Eur ex Circular 058/19

Equ ity options: Adjustment of contract specifications for a rang e of equity options (Fourth wave of pro-rata allocation)

Summary Date: 16 May 2019 The Management Board of Eurex Deutschland decided to adjust the contract specifications for selected equity options (group IDs CH14, DE14, Recipients: ES11, ES12, ES13, FI11, FI12, FI13, FI14, FR14, GB11, IE11, IT11, IT12, All Trading Participants of Eurex IT13, NL14, RU11, RU12 and SE12) by changing the matching algorithm Deutschland and Vendors to a pro-rata allocation (from the current price-time allocation) and introducing a premium-based tick size with predefined thresholds effective Authorized by: on 20 May 2019. Michael Peters This is the fourth and last wave of changes to pro-rata allocation, which means all equity options at Eurex Exchange will have a pro-rata allocation Target group: (from previously price-time allocation). • All departments

This circular contains all information on the proposed changes and the Contact: updated sections of the relevant Rules and Regulations of Eurex Nicolae Raulet, Deutschland. T +44-207-8 62-72 74, [email protected]

Attachments:

• Updated sections of the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland

Eurex Deutschland Internet: Management Board: Börsenplatz 4 www.eurexchange.com Thomas Book, Wolfgang Eholzer, 60313 Frankfurt/Main Erik Tim Müller, Michael Peters, Mailing address: Randolf Roth 60485 Frankfurt/Main Germany ARBN: 101 013 361

Equity options: Adjustment of contract specifications for a range of equity options (fourth wave of pro-rata allocation)

1. Overview

The Management Board of Eurex Deutschland decided to adjust the contract specifications for selected equity options (group IDs CH14, DE14, ES11, ES12, ES13, FI11, FI12, FI13, FI14, FR14, GB11, IE11, IT11, IT12, IT13, NL14, RU11, RU12 and SE12) by changing the matching algorithm to a pro-rata allocation (from the current price- time allocation) and introducing a premium-based tick size with predefined thresholds effective on 20 May 2019.

This is the fourth and last wave of changes to pro-rata allocation, which means all equity options on Eurex will have a pro-rata allocation (from previously price-time allocation).

2. Adjustment of contract specifications

The matching principle for a range of equity options will change to pro-rata allocation (from the current price-time allocation). Pro-rata allocation refers to the matching principle taking into account all book orders at the best price. The allocated quantity of the incoming order is shared amongst all book orders at the best price proportional to the size of each book order.

Pro-rata allocation has been used for Dutch equity options since January 2018 and for additional country segments since Q1 2019. You can find a detailed description with an example of the pro-rata allocation model in the T7 Release 6.0 Functional Reference Guide (7.5.2 Pro-Rata Allocation) on the Eurex website www.eurexchange.com under the following link:

Technology > T7 Trading architecture > System documentation > Release 6.0 > Overview and Functionality > Functional Reference

At the same time, premium based tick size thresholds will be introduced to allow a higher tick size for large premium options. For the above-mentioned equity options (except for GB11, where the existing tick size will apply), the tick size will increase for contracts with a premium above a predefined threshold (see Annex B of the Contract Specifications). Proposed thresholds will apply for all order book trades (incl. strategy trades). It will, however, not apply to Eurex T7 Entry Service (TES) trades, which will continue to be entered with existing price increments.

3. Reference data

The information about the price threshold structure and matching algorithm is published via RDI in the product snapshot.

The price thresholds definition is available under section BaseTradingRules -> TickRules (tags 1206-1208) and the matching algorithm under MatchRules -> MatchAlgorithm (tag 1142).

More information about reference data provided via the RDI interface is available in the T7 Market and Reference Data Interface Manual, which can be downloaded from the Eurex website under the following path:

Technology > T7 Trading architecture > System documentation > Release 6.0 > Market and Reference Data Interfaces > T7 Market and Reference Data Interfaces – Manual

Eurex Circular 058/19 Page 3 of 3

An RDF example for the option on Royal Dutch Shell A (ROY)

Since December 2017, Participants can test these adjustments – (a) the change of the matching algorithm to pro- rata allocation and (b) the introduction of premium based tick size thresholds – for the relevant equity options in the Eurex simulation environment.

Please note that all pending orders in the products mentioned in chapter 1 will be deleted prior to the start of trading on each effective date.

If you have any questions or need further information, please contact Derivatives Trading Operations via tel. +49-69-211-1 12 10 or send an e-mail to: [email protected].

16 May 2019

Eurex Circular 058/19 Page 3 of 3

Contract Specifications for Futures Contracts and Eurex14e Options Contracts at Eurex Deutschland As of 20.05.2019 Page 1

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AMENDMENTS ARE MARKED AS FOLLOWS:

INSERTIONS ARE UNDERLINED

DELETIONS ARE CROSSED OUT

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Subpart 2.6 Contract Specifications for Options Contracts and Low Exercise Price Options on Stocks

[…]

2.6.11 Price Gradations The price of a stock option or LEPO will generally be quoted with three or four decimal place. The smallest price change (Tick) shall be EUR 0.0005, EUR 0.001, EUR 0.01 or CHF 0.01 or GBX* 0.5, GBX 0.25 or USD 0.01. For stock options with Premium Thresholds, except stock options with group ID GB11, the tick size will adjust according to the tables in Annex B in relation to Subsection 2.6. with group ID NL11, FR11, BE11, DE11, CH11, NL12, FR12, BE12, DE12, CH12, AT12, IT12 and NL13, FR13, BE13, DE13, CH13, IT13 the tick size will increase to EUR 0.05 for contracts with a premium above a predefined threshold stipulated in Annex B (Premium Threshold). The Management Boards of the Eurex Exchanges shall determine the relevant decimal place and the smallest price change (Tick) and shall notify all Exchange participation of any such decision.

[…]

Annex B in relation to Subsection 2.6 of the Contract Specifications:

[…]

Stock options with Premium Threshold (Subsection 2.6.11)The table referenced below stipulates further information for products with a premium threshold. The information regarding the below mentioned products is supplementary to the information stipulated in the table above.

Options on shares of Product-ID Group ID Minimum price Premium Minimum price change below Threshold change above threshold threshold

[…] ABB Ltd. - N. ABBE CH14 0.01 5 0.05 Acerinox S.A. ACE ES12 0.01 0.5 0.05 Contract Specifications for Futures Contracts and Eurex14e Options Contracts at Eurex Deutschland As of 20.05.2019 Page 2

Options on shares of Product-ID Group ID Minimum price Premium Minimum price change below Threshold change above threshold threshold

ACS. Actividades de Construcción y Servicios S.A. OCI1 ES12 0.01 0.5 0.05 AG ADSE DE14 0.01 5 0.05 SE ALVE DE14 0.01 5 0.05 Amadeus IT Group S.A. AI3A ES11 0.01 5 0.05 Amadeus IT Group S.A. AIW1/2/4/5 ES13 0.01 5 0.05 S.A. AXAE FR14 0.01 5 0.05 Banco Bilbao Vizcaya Argentaria S.A. (BBVA) BBV1/2/4/5 ES13 0.01 5 0.05 Banco Bilbao Vizcaya Argentaria S.A. (BBVA) BBVD ES11 0.01 5 0.05 S.A. BSD2 ES11 0.01 5 0.05 Banco Santander S.A. BSR1/2/4/5 ES13 0.01 5 0.05 Bank of Ireland The Governor and Company of the BIR IE11 0.01 0.5 0.05 BASF SE BASE DE14 0.01 5 0.05 AG BAYE DE14 0.01 5 0.05 BMW AG BMWE DE14 0.01 5 0.05 C&C Group PLC GCC IE11 0.01 0.5 0.05 Commerzbank AG CBKE DE14 0.01 5 0.05 Credit Suisse Group - N. CSGE CH14 0.01 5 0.05 CRH PLC CRG IE11 0.01 5 0.05 Daimler AG DAIE DE14 0.01 5 0.05 Deutsche Bank AG DBKE DE14 0.01 5 0.05 Deutsche Börse AG DB1E DE14 0.01 5 0.05 Deutsche Lufthansa AG LHAE DE14 0.01 5 0.05 AG DPWE DE14 0.01 5 0.05 AG DTEE DE14 0.01 5 0.05 E.ON SE EOAE DE14 0.01 5 0.05 Elisa Ojy EIA FI12 0.01 0.5 0.05 S.A. Acciones Port. EO EDS ES12 0.01 0.5 0.05 Ericsson AB ERCB SE12 0.01 0.5 0.05 Fortum Ojy FOT FI11 0.01 0.5 0.05 Gestamp Automocion SA GEST ES12 0.01 0.5 0.05 S.A. IBE ES11 0.01 5 0.05 Iberdrola S.A. IBE1/2/4/5 ES13 0.01 5 0.05 Industria de Diseño Textil S.A. IXD ES11 0.01 5 0.05 Industria de Diseño Textil S.A. IXD1/2/4/5 ES13 0.01 5 0.05 Infineon Technologies AG IFXE DE14 0.01 5 0.05 ING Groep N.V. INNE NL14 0.01 5 0.05 JSC MMC Norilsk Nickel NNIA RU11 0.01 0.5 0.05 K+S Aktiengesellschaft SDFE DE14 0.01 5 0.05 Contract Specifications for Futures Contracts and Eurex14e Options Contracts at Eurex Deutschland As of 20.05.2019 Page 3

Options on shares of Product-ID Group ID Minimum price Premium Minimum price change below Threshold change above threshold threshold

Kerry Group PLC KYG IE11 0.01 0.5 0.05 Kingspan Group PLC KRX IE11 0.01 0.5 0.05 Merck KGaA MRKE DE14 0.01 5 0.05 Münchener Rückversicherungs- Gesellschaft AG MUVE DE14 0.01 5 0.05 Naturgy Energy Group S.A. GAN ES12 0.01 0.5 0.05 Neinor Homes SLU HOM ES12 0.01 0.5 0.05 Neste OYJ NEF FI11 0.01 0.5 0.05 Nestlé S.A. - N. NESE CH14 0.01 5 0.05 Corp. Ojy NOA1/2/4/5 FI13 0.01 5 0.05 Nokia Corp. Ojy NOA3 FI11 0.01 5 0.05 Nokia Corp. Ojy NOAE FI14 0.01 5 0.05 Nordea Bank ABP NDB FI12 0.01 0.5 0.05 Novartis-Alcon-Basket NORE CH14 0.01 5 0.05 Novartis AG NOVE CH14 0.01 5 0.05 OAO Gazprom GAZ RU11 0.01 0.5 0.05 OAO LUKOIL Oil Company LUK RU11 0.01 0.5 0.05 Orange FTEE FR14 0.01 5 0.05 Paddy Power Betfair PLC PLS IE11 0.01 0.5 0.05 S.A. REP ES11 0.01 5 0.05 Repsol S.A. REW1/2/4/5 ES13 0.01 5 0.05 Roche Holding ROGE CH14 0.01 5 0.05 Rovio Entertainment Oy ROV FI12 0.01 0.5 0.05 RusGidro OAO RG2 RU12 0.01 0.5 0.05 RWE AG RWEE DE14 0.01 5 0.05 Ryanair Holding PLC RYA IE11 0.01 0.5 0.05 Sampo PLC SMPA FI11 0.01 0.5 0.05 SAP SE SAPE DE14 0.01 5 0.05 Sberbank Rossii OAO SBN RU11 0.01 0.5 0.05 AG SIEE DE14 0.01 5 0.05 Smurfit Kappa Group PLC SK3 IE11 0.01 0.5 0.05 Stora Enso Ojy ENUR FI12 0.01 0.5 0.05 Surgutneftegaz PJSC SGN RU11 0.01 0.5 0.05 Swiss Re AG SREE CH14 0.01 5 0.05 Tatneft' Imeni V.D.Shashina TTF RU12 0.01 0.5 0.05 Telefónica S.A. TNC1/2/4/5 ES13 0.01 5 0.05 Telefónica S.A. TNE5 ES11 0.01 5 0.05 Telia Company AB TLSN FI12 0.01 0.5 0.05 Tietoenator Ojy TTEB FI12 0.01 0.5 0.05 UBS Group AG UBSE CH14 0.01 5 0.05 UPM Kymmene Corp. RPL FI11 0.01 0.5 0.05 VW AG - Vz. (European) VO3E DE14 0.01 5 0.05 Contract Specifications for Futures Contracts and Eurex14e Options Contracts at Eurex Deutschland As of 20.05.2019 Page 4

Options on shares of Product-ID Group ID Minimum price Premium Minimum price change below Threshold change above threshold threshold

Zurich Insurance Group AG-N. ZURE CH14 0.01 5 0.05 […]

Stock options with two Premium Thresholds (Subsection 2.6.11)

Options on shares of Product-ID Group Minimum Premium Minimum Premium Minimum ID price Threshold price Threshold price change (I) change (II) change below between above threshold thresholds threshold (I) (I-II) (II) S.p.PA. EAM IT12 0.005 0.05 0.01 1.5 0.05 ANIMA HOLDING ANI IT12 0.005 0.05 0.01 1.5 0.05 S.P.A. Assicurazioni ASG5 IT11 0.005 0.05 0.01 5 0.05 Generali S.p.A. Assicurazioni GEW1/2/4/5 IT13 0.005 0.05 0.01 5 0.05 Generali S.p.A. S.p.A. AOP5 IT12 0.005 0.05 0.01 1.5 0.05 S.p.A. AUL IT12 0.005 0.05 0.01 1.5 0.05 S.p.A. HDB IT12 0.005 0.05 0.01 1.5 0.05 MUN IT12 0.005 0.05 0.01 1.5 0.05 S.p.A. Banca Popolare di BPS IT12 0.005 0.05 0.01 1.5 0.05 Sondrio S.C.a.R.L. Banco BPM BPV IT12 0.005 0.05 0.01 1.5 0.05 BPER Banca BPE IT12 0.005 0.05 0.01 1.5 0.05 S.p.A. UCM IT12 0.005 0.05 0.01 1.5 0.05 CNH Industrial N.V. FIM IT12 0.005 0.05 0.01 1.5 0.05 Davide Campari S.p.A DVC IT12 0.005 0.05 0.01 1.5 0.05 Enel S.p.A. ENL5 IT11 0.005 0.05 0.01 5 0.05 Enel S.p.A. ENE1/2/4/5 IT13 0.005 0.05 0.01 5 0.05 S.p.A. ENI1/2/4/5 IT13 0.005 0.05 0.01 5 0.05 Eni S.p.A. ENT5 IT11 0.005 0.05 0.01 5 0.05 NV IIL IT12 0.005 0.05 0.01 1.5 0.05 NV 2FE IT12 0.005 0.05 0.01 1.5 0.05 Fiat Chrysler FIA5 IT11 0.005 0.05 0.01 1.5 0.05 Automobiles N.V. IES5 IT11 0.005 0.05 0.01 5 0.05 S.p.A. Intesa Sanpaolo INW1/2/4/5 IT13 0.005 0.05 0.01 5 0.05 S.p.A. Contract Specifications for Futures Contracts and Eurex14e Options Contracts at Eurex Deutschland As of 20.05.2019 Page 5

Options on shares of Product-ID Group Minimum Premium Minimum Premium Minimum ID price Threshold price Threshold price change (I) change (II) change below between above threshold thresholds threshold (I) (I-II) (II) Leonardo- FMNB IT12 0.005 0.05 0.01 1.5 0.05 Finmeccanica S.p.A. S.p.A. MDS5 IT12 0.005 0.05 0.01 1.5 0.05 S.p.A. ME9 IT11 0.005 0.05 0.01 1.5 0.05 S.r.L. Azioni MON IT12 0.005 0.05 0.01 1.5 0.05 nom. o.N. Prysmian S.p.A. PRY IT12 0.005 0.05 0.01 1.5 0.05 S.p.A. SPEB IT12 0.005 0.05 0.01 1.5 0.05 S.p.A. SNF IT11 0.005 0.05 0.01 1.5 0.05 Telecom Italia S.p.A. TQI5 IT11 0.005 0.05 0.01 1.5 0.05 Telecom Italia S.p.A. - TQIR IT12 0.005 0.05 0.01 1.5 0.05 RNC Terna S.p.A. UEI IT12 0.005 0.05 0.01 1.5 0.05 UBI Banca BPD IT12 0.005 0.05 0.01 1.5 0.05 S.p.A. CRI5 IT11 0.005 0.05 0.01 5 0.05 UniCredit S.p.A. UCR1/2/4/5 IT13 0.005 0.05 0.01 5 0.05 UNIPOLSAI S.P.A. SOA IT12 0.005 0.05 0.01 1.5 0.05

Annex E: Allocation Scheme (Part A Section 2.5 Paragraph 3 of the Conditions for Trading) and Path Priority (Part A Section 2.5 Paragraph 2 of the Conditions for Trading) * […]

Product Class Allocation Scheme Path Priority Options on Money Market Futures Time n/a Options on Fixed Income Futures Time n/a Index Options Time n/a Options on Shares of Exchange-Traded Funds Time n/a Options on iShares Shares of Exchange-Traded Funds Pro Rata n/a Options and LEPOs on Stocks (except Group ID NL11, FR11, Time n/a BE11, DE11, CH11, NL12, FR12, BE12, DE12, CH12, AT12 NL13, FR13, BE13 and DE13, CH13) Options and LEPOs on Stocks (NL11, FR11, BE11, DE11, CH11, Pro Rata n/a NL12, FR12, BE12, DE12, CH12, AT12 and NL13, FR13, BE13, DE13, CH13) Volatility Index Options Time n/a Index Dividend Options Time n/a Options on Xetra-Gold Time n/a Commodity Index Options Time n/a Contract Specifications for Futures Contracts and Eurex14e Options Contracts at Eurex Deutschland As of 20.05.2019 Page 6

Product Class Allocation Scheme Path Priority Options on Exchange-Traded Commodities Securities Time n/a

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