041/2023: MiFID II/MiFIR: Changes in TES/Eurex EnLight Minimum Block Trade Sizes and Non-Disclosure Limits for Eurex products

1. Introduction

On 28 April 2023, ESMA published results of the annual transparency calculations for non-equity instruments. Therefore, Eurex will adjust the TES (Trade Entry Service)/Eurex 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 5 June 2023.

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: 5 June 2023

2. Required action

Eurex invites all Trading Participants to familiarize themselves and their clients with the new thresholds which will become effective as of 5 June 2023.

3. Details

A. Contract specifications and product parameters

You can find the updated TES/Eurex EnLight Minimum Block Trade Sizes on product level in the attached Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland (hereafter: 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 under:

Rules & Regs > Eurex Rules & Regulations > 03. Contract Specifications

B. 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 Eurex 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.

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 will be available on the Eurex website under the same link.

Attachments:

• 1 - Updated sections of the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland
• 2 - Updated sections of the Annexes to the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland

Further information

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