Foreign Exchange (FX) derivatives: Amendments to the Liquidity Provider scheme for ETD FX Futures and Rolling Spot Futures

1. Introduction

The Management Board of Eurex Deutschland, the Executive Board of Eurex Frankfurt AG and the Executive Board of Eurex Clearing AG took the following decision with effect from 1 October 2019:

• Amendment of the “Product Specific Supplement (PSS) for FX Futures and Rolling Spot Futures" to the Liquidity Provider Agreement

The amendments to the Product Specific Supplement for FX Futures and Rolling Spot Futures (“PSS”) are made to support the continuous market and volume development. 

All changes to the PSS as attached to this circular shall become effective on 1 October 2019. They will be deemed to have been approved by the Liquidity Providers, if the Liquidity Providers do not lodge objections with Eurex Frankfurt AG and Eurex Clearing AG within fifteen (15) business days of publication of this circular. 

2. Participation requirements 

In order to participate in the Liquidity Provider scheme for FX Futures and Rolling Spot Futures, Liquidity Providers must fulfil the specific quality criteria and conditions, as outlined in the attached PSS to the Liquidity Provider Agreement.

Interested Eurex Trading Participants are invited to become Liquidity Providers in the FX Futures and Rolling Spot Futures scheme and to contact Eurex Exchange for this purpose.

3. Details of the initiative

Changes to the Basis Block requirements

The Basis Block requirements will be changed to give Liquidity Providers more flexibility when to fulfil the quoting obligations. For this purpose, the quotation period will be extended while simultaneously reducing the required coverage. Each of the three existing time zones (Asia, Europe, USA) will be extended from ten to twelve hours, while the required coverage will be reduced from 80 percent to 65 percent.

Additionally, Liquidity Providers may elect to quote during a new “Around the world” period instead, which will be from 00:00 to 23:00 CET with a required coverage of 60 percent.

Changes to the Package Block requirements

The fulfilment criterion in the Package Block requirement will be lowered from eight to seven currency pairs. The mandatory currency pairs (EUR/USD and GBP/USD) will remain unchanged.

Changes to the Additional Market Share Incentive

The structure of the Additional Market Share Incentive will be changed. The updated scheme aims to distribute the original total amount (EUR 500,000) in twelve monthly payments, subject to the achievement of monthly volume thresholds (measured in average daily volumes). The overall maximum total notional amount (up to EUR 500,000) remains unchanged. 

For each month, three volume thresholds will be defined. If one or more volume thresholds for a particular month are reached, the pay-out amounts will be distributed among the participating Liquidity Providers based on their respective volume share in that particular month. Thresholds and potential special cases are outlined in the PSS. 

The start of the measuring period for the changed Additional Market Share Incentive will be 1 October 2019.

Attachment:

• Amended "Product Specific Supplement for FX Futures and Rolling Spot Futures"