Equity Index Derivatives: Introduction of a compression service for listed derivatives

1.  Introduction

Subject to the pending regulatory approval, an infrastructure for compression service providers to offer compression services to Exchange Participants for listed derivatives will be available at Eurex Deutschland from 29 March 2021. 

Accordingly the Management Board of Eurex Deutschland took the decision to amend the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland as outlined in Attachment 1 with effect as of 29 March 2021. 

In addition, the Executive Board of Eurex Frankfurt AG decided to amend the Price List to the Connection Agreement, Provider Connection Agreement and STPIP and QTPIP Connection Agreement of Eurex Frankfurt AG as outlined in Attachment 2 with effect as of 29 March 2021. 

The necessary amendments to the Conditions for Trading at Eurex Deutschland will be published following expected regulatory approval in calendar week 12 of 2021.

This circular contains further information on the introduction of the new infrastructure. 

All compression service-related support information will be made available on our dedicated project initiatives page under the following link:

Support > Initiatives & Releases > Project Readiness > Compression

Simulation: available 

Production start: 29 March 2021

2.  Required action

Exchange Participants and Third Party Information Providers (TPIP) who wish to offer compression services on Eurex Deutschland need to apply for an admission as compressor. The admission form for portfolio compressors can be requested from and has to be submitted back to your Key Account Manager via the e-mail client.services@eurex.com.

Exchange Participants who wish to use the compression services on listed derivatives need to enter into an agreement with an admitted compressor and authorise such compressor to enter compression trades for approval in the T7 trading system. To approve compression trades, an active Trader ID with the new trade type “Compression entitlement in T7” is required, which can be found in the user profile of the Eurex T7 Admin GUI.

3.  Details of the initiative

A.  Service overview

Eurex is offering an infrastructure to enable Exchange Participants and TPIPs to offer compression services for listed derivatives to other Exchange Participants. To process portfolio compression, the T7 Entry Service facility is utilised. A compression cycle consists of at least one multilateral compression trade entered by the compressor on the broker mode using the TES Trade type “Compression”, and approved by all Exchange Participants participating in the compression cycle. Compression cycles will be scheduled regularly and communicated via the compressor. 

Compressors will initiate and enter compression trades in the morning of the scheduled compression day. Exchange Participants using compression services of the compressor are requested to approve all predefined compression trades of a compression cycle they are involved in during the requested time window. By approving the compression trades, the Exchange Participant consents to the compression trades to be executed and the results of the compression cycle.

A compression cycle is successfully completed, if all Exchange Participants involved in the compression cycle did approve their compression trades. In that case, the compressor may release all compression trades simultaneously for execution. In case at least one Exchange Participant participating in the compression cycle  does not approve a predefined compression trade, a release of the compression cycle by the compressors is not possible.

After the release by the compressor, all compression trades are simultaneouly released with the same time stamp for all participating Exchange Participants. The process of the compression trades in the subsequent systems like C7 is identical to any other TES transaction. All transactions will be flagged as compression trades.

For the required technical changes, please see the following links:

T7: Trade > Support > Initiatives & Releases > T7 Release 9.0
C7: Clear > Support > Initiatives & Releases > C7 Releases > C7 Release 7.0.1 

As Eurex does only provide the technical infrastructure, regulatory duties to publish compression trades are with the respective compressor. Please note that the regulatory reporting requirements of compression trades are not supported by Eurex accordingly.

B.    Requirements for portfolio compression

For portfolio compression, the following requirements are necessary:

Portfolio compression cycles must be agreed with Eurex in advance.

Please note that compression trades can only be entered and released within the defined portfolio compression time, here between 09:00 and 14:00 CET. For more details see the Contract Specifications in Attachment 1.

The full version of the updated Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland will be published as of start of trading on the Eurex website www.eurex.com under:

Trade > Rules & Regs > Eurex Rules and Regulations > Contract Specifications

C.    Compression service fees

The following fees will be applied for the usage of compression services:

• To be paid by compressors:
• Annual fee, including one monthly compression run
• An additional fee for any additional compression run

For further details, please see the amended Price List to the Connection Agreement, Provider Connection Agreement and STPIP and QTPIP Connection Agreement of Eurex Frankfurt AG (Attachment 2). 

For additional details, please refer to the current Price List of Eurex Frankfurt AG, available under the following link:

Trade > Support > Technology > Connectivity > Fees for Eurex Exchange connections 

• To be paid by compression service users:
• Compression service fee per contract: EUR 0.10 

In order to support the establishment of the compression services, a fee holiday until the end of 2021 will be offered. 

For details, please refer to the current Price List of Eurex Clearing AG, available under the following link:

Trade > Rules & Regs > Eurex Rules & Regulations > Price List

Attachments: 

1. Updated sections of the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland
2. Price List to Connection Agreement, Provider Connection Agreement and STPIP and QTPIP Connection Agreement of Eurex Frankfurt AG

Further information