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Liquidity Provisioning: Adjustment of performance requirements in March 2020

Release date: 20 Mar 2020 | Eurex Exchange

019/2020 Liquidity Provisioning: Adjustment of performance requirements in March 2020

Eurex Circular 019/20

1. Introduction

Due to the Covid19 pandemic, financial markets have been very volatile during the last few weeks. Especially since the week of 9 March 2020, there has been extreme intraday volatility which results in difficulties for Liquidity Providers to uphold their order book quotation activities, even if Stressed Market Conditions are announced.

In order to further encourage Liquidity Providers to continue their quotation activities during these turbulent times, Eurex will recognise their quotation behaviour by doubling the achieved performance score during High Volatility Quotation Days (see definition under 3.1) in the month of March 2020. The adjusted performance score will be visible in the Liquidity Provider Reports from Monday, 23 March 2020.

Should this situation continue during the remaining exchange days of March 2020 and more High Volatiity Quotation Days be identified, adjustment of the performance scores will also be granted for the remainder of March 2020. 

2. Required action

Liquidity Providers (LPs) are asked to resume their Eurex order book quotation efforts to the best of their efforts in order to ensure liquidity also during these difficult times. 

3. Details

3.1 Definition of “High Volatility Quotation Days” in the context of performance score adjustments in March 2020

A “High Volatilty Quotation Day” is defined as a day in March 2020, where the EURO STOXX 50® index has an intraday movement of five percent or more (Daily High / Daily Low – 1), including all trading days of the week 9 to 13 March 2020.

According to this definition, the following days count as “High Volatility Quotation Days”: 9 March to 13 March, 16 March to 18 March 2020, and any other trading days in March 2020 going forward that fulfil the aforementioned criteria.

3.2 Adjustment of Liquidity Provider performance scores

The Liquidity Provider performance scores will be adapted as follows: The actual covered time will be doubled

  • for all Liquidity Providers
  • for all quoted programs/products
  • for the Basis, Tighter Spread and Larger Size Building Blocks
  • for all “High Volatility Quotation Days”.

3.3 Reflection of adjusted performance scores in Liquidity Provider reports

The adjusted performance scores will be made available from Monday, 23 March 2020 in the Liquidity Provider reports TD955, TD956 and TD957 for the “High Volatility Quotation Days”.

In case that any further day in March 2020 will become a “High Volatility Quotation Day”, the adjusted performance scores will also be eventually reflected in the reports. However, due to technical reasons, there will be a delay of at least one trading day. The Eurex team will implement these adjustments as soon as possible.

There might be ambiguity if the reports already include the adjustments. In order to increase clarity, information on the adjustments will be published on the Eurex Liquidity Provider website in a CSV file on a daily basis during March 2020.
 


Further information

Recipients:All Trading Participants of Eurex Deutschland and Vendors
Target group:Front Office/Trading, Middle + Backoffice, IT/System Administration, Auditing/Security Coordination
Contact:Eurex Market Models, marketmaking@eurexchange.com, tel. +49-69-211-1 34 41
Web:Eurex Liquidity Provider website; market continuity-related information is also published on our dedicated page Market Continuity
Authorised by:Randolf Roth