Eurex Circular 006/15

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Eurex Circular 006/15 eurex circular 006/15 Date: 14 January 2015 Recipients: All Trading Participants of Eurex Deutschland and Eurex Zürich and Vendors Authorized by: Mehtap Dinc Action required High priority Equity options: Adjustment of Market Maker obligations Contact: Sascha Semroch, Eurex Product Development, T +49-69-211-1 50 78, [email protected] Content may be most important for: Attachment: Ü Front Office/Trading Updated sections of the Contract Specifications for Futures Contracts and Options Contracts at Eurex Ü Middle + Backoffice Deutschland and Eurex Zürich Ü IT/System Administration Summary: Effective 2 February 2015 the quotation requirements for Market Makers in equity options at Eurex Exchange will be changed as follows: 1. Change of the minimum quotation sizes and spread class assignments in the two offered Market- Making models Advanced Market-Making (AMM) and Permanent Market-Making (PMM). The minimum quote sizes and spread class assignments are set according to market conditions and liquidity. 2. Change of assignments of equity options to AMM packages. 3. Options on Royal Imtech N.V. (IR3A) will no longer be part of the Eurex Market-Making schemes. The aforementioned changes are based on the annual review of the Market Maker quote obligations and the AMM packages. Participants taking part in one of the Market-Making schemes are kindly requested to adjust their system settings accordingly. It is highly recommended to verify the Market Maker performance in the first days after 2 February 2015, using the respective Eurex Exchange reports. Eurex Deutschland T +49-69-211-1 17 00 Management Board: Börsenplatz 4 F +49-69-211-1 17 01 Thomas Book, Mehtap Dinc, 60313 Frankfurt/Main memberservices@ Michael Peters, Andreas Preuss Mailing address: eurexchange.com 60485 Frankfurt/Main Internet: Germany www.eurexchange.com ARBN: 101 013 361 eurex circular 006/15 Equity options: Adjustment of Market Maker obligations 1. Change of minimum quote sizes and spread class assignments Minimum quote sizes and spread class assignments for Belgian, Dutch, French, German, Italian, Scandinavian, Spanish and Swiss equity options will be adjusted based on a scheme that captures market conditions and liquidity for each individual product (see list under point 3). The changes will become effective on 2 February 2015. 2. Change of assignments of equity options to AMM packages The assignment of below mentioned equity options to AMM packages will be changed effective 2 February 2015 as follows: a) Inclusion in an AMM package AMM package Equity option on Eurex product code New Group ID Dutch (NL) Boskalis Westminster KBWA NL11 German (DE) Südzucker SZU DE 11 Spanish (ES) Bco. Pop. Espanol POP ES 11 b) Removal from an AMM package AMM package Equity option on Eurex product code New Group ID Dutch (NL) USG People UQU1 NL 12 Dutch (NL) Wereldhave WER NL 12 French (FR) Dexia DXB FR 12 German (DE) MAN MAN DE 12 German (DE) Vossloh VOS DE 12 The group IDs will reflect the changed package assignments, according to the tables above. Minimum block trade size: The minimum block trade size in options products with group ID 11 is generally 250 contracts. The minimum block trade size in options products with group ID 12 is generally 1 contract. The minimum block trade sizes in the products contracts in the tables above will be changed accordingly. These changes will also be effective on 2 February 2015. Products that are removed from AMM packages will be offered in the PMM and RMM (response to quote requests) schemes. c) Discontinuation of Market-Making scheme Options on Royal Imtech (IR3A) will no longer be offered in any Market-Making scheme. The amended Market Maker obligations for equity options mentioned under a) and b) can be found in the table under no. 3. The number of exceptions in the respective AMM packages remains unchanged. page 1 of 5 eurex circular 006/15 3. List of minimum quote sizes and spread class assignments Changes are marked in bold and are underlined. Number of Spread expirations Product Product ID Minimum AMM Class to be quoted for Quote Size PMM/AMM; Package ID (Contracts) the first RMM AMM/ PMM Options on EURO STOXX 50® Components AIRBUS GROUP N.V EAD 2 NA 20 6 ESX50 FR AIR LIQUIDE AIR 2 NA 20 6 ESX50 FR ALLIANZ SE ALV 3 NA 20 8 ESX50 DE ANHEUSER-BUSCH- ITK 2 NA 20 6 ESX50 BE INBEV ASML ASM 2 NA 10 7 ESX50 NL BASF BAS 2 NA 20 8 ESX50 DE BCO BILBAO VIZC BBVD A NA 100 8 ESX50 ES ARGENT BMW BMW 2 NA 20 8 ESX50 DE BNP BNP 2 NA 50 6 ESX50 FR DAIMLER DAI 2 NA 50 8 ESX50 DE DANONE BSN 2 NA 20 6 ESX50 FR DEUTSCHE POST DPW 2 NA 50 8 ESX50 DE DEUTSCHE TELEKOM DTE 1 NA 200 8 ESX50 DE E.ON SE EOA 1 NA 100 8 ESX50 DE ENEL ENL5 A NA 50 7 ESX50 IT ENI ENT5 B NA 20 7 ESX50 IT GENERALI ASG5 B NA 50 7 ESX50 IT INDUSTRIA DE DISEÑO IXD B NA 20 6 ESX50 ES TEXTIL S.A. ING INN 1 NA 100 8 ESX50 NL INTESA SANPAOLO IES5 A NA 50 6 ESX50 IT L’OREAL LOR 3 NA 10 6 ESX50 FR LVMH MOH 3 NA 10 6 ESX50 FR MUENCHENER RÜCK MUV2 3 NA 20 8 ESX50 DE ORANGE FTE 1 NA 100 6 ESX50 FR SAINT-GOBAIN GOB 2 NA 20 6 ESX50 FR SANOFI SNW 2 NA 20 6 ESX50 FR SAP SAP 2 NA 50 8 ESX50 DE SCHNEIDER ELECTRIC SND 2 NA 20 6 ESX50 FR page 2 of 5 eurex circular 006/15 Number of Spread expirations Product Product ID Minimum AMM Class to be quoted for Quote Size PMM/AMM; Package ID (Contracts) the first RMM AMM/ PMM Options on EURO STOXX 50® Components SIEMENS SIE 2 NA 20 8 ESX50 DE TELEFONICA TNE5 A NA 100 8 ESX50 ES UNICREDIT CRI5 A NA 50 7 ESX50 IT VOLKSWAGEN VZ VO3 3 NA 20 8 ESX50 DE Number of Minimum Product Spread expirations to Product Quote Size AMM ID Class be quoted for (Contracts) PMM/AMM; RMM AMM/ the first Package ID PMM Options on Swiss Equities ACTELION ATLN 8 NA 10 6 CH ADECCO ADEN 2 NA 10 7 CH CIE FIN RICHEMONT CFR 2 NA 20 7 CH CLARIANT CLN 2 NA 20 7 CH GAM HOLDING GAM 2 NA 20 7 CH GEBERIT GEBN 4 NA 10 6 CH HOLCIM HOLN 2 NA 10 7 CH KUEHNE U NAGEL KNIN 3 NA 10 6 CH LONZA LONN 3 NA 10 7 CH NESTLE NESN 2 NA 100 8 CH NOVARTIS NOVN 2 NA 50 8 CH OC OERLIKON OERL 1 NA 20 7 CH SONOVA HOLDING SOON 3 NA 10 6 CH AG THE SWATCH GROUP BEARER UHR 4 NA 20 7 CH SHARES SWISSCOM SCMN 5 NA 20 8 CH SYNGENTA SYNN 4 NA 20 7 CH ZURICH INSURANCE ZURN 4 NA 50 8 CH GROUP AG page 3 of 5 eurex circular 006/15 Number of Minimum expirations Product Spread Product Quote Size to be quoted AMM ID Class (Contracts) for PMM/AMM RMM AMM/ the first Package ID PMM Options on Other Equities ADIDAS ADS 2 NA 10 8 DE AHOLD AHO 1 NA 20 8 NL AIXTRON AIX 1 NA 20 6 DE APERAM 7AA 2 NA 10 6 NL ARCELOR MITTAL ISPA 1 NA 100 7 FR/NL BCO. POP.ESPAGNOL POP 1 NA 10 6 ES BEIERSDORF BEI 2 NA 10 6 DE BILFINGER SE GBF 2 NA 10 6 DE BOSKALIS WESTMINSTER KBWA 2 NA 10 6 NL COMMERZBANK CBK 1 NA 100 8 DE CONTINENTAL CON 3 NA 10 8 DE CREDIT AGRICOLE XCA 1 NA 50 6 FR CSM N.V. CSUA 1 NA 10 6 NL DEUTSCHE BÖRSE DB1 2 NA 20 8 DE DEXIA DXB 6 10 10 6 no AMM ELSEVIER ELV 2 NA 20 6 NL FORTUM FOT 2 NA 10 6 SC FRAPORT FRA 2 NA 10 6 DE FRESENIUS FRE 2 NA 10 6 DE GEMALTO LDV 2 NA 10 6 NL HANNOVER RUECK SE HNR1 2 NA 10 6 DE HEIDELBERGCEMENT HEI 2 NA 10 6 DE HENKEL HEN3 2 NA 10 8 DE K+S SDF 2 NA 20 6 DE KLOECKNER KCO 1 NA 20 6 DE KPN KPN 1 NA 100 7 NL LAFARGE CIL 2 NA 20 6 FR LANXESS LXS 2 NA 10 6 DE LEGRAND LRC 2 NA 10 6 FR LINDE LIN 3 NA 10 8 DE LUFTHANSA LHA 1 NA 50 8 DE MAN MAN 7 10 10 8 no AMM MEDIOBANCA SPA ME9 A NA 10 6 IT MERCK MRK 2 NA 10 6 DE MTU AERO ENGINES MTX 2 NA 10 6 DE HOLDING PEUGEOT PEU 1 NA 50 6 FR page 4 of 5 eurex circular 006/15 Number of Minimum expirations Product Spread Product Quote Size to be quoted AMM ID Class (Contracts) for PMM/AMM RMM AMM/ the first Package ID PMM Options on Other Equities POSTNL PNL 1 NA 20 6 NL RANDSTAD RSH 2 NA 10 6 NL RENAULT RNL 2 NA 10 6 FR RHOEN-KLINIKUM RHK 2 NA 10 6 DE SAFRAN SEJ 2 NA 10 6 FR SBM OFFSHORE SBMO 1 NA 20 6 NL SGL CARBON SGL 1 NA 10 6 DE STMICROELECTRONICS SGM 1 NA 50 6 FR SÜDZUCKER SZU 2 NA 10 6 DE SUEZ ENVIRONNEMENT SEV 1 NA 20 6 FR CO THYSSENKRUPP TKA 2 NA 50 8 DE TUI TUI 1 NA 20 8 DE UPM-KYMMENE RPL 1 NA 20 6 SC USG PEOPLE N.V.
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