra-day Non-Disclosure Limits for trades entered using the Eurex T7 Entry Services (TES) for EURO STOXX® 50 Index Dividend Futures (FEXD) and Single Stock Dividend Futures.

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: 31 May 2021

Learn more about Eurex topics! To help Trading Participants keep up with all Eurex updates, all support information is now available via Eurex Support and on the go via the personalized Eurex App.

2.    Required action

Eurex requests all Trading Participants to familiarize themselves and their clients with the new thresholds which will become effective as of 31 May 2021.

3.    Details of the initiative

You can find the updated TES/EnLight Minimum Block Trade Sizes on product level in the attached Contract Specifications. Please refer to Eurex Circular 059/20 for details on the conversion of ESMA EUR thresholds into Eurex lot sizes.

The full version of the updated Contract Specifications will be published on the Eurex website www.eurex.com as of start of trading on 31 May 2021 under the following link:

Rules & Regs > Eurex Rules and 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 under the following link:

Data > Trading files > T7 Entry Service parameters

For the period before the above automated file is generated, a temporary file with the new thresholds is available under the same link.

Non-Disclosure-Limits

Non-disclosure is an optional feature for transactions above a certain volume threshold. Where this threshold is reached or exceeded, the entering trader of bilateral TES or EnLight trades can select intraday publication or non-disclosure by Eurex Exchange’s T7 for these trades. The default setting for transactions above a certain volume threshold is set to non-disclosure in T7.

Effective 31 May 2021, the following Non-Disclosure Limits will apply:

Product name

Non Disclosure Limit

EURO STOXX 50® Index Dividend Futures (FEXD)

5,000

SSDF for dividend >= 0.75 (EUR, CHF, GBP, USD)

2,500

SSDF for dividend 0.45 - 0.74 (EUR)

4,500

SSDF for dividend 0.30 - 0.44 (EUR)

4,500

SSDF for dividend 0.15 - 0.29 (EUR)

4,500

SSDF for dividend < 0.15 (EUR)

4,500

SSDF for dividend 0.25 - 0.74 (CHF, GBP, USD)

4,500

SSDF for dividend <0.25 (CHF, GBP, USD)

4,500

Attachment:

  • Updated sections of the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland 


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:

client.services@eurex.com

Related circular:

Eurex circular 059/20

Web:

www.eurex.com

Authorized by:

Michael Peters

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