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Liquidity Provisioning: Adjustment of performance requirements and ESU fees due to T7 incident

Release date: 07 Jul 2020 | Eurex Exchange

054/2020 Liquidity Provisioning: Adjustment of performance requirements and ESU fees due to T7 incident

Eurex Circular 054/20

1.  Introduction

An incident occurred in Eurex’s T7 trading system on 1 July 2020 with the result that no trading and quoting activity could take place for an extended period of time. Therefore, the performance of Liquidity Providers was not measured correctly. Eurex will address this issue by granting coverage scores for Liquidity Providers for the day 1 July 2020.

2.  Required action

None.

3.  Details

3.1  Erroneous Liquidity Provider performance measurement on 1 July 2020

The T7 incident on 1 July 2020 resulted in the inability to quote and trade on the Eurex system for an extended period of time. This was not correctly reflected in the Liquidity Provider reports TD955, TD956 and TD957, as these reports assume longer production times as were actually available on this day, resulting in accumulated times and required times that were higher than expected.

Due to a theoretical price validation issue, it was difficult to respond to Eurex EnLight RFQs. Therefore, the Eurex EnLight performance will also be adjusted. 

3.2 Adjustment of Liquidity Provider performance scores

The Liquidity Provider performance scores will be adapted

  • for Liquidity Providers that have exhibited quotation activity in a program/product combination during the month of June 2020
  • for the day 1 July 2020 
  • for respective program/product combinations that had a performance below 100 percent on
    1 July 2020
  • for the Basis, Tighter Spread and Larger Size Building Blocks, the performance score of 100 percent will be attributed.

The Liquidity Provider performance scores will also be adapted for Eurex EnLight

  • for all certified Eurex EnLight Liquidity Providers 
  • for the day 1 July 2020
  • for all valid Eurex EnLight RFQs the performance score will be set to “fulfilled”.

3.3  Reflection of adjusted performance scores in Liquidity Provider reports

The adjusted performance scores will be made available from Wednesday, 8 July 2020 in the Liquidity Provider reports. 

3.4  Waiving of ESU fees

Due to the T7 incident, all ESU fee violations will be disregarded and no ESU fees will be charged for the day 1 July 2020. 
 

Further information

Recipients:

All Trading Participants of Eurex Deutschland and vendors

Target groups:

Front Office/Trading, Middle + Backoffice, IT/System Administration, Auditing/Security Coordination

Contact:

Eurex Market Development, marketmaking@eurexchange.com, tel. +49-69-211-1 34 41

Web:

Market-Making and Liquidity provisioning

Authorised by:

Randolf Roth


 

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