The current Excessive System Usage (ESU) limit regime works well during normal market periods. However, during extreme events, the limits are too restrictive. In the past, Eurex accounted for this shortcoming by manually increasing the limits when necessary. This manual intervention was to some extent not predictable for Trading Participants.
To improve the situation, Eurex will introduce a so-called volatility factor into the ESU limit regime. The volatility factor will scale up the limits once the volatility increases above pre-defined thresholds. Please see the tables in Attachment 3 for the new ESU parameters.
Furthermore, Eurex has decided to increase the floor for the “No Market Data limit” for the product types FINX, FBND and OINX to give more headroom to the Trading Participants.
Both changes will come into effect on 1 December 2023.
Also with effect from 1 December 2023, the General Terms and Conditions to the Connection Agreement and the corresponding Price List to Connection Agreement, Provider Connection Agreement and STPIP and QTPIP Connection Agreement will be amended to that effect. Please see Attachments 2 and 3, respectively, for details.
2. Required action
We recommend to analyse previous TR102 Excessive System Usage Reports for the last months. Upon request, Eurex will provide back-testing results.
To overcome the problem of non-predictability of manual interventions, Eurex will introduce a “volatility factor” into its ESU limit regime (multiplied to the floor). The volatility factor consists of a monotonic increasing step function and will increase the limits with increasing volatility. Thresholds and step levels are contained in Attachment 3.
In general, the volatility factor has four steps: 1, 1.5, 2, 4 which reflect the nonlinear impact of changes in volatility on transaction rates. The volatility indicator is calculated based on the overnight return and the intraday realized variance using the calculation steps outlined in Attachment 1.
The volatility indicator will be calculated per product type for one benchmark product.
Details on the parametrization can be found in Attachment 3 in the second to fourth tables (page 3ff).
Report TR102 Excessive System Usage will be enhanced with T7 Release 12.0 to reflect this change. The columns VOLATILITY INDICATOR and VOLATILITY FACTOR will contain the corresponding values. The second to fourth tables in Attachment 3 contain the necessary parameters.
Report TR104 Eurex Daily ESU Parameter will also be enhanced with T7 Release 12.0 to reflect the additional parameters.
The No Market Data limits have become too restrictive, hence Eurex increased the floor where necessary. The first table in Attachment 3 contains the corresponding parameters.
Furthermore, to ease the identification of traders/sessions which cause ESU violations, Eurex will introduce with T7 Release 12.0 the TR107 Excessive System Usage Detailed Transaction Report. For every case where a Participant was close to or had an ESU violation, the report contains the corresponding information of the User and Session (based on the CB069 Transaction Report). All cases with less than 30 percent headroom are included.
Details on the Excessive System Usage Fee can be found in the ESU white paper on the Eurex website www.eurex.com as of the effective date under this link:
Rules & Regs > Excessive System Usage Fee
The full versions of the updated General Terms and Conditions to the Connection Agreement and the corresponding Price List will be published on the Eurex website www.eurex.com as of the effective date under this link:
Rules & Regs > Eurex Rules & Regulations > 04. Connection Agreements
All Trading Participants of Eurex Deutschland and Vendors
Front Office/Trading, Middle + Backoffice, IT/System Administration
|Rules & Regs > Excessive System Usage Fee|
Market Status ⓘ
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Please find further information about incident handling in the Emergency Playbook published on the Eurex webpage under Support --> Emergencies and safeguards. Detailed information about incident communication, market re-opening procedures and best practices for order and trade reconciliation can be found in the chapters 4.2, 4.3 and 4.5, respectively. Concrete information for the respective incident will be published during the incident via newsboard message.
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