Amendments to the parameters for the calculation of the Order-to-Trade Ratio and the Excessive System Usage Fee due to increased market volatility

1.   Introduction

Due to the ongoing increased market volatility with regard to the recent events at Silicon Valley Bank, Eurex has adjusted the parameters for the calculation of the Order-to-Trade Ratio (OTR) as well as the parameters for the calculation of the Excessive System Usage Fee (ESU) as of 15 March 2023. The adjusted parameters are valid for all products admitted to trading at Eurex Deutschland until 31 March 2023.

The goal of this measure is to provide all market participants with enough headroom to continue regular trading and market-making activities for all products admitted to trading at Eurex Deutschland.

In particular, Eurex has decided to change the parameters for the calculation of the Order-to-Trade-Ratio to

• increase all Volume based base limits by 50 percent for all product groups
• increase all Transaction based base limits by 50 percent for all product groups 

and to change the parameters for the calculation of the Excessive System Usage Fee to

• increase all non-MM floors and all MQ bases by 50 percent for all product groups for the “Transaction limit for standard orders”;
• increase all non-MM floors and all MQ bases by 50 percent for all product groups for the “Transactions without market data update” and
• increase all non-MM floors and all MQ bases by 50 percent for all product groups for the “Transaction limit for all transactions”.

Effective date: 15 March 2023

2.   Required action

No action is required.

3.    Details

The table in Attachment 1 shows the amended parameters used to calculate the OTR for all product groups. 

The table in Attachment 2 shows the amended parameters used to calculate the ESU Limit for all limit types and product groups.

Attachments:

• 1 – New OTR parameters, applied as of 15 March 2023
• 2 – New ESU parameters, applied as of 15 March 2023

Further information