26 May 2021

Eurex

What do I need to know about upcoming TES/EnLight Minimum Block Trade Sizes and Non-Disclosure Limits for Eurex products?


Why are TES/EnLight Minimum Block Trade Sizes and Non-Disclosure Limits changed for Eurex Products?

ESMA calculates the regulatory transparency thresholds as part of their annual review process. Eurex is obligated to make specific amendments according to the findings of the ESMA review to remain in compliance. The aim of the ESMA review is to ensure high standards of pre-trade and post-trade transparency. Once the new updated Euro-denominated levels are communicated by ESMA (by April 30 of any given year) exchanges can convert the Euro-denominated thresholds into "lots" and publish the resulting thresholds, namely the Minimum Block Trade Sizes (MBTS), after 15 working days following the ESMA publication. According to regulatory requirements the thresholds also need to be applied in systems and documentation (by June 1st of any given year). The short lead times are stipulated in regulatory requirements and guidance, which need to be adhered to by Eurex and subsequently by market participants.

In 2021, after this year's ESMA publication on Friday, 30 April, Eurex published the circular announcing the new MBTS on Tuesday, 25 May and is applying the new MBTS on Monday, 31 May.

Regulatory pre-requisites in the form of Commission Delegated Regulation and ESMA Q&As can be retrieved under following links:

Which products are concerned?

For the change of the MBTS, the full list of products and changes is available here or in machine readable format under Data > Trading files > T7 Entry Service parameters.

For the intra-day Non-Disclosure Limits for trades entered using the Eurex T7 Entry Services (TES) EURO STOXX 50® Index Dividend Futures (FEXD) and Single Stock Dividend Futures are concerned
 

How can I find the new levels fastest?

The fastest way to find the new thresholds is via the product search. In addition, as machine readable format under Data > Trading files > T7 Entry Service parameters.  

Next to that, the full version of the updated Contract Specifications will be published as of start of trading on Monday, 31 May 2021 under Rules & Regs > Eurex Rules and Regulations > Contract Specifications.
 

Where can I find the new parameters before the effective date?

For the period before a temporary file with the new thresholds is available at  Data > Trading files > T7 Entry Service parameters

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