Trading Hours Extension - Extended Hours Extended Opportunities October 2020 - Deutsche Börse Cash Market
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Trading Hours Extension Extended Hours Extended Opportunities October 2020
Agenda
1 Trading Hours Extension into the Asia 4 Orderbook Quality
Pacific Time Zone
2 Trading Activity 5 Appendix
3 Average Daily Volume Development
2 4 November 2020
1 Trading Hours
Extension into the
Asia Pacific Time Zone
3 4 November 2020Key Facts
▪ Eurex extended its trading hours on 10 th December 2018 to
provide coverage during the Asian time zone
▪ Products in Scope: Selected benchmark futures and 136 MSCI
Index Futures
▪ Market opening is at 8am SGT; End of trading & clearing day
unchanged
▪ TES entry service (Block-, EFP-, EFS trades) available from
08:15am SGT
▪ Open GTC/GTD orders in THX relevant Futures can be executed
in Asian Hours
Extended trading hours always commence at 08:00 a.m.
Singapore, Hong Kong and China Standard Time: UTC +8h
*Singapore time during Central European Summer Time. Time difference: SGT/CET + 7h; SGT/CEST: +6h
**To optimize overnight processing, as of 25 Feb 2019, the post-trading phase is reduced from 30 mins to 10 min
(22:00 CET to 22:10 CET).
The clearing services are not impacted and w ill continue to be available until 22:30 CET.
4 4 November 20202 Trading Activity
5 4 November 2020Development of the Trading Hours (1/2)
Eurex Trading Hours Extension offers attractive spreads and liquidity in European Benchmark
products during Asian Hours.
September
Eurex offers attractive spreads during Asian Hours: Product
September
2020 Asian
September
2020 Asian
Notional
Volume in USD
% Off- % % Asian 2019 Asian
September
2019 Asian
%YoY ADV
book Agency hours Hours Growth
Hours Volume Hours ADV Millions Hours ADV
Volume
EURO STOXX 50® Index 482,134 21,915 17,656 0.0% 32.1% 1.6% 315,690 14,350 53%
Product Asian Hours Core Hours DAX® 36,992 1,681 13,421 0.0% 2.7% 1.8% 71,146 3,234 -48%
EURO STOXX 50 ® 1 tick 1 tick Mini-DAX®
MSCI (Asian) Futures
15,804
266,701
718
12,123
1,146
15,341
0.0%
99.1%
0.9%
99.4%
1.1%
26.7%
11,949
8,260
543
375
32%
3129%
DAX® 3 ticks 2 ticks MSCI EM Asia
MSCI Japan
125,144
89,535
5,688
4,070
7,601
5,717
99.2%
99.8%
25.9%
18.6%
23.9%
44.1%
6,198
4
282 1919%
0 2238275%
Mini-DAX® 5 ticks 2 ticks MSCI China Free
MSCI Australia
10,167
19,665
462
894
517
722
91.2%
-
2.0%
4.1%
15.6%
-
1,852
0
84
0
449%
-
Others 22,190 1,009 783 98.3% 99.1% 14.1% 206 9 10672%
Euro-Bund 1 tick 1 tick MSCI (Non-Asian) Futures 8,904 405 459 81.0% 47.4% 0.6% 2,750 125 224%
Euro-Bund 162,488 7,386 31,802 0.0% 11.9% 1.0% 181,956 8,271 -11%
Euro-Bobl 1 tick 1 tick Euro-Bobl 63,360 2,880 9,585 0.0% 2.9% 0.6% 80,052 3,639 -21%
Euro-Schatz 69,269 3,149 8,707 0.0% 7.0% 0.6% 52,078 2,367 33%
Euro-Schatz 1 tick 1 tick Euro-Buxl® 6,146 279 1,518 0.0% 0.3% 0.4% 7,032 320 -13%
Euro-Buxl® 3 ticks 2 ticks Grand Total 1,111,798 50,536 99,634 22.7% 47.8% 1.4% 848,145 38,552 31%
Data from: 10th December 2018 – 30th September 2020
6 4 November 2020Development of the Trading Hours (2/2)
Eurex Trading Hours Extension offers attractive spreads and liquidity in European Benchmark
products during Asian Hours.
7 4 November 2020Distribution of Activities
Accumulated Hourly Traded Volumes show a healthy distribution of activity
during the Asian time zone.
Total volume during Asian 18,941,043 contracts since
trading hours launch
(Single counted)
Trading participation- 17.4% on M-accounts
Account Roles 20 YTM (Market Making Account)
36.7% on A-accounts
(Agency)
45.9% on P-accounts (Principal)
Total number of active 250 (accumulated)
Eurex members 2020
Over 250 direct members have contributed to the liquidity
during Asian hours with 36% flow from end clients
(Agency-Account) in 2020
Monthly Data from: 1st September 2020 – 30th September 2020
8 4 November 20203 Average Daily Volume
Development
9 4 November 2020Benchmark Equity Index Futures
Average Daily Volume (ADV) development shows opportunities during the Asian time zone.
34,242 contracts on EURO STOXX 50® Index DAX® Index Futures
Average daily Futures
volume 3,562 contracts on DAX® Index Futures
(2020 YTM)
1,338 contracts on Mini-DAX® Index Futures
Good improvements shown in monthly ADV of Equity Index
Futures during THX since launch
EURO STOXX 50 ® Index Futures Mini-DAX® Index Futures
All data from: 10th December 2018 – 30th September 2020
10 4 November 2020Benchmark Interest Rate Futures (1/2)
Average Daily Volume (ADV) development shows opportunities during the Asian time zone.
9,265 contracts on Euro-Bund Futures Euro-Bund Futures
Average daily 3,602 contracts on Euro-Bobl Futures 25,000 2.50%
2.0%
volume 1.9%
20,000 1.9% 2.00%
(2020 YTM) 3,100 contracts on Euro-Schatz Futures 15,000 1.2% 1.2% 1.50%
1.5% 1.0%
0.9% 0.9% 0.9% 1.0% 1.00%
426 contracts on Euro-Buxl® Futures 10,000 0.7%
0.5% 0.8% 0.8%
5,000 0.50%
Good improvements shown in monthly ADV of Interest Rate 0 0.00%
Futures during THX since launch Dec-18 Mar-19 Jun-19 Sep-19 Dec-19 Mar-20 Jun-20 Sep-20
Euro-Bobl Futures
10,000 2.00%
1.1%
1.7%
8,000 1.50%
1.2%
6,000
1.00%
4,000 0.5%
0.7% 0.7% 0.5% 0.5%0.6%
0.4% 0.6% 0.50%
2,000 0.3% 0.4%
0 0.00%
Dec-18 Mar-19 Jun-19 Sep-19 Dec-19 Mar-20 Jun-20 Sep-20
All data from: 10th December 2018 – 30th September 2020
11 4 November 2020Benchmark Interest Rate Futures (2/2)
Average Daily Volume (ADV) development shows opportunities during the Asian time zone.
9,265 contracts on Euro-Bund Futures Euro-Schatz Futures
8,000 2.00%
Average daily 3,602 contracts on Euro-Bobl Futures 1.7%
1.4%
volume 6,000 1.5% 1.50%
(2020 YTM) 3,100 contracts on Euro-Schatz Futures 1.3% 1.1%
4,000 0.9% 1.00%
0.6% 0.8% 0.6%
426 contracts on Euro-Buxl® Futures 0.6% 0.5% 0.5%
2,000 0.3% 0.6% 0.50%
0.4% 0.4% 0.3%
Good improvements shown in monthly ADV of Interest Rate 0 0.00%
Dec-18 Mar-19 Jun-19 Sep-19 Dec-19 Mar-20 Jun-20 Sep-20
Futures during THX since launch
Euro-Buxl® Futures
1,200 1.40%
1,000 1.2% 1.20%
800 0.9% 1.00%
0.80%
600 0.6%
0.5% 0.5% 0.6% 0.60%
400 0.4%
0.4% 0.4%0.40%
0.4% 0.4% 0.4%
200 0.3% 0.3% 0.20%
0 0.00%
Dec-18 Mar-19 Jun-19 Sep-19 Dec-19 Mar-20 Jun-20 Sep-20
All data from: 10th December 2018 – 30th September 2020
12 4 November 20204 Orderbook Quality
13 4 November 2020Orderbook Liquidity of EURO STOXX 50 ® Futures
Orderbook Liquidity Analysis EURO STOXX 50 Futures (FESX)
*Data from 1st November 2020 – 29th February 2020
14 4 November 2020Orderbook Liquidity for DAX and Mini-Dax Futures
Orderbook Liquidity Analysis DAX Futures (FDAX)
Orderbook Liquidity Analysis Mini-DAX Futures (FDXM)
*Data from 1st November 2020 – 29th February 2020
15 4 November 2020Orderbook Liquidity for Euro-Bund and Euro-Bobl Futures
Orderbook Liquidity Analysis Euro-Bund Futures (FGBL)
Orderbook Liquidity Analysis Euro-Bobl Futures (FGBM)
*Data from 1st November 2020 – 29th February 2020
16 4 November 2020Orderbook Liquidity for Euro-Schatz and Euro-Buxl Futures
Orderbook Liquidity Analysis Euro-Schatz Futures (FGBS)
Orderbook Liquidity Analysis Euro-Buxl Futures (FGBX)
*Data from 1st November 2020 – 29th February 2020
17 4 November 20205 Appendix
18 4 November 2020Major Design Elements – Trading
▪ Liquid Benchmark Futures
▪ FESX (EURO STOXX 50 ® Index Futures)
Equity Index ▪ FDAX (DAX® Index Futures)
Futures
▪ FDXM (Mini DAX ® Index Futures)
▪ 136 Eurex MSCI Index Futures
▪ Liquid Benchmark Futures
▪ FGBL (Euro-Bund Futures)
Interest Rate ▪ FGBM (Euro-Bobl Futures)
Futures
▪ FGBS (Euro Schatz Futures)
▪ FGBX (Euro Buxl Futures)
19 4 November 2020Product Scope for Eurex Asian Trading Hours
▪ All trading functionalities available including T7 Trade Entry Service (TES)
General ▪ Full re-use of existing Eurex membership, technical infrastructure, login data and trader IDs
▪ Risk Protection for Liquidity Providers (LP): the Eurex system provides LPs with various features for system -based
risk protection which can help LPs can significantly constrain operational and market risks, preventing too many
simultaneous trade executions on quotes provided by any LP
▪ Volatility Interruption: the risk that markets decline in large price drops is not only a result of market orders but also
Market
limit orders. To guard against that, in its benchmark products, the Eurex system validates every single trade against
Integrity
price bands within given time frames. If the system concludes that price determination lies outside the price bands,
it automatically stops regular order book trading
▪ Market Supervision: on-going level of support during trading hours, using various parameters and triggers to monitor
abnormalities in the order book activity and ensure there is a fair and orderly market
▪ Liquidity Provision programs available for the Asian time zone, combined with attractive incentive schemes for
Liquidity qualifying Liquidity Providers (more information on LP schemes upon request)
Provision ▪ Continuous quotes during Asian trading hours will be provided by our partnering Liquidity Providers
20 4 November 2020Major Design Elements – Clearing & Risk
▪ Clearing and risk functionalities available during Asian trading hours
▪ Full re-use of existing Eurex Clearing membership, technical infrastructure, login data and Member ID
▪ Intraday Risk Management; Intra-night Margin calls to be fulfilled during Asian trading hours
General ▪ Staff must be reachable during Asian trading hours
▪ Post-trade functionalities expected to be available for select benchmark products during Asian hours
▪ Risk functionalities (portfolio-based margining methodology) to be applied during the Asian trading and clearing
hours for active products
▪ Advanced Risk Protection handling (level 1: alert, level 2: slow down, level 3: halt) based on PRISMA calculations
available during Asian trading and clearing hours
Risk ▪ No changes to default management process
Management ▪ Same Intraday risk reports as of today (e.g. CI042, CI050, CI060) offered during the Asian hours to members on
Common Report Engine (CRE)
▪ Real time risk monitoring and consistent margin call procedures during Asian trading hours
▪ Margin calls to be fulfilled in AUD or via existing USD payment infrastructure during Asian hours
21 4 November 2020Major Design Elements – Clearing & Risk
▪ Existing margin call procedures for activities during the standard trading session will remain unchanged
▪ Overnight margin calls are auto debited the following morning by 8am CET (EUR) / 9am CET (CHF/GBP)
▪ Regular intraday margin calls may be issued between 8am CET and 10pm CET (today’s practice)
▪ New: Margin calls during Asian trading hours shall only be issued in the case of position changes (i.e. no intra-night
Margin Calls
during the margin call solely based on market movements)*
Asian Hours ▪ Calculated overnight shortfalls are “set to zero”, i.e. Eurex Clearing will consider overnight margin calls as fulfilled by
the start of Asian hours, even though the call will only be debited by 8am CET (EUR) / 9am CET (CHF/GBP). Eurex
Clearing will treat all collateral pools flat or over-collateralized for the start of the Asian trading hours*
▪ Eurex Clearing will only issue a margin call during Asian hours, if the intraday margin limit has been exceeded (in
general 10% of the Clearing Member’s overnight margin requirement per pool)*
22 4 November 2020Major Design Elements – Clearing & Risk
▪ Clearing Members can pledge additional cash / non-cash collateral with Eurex (i.e. over-collateralization) during
regular hours on the preceding business day to avoid margin calls during Asian hours
Margin Calls: ▪ Clearing Members can define a Permanent Cash Balance (PCB) to establish a cash buffer which is automatically
Mitigating restored on a daily basis
Measures ▪ Clearing Members may actively manage their total margin requirement by entering risk reducing trades
▪ Clearing Members have the possibility to delete their own open orders from the order book prior to Asian hours
market opening to avoid position changes and hence margin calls during the extended session
▪ Available correspondent banks for USD include Citibank N.A., Deutsche Bank Trust, Bank of New York Mellon,
Correspondent JP Morgan Chase Bank N.A., JP Morgan Chase Bank N.A., London, and Bank of America
Banks ▪ Available correspondent banks for AUD: ANZ Banking Group Limited and Westpac Banking Corporation
23 4 November 2020Contacts
Mezhgan Qabool Markus Georgi Jan Thorwirth Stefan Morgenstern
Head of Market Development APAC Head of Fixed Income Derivatives, Vice President, Vice President, Sales Asia
Head of Equity and Index APAC Funding & Financing APAC Sales & Market Development APAC
Eurex Frankfurt AG Eurex Frankfurt AG Eurex Frankfurt AG
Eurex Frankfurt AG Hong Kong Representative Office Hong Kong Representative Office Hong Kong Representative Office
Singapore Branch 2904-7, 29/F, Man Yee Building 2904-7, 29/F, Man Yee Building 2904-7, 29/F, Man Yee Building
9 Raffles Place 68 Des Voeux Road, Central 68 Des Voeux Road, Central 68 Des Voeux Road, Central
#56–01 Republic Plaza Hong Kong Hong Kong Hong Kong
Singapore 048619 Tel: +852 2530 7820 Tel: +852 2530 7810 Tel: +852 2530 7808
Tel: +65 6597 3062 Fax: +852 2530 7821 Fax: +852 2530 7880 Fax: +852 2530 7888
Fax: +65 6597 3080 markus.georgi@eurex.com jan.thorwirth@eurex.com stefan.morgenstern@eurex.com
mezhgan.qabool@eurex.com
Yap Hui Sze Mathieu Fuhrmann Sung Min Lim Feng Chih-Chao
Vice President, Sakes & Business Vice President, Sales Asia Vice President, Sales Asia Vice President, Sales Asia
Development APAC & UAE
Eurex Frankfurt AG Eurex Frankfurt AG Eurex Frankfurt AG Eurex Frankfurt AG
Singapore Branch 27F, Marunouchi Kitaguchi Building Hong Kong Representative 0ffice Hong Kong Representative Office
9 Raffles Place 1-6-5, Marunouchi, Chiyoda-ku 2904-7, 29/F, Man Yee Building 2904-7, 29/F, Man Yee Building
#56–01 Republic Plaza Tokyo 100-0005 68 Des Voeux Road, Central 68 Des Voeux Road, Central
Singapore 048619 Japan Hong Kong Hong Kong
Tel: +65 6597 3061 Tel: +81 (0)3-4578-6622 Tel: +852 2530 7807 Tel: +852 2530 7802
Fax: +65 6597 3080 Fax: +81 (0)3-4578-6621 Fax: +852 2530 7880 Fax: +852 2530 7880
hui.sze.yap@eurex.com mathieu.fuhrmann@eurex.com sungmin.lim@eurex.com chih-chao.feng@eurex.com
24 4 November 2020Contacts
Sonia Hung Ernest Kong Sandie Staimesse Liz Yeo
Vice President, Vice President, Vice President, India & UAE Sales Vice President, Marketing Manager
Sales Lead Greater China Fixed Income Sales Asia
Eurex Frankfurt AG Eurex Frankfurt AG Eurex Frankfurt AG Eurex Frankfurt AG
Hong Kong Representative 0ffice Hong Kong Representative Office Singapore Branch Singapore Branch
2904-7, 29/F, Man Yee Building 2904-7, 29/F, Man Yee Building 9 Raffles Place 9 Raffles Place
68 Des Voeux Road, Central 68 Des Voeux Road, Central #56–01 Republic Plaza #56–01 Republic Plaza
Hong Kong Hong Kong Singapore 048619 Singapore 048619
Tel: +852 2530 7801 Tel: +852 2530 7804 Tel: +971 555 0863 92 Tel: +65 6597 3058
Fax: +852 2530 7880 Fax: +852 2530 7880 Fax: +65 6597 3080 Fax: +65 6597 3080
sonia.hung@eurex.com ernest.kong@eurex.com sandie.staimesse@eurex.com liz.yeo@eurex.com
25 4 November 2020Thank you!
eurex.com 426
November 2020Disclaimer
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