T7 Release 13.1: Announcement on Eurex T7 Functionality activations after Release Launch date

-  This circular is only available in English./Dieses Rundschreiben ist nur in Englisch verfügbar. -

1. Introduction

As announced in the T7 Release 13.1 Release Notes, the following functionalities will be activated in the production environment after the official release date: 

a. Delta-Neutral Total Return Futures: 

• Simulation: Already activated  
• Production: Envisioned for 16 June 2025  

b. Support of the Average Price Notation for Packs & Bundles and Strips: 

• Simulation: Already activated
• Production: 9 June 2025 

c. Adaptions to Pre-Trade Risk Limits for Options: 

• Simulation: Already activated for all options products  
• Production: Immediately effective with release launch  
  (only applies to Single Stock options since only these options are supporting on-book PTR limits) 

d. Adaptions of Excessive System Usage (ESU) Limits: 

• Simulation: Already activated
• Production: currently no activation date planned (will be communicated separately)  

e. Removal of Off-book Trade Validation to prevent Self-Execution of same Beneficiary Owner: 

• Simulation: Already activated
• Production: 26 May 2025  

Learn now more about T7 Release 13.1 on our dedicated initiative page under the following link: Support > Initiatives & Releases > T7 Release 13.1.

System documentation, circulars, timeline and much more information is available there for you.

2. Required action 

a. Trading Participants interested in Total Return Futures are encouraged to test Delta-Neutral TRF strategies in the simulation environment.

b. Trading Participants are encouraged to test Packs & Bundles as well as Strips in Money Market Index Futures with the newly introduced price notation in the simulation environment.

c. Trading Participants are encouraged to test PTR limits for options in the simulation environment.

d. Trading Participants are encouraged to familiarize with the adapted ESU limits.

e. Trading Participants are encouraged to verify in the simulation environment that self-executions with same beneficiary owner are allowed for off-book trades.

3. Details

As announced in the Eurex Final Release Notes for T7 Release 13.1, the following functionalities will be activated in the Production environment after the official release launch date: 

a. Delta-Neutral Total Return Futures

T7 Release 13.1 will introduce delta-neutral trading strategies in Total Return Futures (TRF). Delta-neutrality is achieved by hedging a TRF contract against the corresponding price future contract (DeltaTAM) or against the corresponding MOC futures contract (DeltaTAC) having the same underlying index thereby balancing the delta of the TRF. The approach of achieving delta-neutrality is similar to options strategy trading. T7 Release 13.1 will lay the foundation to support TRF strategies in general and facilitate the introduction of additional TRF strategies in the future. 

b. Support of Average Price Notation for Packs & Bundles and Strips

With T7 Release 13.1, Eurex will offer an average price notation for the instrument types Packs & Bundles and Strips. The currently applied average net change price notation will be replaced by the new price notation, defined by the average of the leg instrument prices, for both aforementioned instrument types in all Money Market Index Futures.  

The prevailing price notation will be made public in the reference data interfaces via a new parameter on instrument level denoted by PriceNotation. 

c. Adaptions to Pre-Trade Risk Limits for Options 

T7 Release 13.1 will support a new PTR limit calculation for options to mitigate performance impact on the T7 trading platform. To minimize such impact, quotes will be removed from the PTR limit calculation. Consequently, open or executed quotes in options products will not be considered for the calculation, and incoming quotes will not be validated against the PTR limit.

For Futures products, the handling of PTR limits will be retained. Consequently, open or executed quotes will still be considered for and incoming quotes still validated against the PTR limit calculation in futures products.

The adaptation of the PTR limits might directly impact the risk monitoring of trading Single Stock Options since these are the only options products currently supporting the on-book PTR limit functionality. It is planned that other options products will follow to support the on-book PTR limit functionality after the launch of T7 Release 13.1. More details will be announced in a separate Eurex circular.  

d. Adaption of Excessive System Usage (ESU) Limits

Eurex intends to split the current volume component into an aggressive and a passive part. Initially the passive and aggressive volume factors will be set equally to the existing factors for all product types. The technical report changes will be introduced with T7 Release 13.1. 

The final parameters will be activated at a later point in time and will be communicated via a separate Eurex circular with additional details. 

e. Removal of Off-Book Trade Validation to prevent Self-Execution of same Beneficial Owner

Until now, a T7 validation is preventing the execution of off-book trades having the same beneficial owner on both sides of the off-book trade. This includes the prevention of execution of off-book trades having the same trader ID on both sides and no client account on either or both sides. To be in line with changes to the Trading Conditions which became effective in November 2024, the corresponding T7 validation will be removed.
 

Further information