Excessive System Usage Fee

Version 2.8
Date April 2021
Excessive System Usage Fee Eurex

Version 2.8

© Eurex 2020
Deutsche Börse AG (DBAG), Clearstream Banking AG (Clearstream), Eurex Frankfurt AG, Eurex Clearing AG (Eurex Clearing) and Eurex Repo
GmbH (Eurex Repo) are corporate entities and are registered under German law. Eurex Global Derivatives AG is a corporate entity and is
registered under Swiss law. Clearstream Banking S.A. is a corporate entity and is registered under Luxembourg law. Deutsche Boerse Asia
Holding Pte. Ltd., Eurex Clearing Asia Pte. Ltd. and Eurex Exchange Asia Pte. Ltd are corporate entities and are registered under Singapore
law. Eurex Frankfurt AG (Eurex) is the administrating and operating institution of Eurex Deutschland. Eurex Deutschland is in the following
referred to as the “Eurex Exchange”.
All intellectual property, proprietary and other rights and interests in this publication and the subject matter hereof (other than certain trademarks
and service marks listed below) are owned by DBAG and its affiliates and subsidiaries including, without limitation, all patent, registered design,
copyright, trademark and service mark rights. While reasonable care has been taken in the preparation of this publication to provide details that
are accurate and not misleading at the time of publication DBAG, Clearstream, Eurex, Eurex Clearing, Eurex Repo as well as the Eurex Exchange
and their respective servants and agents (a) do not make any representations or warranties regarding the information contained herein, whether
express or implied, including without limitation any implied warranty of merchantability or fitness for a particular purpose or any warranty with
respect to the accuracy, correctness, quality, completeness or timeliness of such information, and (b) shall not be responsible or liable for any third
party’s use of any information contained herein under any circumstances, including, without limitation, in connection with actual trading or
otherwise or for any errors or omissions contained in this publication.
This publication is published for information purposes only and shall not constitute investment advice respectively does not constitute an offer,
solicitation or recommendation to acquire or dispose of any investment or to engage in any other transaction. This publication is not intended for
solicitation purposes but only for use as general information.
All descriptions, examples and calculations contained in this publication are for illustrative purposes only.
Eurex and Eurex Clearing offer services directly to members of the Eurex Exchange respectively to clearing members of Eurex Clearing. Those
who desire to trade any products available on the Eurex market or who desire to offer and sell any such products to others or who desire to
possess a clearing license of Eurex Clearing in order to participate in the clearing process provided by Eurex Clearing, should consider legal and
regulatory requirements of those jurisdictions relevant to them, as well as the risks associated with such products, before doing so.
Only Eurex derivatives that are CFTC-approved may be traded via direct access in the United States or by United States persons. A complete,
up-to-date list of Eurex derivatives that are CFTC-approved is available at: http://www.eurexchange.com/exchange-en/products/eurex-derivatives-
us. In addition, Eurex representatives and participants may familiarise U.S. Qualified Institutional Buyers (QIBs) and broker-dealers with certain
eligible Eurex equity options and equity index options pursuant to the terms of the SEC’s July 1, 2013 Class No-Action Relief. A complete, up-to-
date list of Eurex options that are eligible under the SEC Class No-Action Relief is available at: http://www.eurexchange.com/exchange-
en/products/eurex-derivatives-us/eurex-options-in-the-us-for-eligible-customers... Lastly, U.S. QIBs and broker-dealers trading on behalf of QIBs
may trade certain single-security futures and narrow-based security index futures subject to terms and conditions of the SEC’s Exchange Act
Release No. 60,194 (June 30, 2009), 74 Fed. Reg. 32,200 (July 7, 2009) and the CFTC’s Division of Clearing and Intermediary Oversight Advisory
Concerning the Offer and Sale of Foreign Security Futures Products to Customers Located in the United States (June 8, 2010).
Trademarks and Service Marks
Buxl®, DAX®, DivDAX®, eb.rexx®, Eurex®, Eurex Repo®, Eurex Strategy WizardSM, Euro GC Pooling®, FDAX®, FWB®, GC Pooling®,,GCPI®,
MDAX®, ODAX®, SDAX®, TecDAX®, USD GC Pooling®, VDAX®, VDAX-NEW® and Xetra® are registered trademarks of DBAG. All MSCI
indexes are service marks and the exclusive property of MSCI Barra. ATX®, ATX® five, CECE® and RDX® are registered trademarks of Vienna
Stock Exchange AG. IPD® UK Quarterly Indexes are registered trademarks of Investment Property Databank Ltd. IPD and have been licensed
for the use by Eurex for derivatives. SLI®, SMI® and SMIM® are registered trademarks of SIX Swiss Exchange AG. The STOXX® indexes, the
data included therein and the trademarks used in the index names are the intellectual property of STOXX Limited and/or its licensors Eurex
derivatives based on the STOXX® indexes are in no way sponsored, endorsed, sold or promoted by STOXX and its licensors and neither STOXX
nor its licensors shall have any liability with respect thereto. Bloomberg Commodity IndexSM and any related sub-indexes are service marks of
Bloomberg L.P. PCS® and Property Claim Services® are registered trademarks of ISO Services, Inc. Korea Exchange, KRX, KOSPI and KOSPI
200 are registered trademarks of Korea Exchange Inc. BSE and SENSEX are trademarks/service marks of Bombay Stock Exchange (BSE) and
all rights accruing from the same, statutory or otherwise, wholly vest with BSE. Any violation of the above would constitute an offence under the
laws of India and international treaties governing the same.
The names of other companies and third party products may be trademarks or service marks of their respective owners.
Eurex Deutschland qualifies as manufacturer of packaged retail and insurance-based investment products (PRIIPs) under Regulation (EU) No
1286/2014 on key information documents for packaged retail and insurance-based investment products (PRIIPs Regulation), and provides key
information documents (KIDs) covering PRIIPs traded on Eurex Deutschland on its website under the following link:
http://www.eurexchange.com/exchange-en/resources/regulations/eu-regulations/priips-kids.

In addition, according to Art. 14(1) PRIIPs Regulation the person advising on, or selling, a PRIIP shall provide the KID to retail investors free of
charge.

2
Excessive System Usage Fee Eurex

Version 2.8

Content
1. List of abbreviations ...................................................................................................................... 4

2. Calculation of Excessive System Usage Fee ............................................................................... 5

2.2 Transaction limit ............................................................................................................................ 7

3. Parameters ................................................................................................................................. 11
3.1 Limit parameters ......................................................................................................................... 11
3.2 Fee parameters .......................................................................................................................... 12

4. Sample calculation of the Excessive System Usage Fee .......................................................... 13

5. Customer reports ........................................................................................................................ 15

5.1 TR102 Excessive System Usage Report ................................................................................... 15
5.2 CB069 Transaction Report ......................................................................................................... 15
5.3 TD954 Stressed Market Conditions ............................................................................................ 17
5.4 TR104 Eurex Daily ESU Parameter ........................................................................................... 17
5.5 TR105 Minimum Quotation Requirements ................................................................................. 18

6. Billing .......................................................................................................................................... 19

7. Appendix ..................................................................................................................................... 20

Table of figures
Figure 1 : Relationship between standard orders, transactions without an orderbook update and all
transactions ................................................................................................................................................... 5
Figure 2 : Overview of factors affecting the transaction limit used for the ESU Fee .................................. 7
Figure 3 : Structure of the daily CB069 report ............................................................................................... 17
Figure 4 : Structure of the CB197 report (excess transaction limit fees) ................................................... 19

Table of tables
Table 1 : Abbreviations ........................................................................................................................................ 4
Table 2 : MQ base factor and spread quality for the ESU Fee .................................................................... 10
Table 3 : Per product group, per transaction limit type, MM base values and spread quality as well as
volume factor for the ESU Fee ................................................................................................................. 11
Table 4 : ESU Fee structure ............................................................................................................................. 12
Table 5 : Sample ESU Fee calculation ........................................................................................................... 14
Table 6 : Technical examples of transactions ................................................................................................ 20

Table of equations
Equation 1 : Total ESU Fee ................................................................................................................................ 6
Equation 2 : Decision whether MM floor is applicable .................................................................................... 8
Equation 3 : Calculation of the MM floor component for ESU Fee ............................................................... 9

3
Excessive System Usage Fee Eurex

Version 2.8

1. List of abbreviations
This section lists all the abbreviations used to describe the Excessive System Usage Fee (ESU Fee).

Abbreviation Description
ALV Allianz Option
AMM Advanced Market Maker
CRE Common Report Engine
DMM Designated Market Maker
ESU Fee Excessive System Usage Fee
FDAX DAX® Futures
FESX EURO STOXX 50® Index Futures
FGBL Euro-Bund Futures
HFT High-frequency trading
MM Market Maker
MMPM Market Maker performance measurement
OESX EURO STOXX 50® Index Options
PMM Permanent Market Maker
QP Quote performance
SQ Spread quality
T7 Eurex Exchange’s trading architecture
Table 1 : Abbreviations

4
Excessive System Usage Fee Eurex

Version 2.8

2. Calculation of Excessive System Usage Fee

In order to encourage a responsible attitude towards the use of the T7 system resources, Eurex
Exchange defines limits for the number of transactions sent by each Participant. If a Participant
exceeds the defined limits, then a fee for Excessive System Usage (ESU) may apply.

The transaction limit is calculated per Participant, per product, per trading day, and per limit type.
There are three types of transaction limits: a transaction limit for standard orders, a transaction limit for
all transactions which do not lead to a market data update as well as order modifications which lead to
a cancellation without a trade1 and a transaction limit for all transactions.

• Transaction limit for standard orders: This limit is applicable only to standard orders. The orders
which carry the "recoverability flag" are marked as standard orders by T7. The activation of the
recoverability flag for an order allows retrieval of the complete history of the order in the trading
system. Such orders are called standard orders. Their opposites are lean orders which allow a
higher throughput and reduce latency. The latter consume less system resources. Therefore, the
use of lean orders over the use of standard orders is preferable in case of sending thousands of
orders per product.

Further information is available in the Eurex Enhanced Trading Interface Manual which is available
on the Eurex website https://www.eurex.com:

Support > Initiatives > T7 Releases > Release 9.0 > Trading Interfaces

• Transactions without market data update: This limit is applicable to transactions which reach the
matching engines, but either have no market data impact (i.e. failed IOC orders) or are order
modifications which result in an order deletion without a contract being traded (such transactions
are for example the modification of a resting order into an aggressive Book or Cancel order, which
will lead to a deletion of the resting order).

• Transaction limit for all transactions: The term "all transactions" describes every message that
reaches the matching engine of T7. These include standard orders and non-standard orders,
quotes, and inquiries. Messages that are rejected at the gateway are excluded.

Generally, "standard orders" as well as “transactions without market data update” are a subset of "all
transactions". The relationship is shown in Figure 1.

Figure 1 : Relationship between standard orders, transactions without an orderbook update and all transactions

1
In the following, we refer to these transactions as “transactions without market data update”.

5
Excessive System Usage Fee Eurex

Version 2.8

Every day, for each Participant, the actual transactions are counted per product. If this transaction
count exceeds the predefined transaction limit, then such instance is considered as a violation of the
limit.

There are two types of violations:

• Accidental violation: A violation of the limit is considered “accidental” if a limit is exceeded less
than four times for a product in a calendar month. Accidental violations are not subject to the ESU
Fee.

• Systematic violation: A violation of the limit is considered “systematic” if a limit is exceeded more
than three times for a product in a calendar month. Systematic violations are subject to the ESU
Fee. Thus, the ESU Fee is not only applied from the fourth violation onwards, but also applies to all
the earlier violations in that particular month.

It is important to note that violations are counted per product across the three limit types. Suppose
there were two violations in the limit type “all transactions” and two violations in the limit type “standard
orders” in the product DAX® Futures (FDAX) in a particular month. This is considered as a systematic
violation. The ESU Fee is calculated for the four violations separately and the total fee for that
Participant will be the sum of the individual ESU Fees for each transaction limit. Please note, in case
there are violations against multiple limit types in a product on a day, it will be counted as one
violation.

The ESU Fee is calculated using Equation 1.

Equation 1 : Total ESU Fee

A transaction is defined as a system message that reaches the matching engine and yields a
response. A transaction can be identified by inspecting the system response. If the response contains
a time stamp from the matching engine the message is added to the daily transaction count of the
Participant for the respective product.
Technically, the time stamp from the matching engine can be found in the structure
ResponseHeaderME or NRResponseHeaderME in the field TrdRegTSTTimeIn. Table 6 in the
appendix provides technical examples of transactions.
An order, a quote and a mass quote; each of these is counted separately as one transaction.

2.1.1 General remarks

Minimum Quotation Requirements

The Minimum Quotation Requirements reflect the parameters from the commercial Liquidity Provider
schemes. The parameters are defined along the three dimensions of the commercial schemes:

1. Spread requirements (e.g. 10% of the bid price, or 2 ticks)

2. Size requirement (e.g. 10 lots)

6
Excessive System Usage Fee Eurex

Version 2.8

3. Time requirement (e.g. 8.5 hours for 140 option strikes, or 8 hours for the front month futures
contract)

However, there are some differences if the quotation requirements do not restrict on a specific
instrument or a specific timeframe throughout the day.

In case there are multiple commercial Liquidity Provider Schemes in a product, the Minimum
Quotation Requirements create a synthetic scheme for this particular product, along the weakest
requirement within the three dimensions, e.g.:

1. The size requirement is from the scheme which requires the smallest size
2. The spread requirements are from the scheme with the widest spreads
3. The time requirement is from the scheme with the smallest required time

Eurex Exchange Minimum Quotation Requirements necessitate that a participant quotes at a high
frequency for various instruments, which means that participants generate higher transaction counts
compared to those participants that do not engage in quotation of products (even if a Participant
barely fulfills the Minimum Quotation Requirements).

Therefore, in case the participant fulfills the Minimum Quotation Requirements, the limit needs to be
raised to a much higher level. Eurex Exchange does not want to discourage participants from quoting
more instruments than the required ones.

2.2 Transaction limit

Figure 2 provides an overview of the different factors that affect the calculation of a transaction limit.
The transaction limit consists of two components: (i) volume component and (ii) floor.

Figure 2 : Overview of factors affecting the transaction limit used for the ESU Fee
Please note: The term Market Maker in the context of the ESU Fee refers to Participants fulfilling the
Minimum Quotation Requirements2. A trading participant acting as liquidity provider who signed the
Liquidity Provider Agreement and fulfilled the defined requirements of the so-called Stress Presence
Building Block on a day with Stressed Market Conditions, is according to the General Supplement of
the Liquidity Provider Agreement, eligible for an increased Market Maker base by 10% on that day.
For all rights and duties of the liquidity provider, the provisions of the Liquidity Provider Agreement
apply.

2
See definition in 2.1.1

7
Excessive System Usage Fee Eurex

Version 2.8

2.2.1 Volume component

The volume component is proportional to the traded order book volume. A volume component is
calculated by multiplying the order book volume by the predefined volume factor. A higher order book
volume increases the volume component. The bigger the volume component, the higher the
transactions limit. A typical value of a volume factor for “all transactions” is 50.

Example: Suppose the following factors on a particular day for a particular product

• Order book volume generated by a Participant = 2,000 and

• Volume factor = 50
This results in
Volume Component = Order Book Volume × Volume Factor
Volume Component = 2,000 × 50 = 100,000

2.2.2 Floor

As shown in Figure 2, there are two types of floor components.

• Non-Market Maker floor (Non-MM floor):

For each Participant per day, per product and for each type of a transaction limit, a minimum floor
is set regardless of any traded volume in the order book. The values for the Non-Market Maker
floor are predefined depending on the product.

• Market Maker floor (MM floor):

This component is used in case of products where Market-Making is applicable (i.e. the Minimum
Quotation Requirements are defined) and for the Market Makers that satisfy the condition shown in
Equation 2. The grace factor allows Market Maker with a quote performance lower than the quote
performance of the Market Maker performance requirement to be eligible for the Market Maker
floor. Equation 3 shows the formula to calculate the Market Maker floor.

Foremost, it is necessary to decide whether the MM floor is applicable. This decision is taken by
checking whether the Market Maker meets the condition under consideration related to the quote
performance described by Equation 2.

Equation 2 : Decision whether MM floor is applicable

The quote performance takes into consideration that different products (e.g. ALV or OESX) have
different Market Maker performance requirements.

8
Excessive System Usage Fee Eurex

Version 2.8

Example: Suppose for a certain product:

• Grace factor = 0.25

• Market Maker (MM) performance requirement = 0.85
• Quote performance of Market Maker A (𝑄𝑃𝐴 ) = 0.70
• Quote performance of Market Maker B (𝑄𝑃𝐵 ) = 0.20

Calculation:

𝐺𝑟𝑎𝑐𝑒 𝑓𝑎𝑐𝑡𝑜𝑟 × 𝑀𝑀 𝑝𝑒𝑟𝑓𝑜𝑟𝑚𝑎𝑛𝑐𝑒 𝑟𝑒𝑞𝑢𝑖𝑟𝑒𝑚𝑒𝑛𝑡 𝑓𝑜𝑟 𝑡ℎ𝑒 𝑔𝑖𝑣𝑒𝑛 𝑝𝑟𝑜𝑑𝑢𝑐𝑡 = 0.25 × 0.85 = 𝟎. 𝟐𝟏𝟐𝟓

Therefore:

Since 0.2125 is less than 0.70 (𝑄𝑃𝐴 ) ➔ MM floor will be applicable for Market Maker A

Since 0.2125 is greater than 0.20 (𝑄𝑃𝐵 ) ➔ Non-MM floor will be applicable for Market Maker B

The next step is to understand the calculation of MM floor. Equation 3 shows the formula to calculate
the Market Maker floor.

Equation 3 : Calculation of the MM floor component for ESU Fee

The following text describes various factors shown in Equation 3.

• Quote performance (QP):

The quote performance is the ratio of "covered time" to "required time".

o Covered time: This is the total time in all possible instruments even beyond the strike price
window of a product the participant actually quotes in a day. To calculate the covered
time, only those quotes that satisfy the constraints regarding the maximum spread and
minimum quote size are considered. The “covered time” used in this context is the sum of
all-time intervals across all outright instruments in a given product where a participant has
quoted according to the Minimum Quotation Requirements.
o Required time: This is the total time in all possible series of the strike price window of a
product the participant could quote in a day. A typical example is 7 strikes per expiration
for 6 expirations for both put and call for time per day, yields to required time =
7 × 6 × 2 × 8.5 hours = 714 hours. Please note the time per day will be replaced with the
actual time for which the instruments were in continuous trading (i.e. removing the
auctions, or in case of a system crash reducing the time)

The covered time is then set in relation to the required time of those outright instruments (i.e. an
option strike) which need to be quoted to fulfil the Minimum Quotation Requirements. Therefore,
the maximum quote performance is the relation of the number of outright instruments that have
been listed in the entire product and the number of outright instruments that need to be quoted by
participants. Please note, quotation activity in complex instruments is currently not considered.

9
Excessive System Usage Fee Eurex

Version 2.8

For example, a participant is required to quote seven strikes (out of possible 15 in strike price
window) to receive up to 100 percent (= 1.0) Market Maker performance (regarding the Minimum
Quotation Requirements). If the participant quotes 15 series, then this performance goes up to
214 percent (= 2.14). Thus, the quote performance is directly proportional to the amount of
instruments a participant quotes. Another example: A participant is required to quote one futures
expiration for 8.5 hours and he decides to quote this expiration for 20 hours. Hence, his quote
performance will be 20 hours/8.5 hours = 2.35. The larger the number of instruments, the higher is
the value of the quote performance.

• Spread quality (SQ):

The spread quality is a performance measure based on the average spread in relation to the
required spread calculated for all outright instruments quoted by a participant in a product for a
day. The spread quality is applicable only to those quotes, which satisfy the constraints regarding
the maximum spread and the minimum quote size as defined by the Minimum Quotation
Requirements. It is calculated using the following formula on a tick by tick basis for each
instrument and aggregated per day using time weighted averages,
𝑀𝑎𝑥 𝑆𝑝𝑟𝑒𝑎𝑑 𝐴𝑙𝑙𝑜𝑤𝑒𝑑 − 𝑄𝑢𝑜𝑡𝑒𝑑 𝑆𝑝𝑟𝑒𝑎𝑑
, 𝑖𝑓 𝑀𝑎𝑥 𝑆𝑝𝑟𝑒𝑎𝑑 𝐴𝑙𝑙𝑜𝑤𝑒𝑑 > 𝑇𝑖𝑐𝑘 𝑆𝑖𝑧𝑒
𝑆𝑄 = { 𝑀𝑎𝑥 𝑆𝑝𝑟𝑒𝑎𝑑 𝐴𝑙𝑙𝑜𝑤𝑒𝑑 − 𝑇𝑖𝑐𝑘 𝑆𝑖𝑧𝑒 .
1, 𝑖𝑓 𝑀𝑎𝑥 𝑆𝑝𝑟𝑒𝑎𝑑 𝐴𝑙𝑙𝑜𝑤𝑒𝑑 = 𝑇𝑖𝑐𝑘 𝑆𝑖𝑧𝑒

The rationale for this factor is that if the bid-offer spread becomes tighter, then more quote
updates are required to reflect the changes in the market price. Depending on the spread quality,
values of the MQ base factor change. Table 2 shows example values for MQ base factor per
spread quality (SQ).

SQ MQ base
SQ <= 0.2 250,000

0.2 < SQ <= 0.3 500,000

0.3 < SQ <= 0.4 750,000

0.4 < SQ 1,000,000

Table 2 : MQ base factor and spread quality for the ESU Fee

10
Excessive System Usage Fee Eurex

Version 2.8

3. Parameters
3.1 Limit parameters
This section contains the values of the limit parameters per product type. The limit is defined based on
the product type of the product. The product types are published in the product overview section on
the Eurex website https://www.eurex.com:

Products > Product Overview > Complete list of all Eurex products in csv format

The following parameters are used to calculate the ESU Fee:

* Note: The table contains the main product group per product type and the list of product group names is not
exhaustive.
Table 3 : Per product group, per transaction limit type, MM base values and spread quality as well as volume
factor for the ESU Fee

A trading participant, acting as liquidity provider and fulfilling the defined requirements of the so-called
Stress Presence Building Block on a day with Stressed Market Conditions, is eligible for an increased
MM base by 10% on that day (c.f. section 2.2).

11
Excessive System Usage Fee Eurex

Version 2.8

3.2 Fee parameters

This section includes the fee parameters that will be used to calculate the ESU Fee. The fee structure
to calculate the ESU Fee is shown in Table 4. It is important to note that the sliding scale of the range
mentioned in Table 4 is applied to the transactions which are in excess of the transaction limit. The
percentage values in the range are relative to the individual transaction limit. It is worth to recollect the
fact that transaction limits are predefined per Participant, per product and per day.

ESU Fee per exceeded With a violation of the

transaction transaction limit by
EUR 0.05 Up to 50%
EUR 0.10 50% - 100%
EUR 0.25 > 100%
Table 4 : ESU Fee structure

12
Excessive System Usage Fee Eurex

Version 2.8

4. Sample calculation of the Excessive System Usage Fee

The following example explains the calculation of the ESU Fee.

Observed Data:
For a particular product, for a registered liquidity provider, for a particular day
• Total number of transactions = 900,000
• Order book volume = 1,000
• Quote performance = 0.30
• Spread quality = 0.45
• Fulfilled the Minimum Quotation Requirements during Stressed Market Conditions
Predefined parameters for the same product are:
• Volume factor = 50
• Non-MM floor = 250,000
• Grace factor = 0.25
• MM performance requirement = 0.85

Calculations:
• Calculation to check whether MM floor is applicable (Equation 2):
𝐺𝑟𝑎𝑐𝑒 𝑓𝑎𝑐𝑡𝑜𝑟 × 𝑀𝑀 𝑝𝑒𝑟𝑓𝑜𝑟𝑚𝑎𝑛𝑐𝑒 𝑟𝑒𝑞𝑢𝑖𝑟𝑒𝑚𝑒𝑛𝑡 = 0.25 × 0.85 = 0.2125
0.2125 is less than the observed quote performance (= 0.30)
➔ MM floor is applicable in this case

• Calculation of volume component:

𝑉𝑜𝑙𝑢𝑚𝑒 𝑐𝑜𝑚𝑝𝑜𝑛𝑒𝑛𝑡 = 𝑂𝑟𝑑𝑒𝑟 𝑏𝑜𝑜𝑘 𝑣𝑜𝑙𝑢𝑚𝑒 × 𝑉𝑜𝑙𝑢𝑚𝑒 𝑓𝑎𝑐𝑡𝑜𝑟
𝑉𝑜𝑙𝑢𝑚𝑒 𝑐𝑜𝑚𝑝𝑜𝑛𝑒𝑛𝑡 = 1,000 × 50 = 50,000

• Calculation of MM floor (Table 2):

For the spread quality value of 0.45, the corresponding value of the MQ base = 1,000,000.
As the participant fulfilled the Minimum Quotation Requirements during Stressed Market
Conditions the MQ base will be increased by 10%, therefore, MQ base = 1,100,000.
Equation 3 shows the formula to calculate the MM floor.
𝑀𝑀 𝑓𝑙𝑜𝑜𝑟
= 𝑚𝑎𝑥𝑖𝑚𝑢𝑚 (𝑁𝑜𝑛 𝑀𝑎𝑟𝑘𝑒𝑡 𝑀𝑎𝑘𝑒𝑟 𝑓𝑙𝑜𝑜𝑟, (𝑀𝑎𝑟𝑘𝑒𝑡 𝑀𝑎𝑘𝑒𝑟 𝑏𝑎𝑠𝑒 × 𝑄𝑢𝑜𝑡𝑒 𝑝𝑒𝑟𝑓𝑜𝑟𝑚𝑎𝑛𝑐𝑒))
= 𝑚𝑎𝑥𝑖𝑚𝑢𝑚 (250,000 , [ 1,100,000 ∗ 0.30 ] ) = 𝑚𝑎𝑥𝑖𝑚𝑢𝑚 (250,000 , 330,000)
= 330,000

• Calculation of transaction limit:

Based on Figure 2,
𝑇𝑟𝑎𝑛𝑠𝑎𝑐𝑡𝑖𝑜𝑛 𝑙𝑖𝑚𝑖𝑡 = 𝑉𝑜𝑙𝑢𝑚𝑒 𝑐𝑜𝑚𝑝𝑜𝑛𝑒𝑛𝑡 + 𝑀𝑎𝑟𝑘𝑒𝑡 𝑀𝑎𝑘𝑒𝑟 𝑓𝑙𝑜𝑜𝑟
𝑇𝑟𝑎𝑛𝑠𝑎𝑐𝑡𝑖𝑜𝑛 𝑙𝑖𝑚𝑖𝑡 = 50,000 + 330,000
𝑇𝑟𝑎𝑛𝑠𝑎𝑐𝑡𝑖𝑜𝑛 𝑙𝑖𝑚𝑖𝑡 = 380,000

• Calculation of the ESU Fee:

Number of transactions exceeding the limit = 900,000 − 380,000 = 520,000.
Apply the fee structure from Table 4 to these transactions exceeding the limit. The calculations
for that are shown in Table 5.

13
Excessive System Usage Fee Eurex

Version 2.8

With a violation of the ESU Fee per Number of transactions in the

Fee (EUR)
transaction limit by transaction corresponding range

Up to 50% € 0.05 380,000 ∗ 50% = 190,000 9,500

50% to 100% of transaction limit € 0.10 380,000 ∗ 50% = 190,000 19,000

> 100% of transaction limit € 0.25 (520,000 – 190,000 – 190,000) = 140,000 35,000

Total ESU Fee: 63,500

Table 5 : Sample ESU Fee calculation

14
Excessive System Usage Fee Eurex

Version 2.8

5. Customer reports
Five reports will be made available on a daily* basis:
• TR102 Excessive System Usage Report
• CB069 Transaction Report
• TD954 Stressed Market Conditions
• TR104 Eurex Daily ESU Parameter
• TR105 Minimum Quotation Requirements

These reports are available for the Participants via the Common Report Engine. The Participants
themselves have to query these reports from the Common Report Engine. Every day, the report for
the previous trading day is available. The CRE stores the reports for the last 10 trading days.

* Additionally, intraday versions of the report CB069 are available five times a day.

5.1 TR102 Excessive System Usage Report

• The report is generated on a daily basis

• This report contains the data per product per limit type for each elapsed trading day of the
month
• The report provides information on the transaction limit, actual transaction count; If the limit is
exceeded, then violation count along with the excess transactions are shown
• The value in the column ‘headroom’: indicates the distance from the limit
- 0.0 ≤ Headroom ≤ 1.0
- 𝐻𝑒𝑎𝑑𝑟𝑜𝑜𝑚 = [ 1.0 − ( 𝑡𝑟𝑎𝑛𝑠𝑎𝑐𝑡𝑖𝑜𝑛 𝑐𝑜𝑢𝑛𝑡 / 𝑡𝑟𝑎𝑛𝑠𝑎𝑐𝑡𝑖𝑜𝑛 𝑙𝑖𝑚𝑖𝑡) ]
- If the number gets closer to 0, then it would be a matter of concern
• The values in the column ‘feeEUR’ indicate the ESU Fee in Euro; The purpose of this column
is to show the ESU Fee for all violations that will have to be paid by a Participant in case the
limit violation turns out to be a systematic one

5.2 CB069 Transaction Report

• If the values from TR102 for a particular product are observed to be so high that deeper
investigation is necessary, then this report can be used to find out the further information at
session ID level and/or trader ID level
• Intraday versions of this report are made available five times a day and can be used by the
Participants to track, for the respective trading day, number of transactions, ordered volume
and traded volume – per product, per limit type, per session ID and per trader ID; The report
data will provide an aggregate of the current trading day
• The intraday reports are available via CRE and will have the following name convention:
90RPTCB069EUREXYYYYMMDDHHMM
• The schedule of the availability of the intraday reports is shown in the following table:

15
Excessive System Usage Fee Eurex

Version 2.8

Please note that the intraday report available at 19:30 CET will not be the final extract for the
day; The final report will be made available on the following day
• The intraday reports are available in the following formats: .csv and .xml.
• The number of orders and the ordered volume are shown in the columns ‘Orders Count’ and
‘Ordered Volume’. The number of trades and the traded volume values are shown in the
columns ‘Trades Count’ and ‘Traded Volume’ respectively.
• For the limit type ‘Standard’, the values of traded volume and ordered volume are not
measured separately. “n/a” stands for not available.

The CB069 report consists of three parts:

• The first part provides the information on number of transactions, number of orders, ordered
volume, number of trades and traded volume per product per limit type.
• The second part provides additional granularity of session ID level to the information from the
first part. The column ‘Session’ contains session IDs.
• The third part provides additional granularity of trader ID level to the information from the first
part. The column ‘User’ lists trader IDs.

16
Excessive System Usage Fee Eurex

Version 2.8

Figure 3 : Structure of the daily CB069 report

5.3 TD954 Stressed Market Conditions

• The report is generated on a daily basis

• This report contains the data per product for each elapsed trading day of the month
• The report provides information of the fulfilment of the Minimum Quotation Requirement during
Stressed Market Conditions for all trading days in the current month and the fulfilment month-
to-date

5.4 TR104 Eurex Daily ESU Parameter

• The report is generated on a daily basis

• This report contains the parameters per product and limit type

17
Excessive System Usage Fee Eurex

Version 2.8

• It contains the daily data per product for all the elapsed trading days.
• The intraday reports are available via CRE and will have the following name convention:
90RPTTR104PUBLIYYYYMMDD
• The column ‘limType’ shows the type of the transaction limit (A = Transaction limit for all
transactions, N = Transactions without market data update, S = Transaction limit for standard
orders)
• The column ‘graceFactor’ shows the grace factor
• The columns ‘floor’ and ‘volFactor’ show the base limit volume and count
• As the name indicates, the column ‘smcFactor’ shows the stressed market factor for the OTR
calculation

5.5 TR105 Minimum Quotation Requirements

• The report is generated on a daily basis

• This report contains the Minimum Quotation Requirements for each product (if applicable)
• It contains the daily data per product for all the elapsed trading days
• The intraday reports are available via CRE and will have the following name convention:
90RPTTR105PUBLIYYYYMMDD
• The columns ‘MinQuoteSize’ and ‘minQuoteSizeSMC’ show the minimum quote size during
normal and Stressed Market Conditions

Detailed information on the structure of all the reports is available on the Eurex website
www.eurex.com:

Support > Initiatives > T7 Releases > Choose the current T7 Release > System
Documentation > Under “Reports” you will find the “T7 XML Report Reference Manual” for
the respective release

Details and manuals on further T7 Releases can be found here.

18
Excessive System Usage Fee Eurex

Version 2.8

6. Billing
Eurex Exchange will generate a monthly invoice per Participant containing all systematic violations.

All Participants will receive the report CB197 containing the detailed information on the ESU Fee by
the end of each month. The following diagram shows the structure of this report.

***********************************************************************
* EUREX *
* CONFIDENTIAL *
* CB197 EXCESS TRANSACTION LIMIT FEES *
* XXXXX *
* AS OF DATE: 99-99-99 *
* RUN DATE : 99-99-99 *
***********************************************************************

ClMbr ExMbr Curr

----- ----- ----
XXXXX XXXXX XXX

Prod Prod Transaction Transactions Transaction Excess LT Additional Info Fee Amount
Type ID Date Limit Transactions
---- ---- ----------- --------------- --------------- --------------- -- ---------------------------------------- --------------
XXXX XXXX 9999-99-99 XXXXXXXXXXXXXXX XXXXXXXXXXXXXXX XXXXXXXXXXXXXXX X XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX -
9999999999,99
XXXX 9999-99-99 XXXXXXXXXXXXXXX XXXXXXXXXXXXXXX XXXXXXXXXXXXXXX X XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX -
9999999999,99
XXXX 9999-99-99 XXXXXXXXXXXXXXX XXXXXXXXXXXXXXX XXXXXXXXXXXXXXX X XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX -
9999999999,99
--------------------------------------------------------------------------------------------------------------------------------
Total per Product: -9999999999.99

Prod Prod Transaction Transactions Transaction Excess LT Additional Info Fee Amount
Type ID Date Limit Transactions
---- ---- ----------- --------------- --------------- --------------- -- ---------------------------------------- --------------
XXXX XXXX 9999-99-99 XXXXXXXXXXXXXXX XXXXXXXXXXXXXXX XXXXXXXXXXXXXXX X XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX -
9999999999,99
XXXX 9999-99-99 XXXXXXXXXXXXXXX XXXXXXXXXXXXXXX XXXXXXXXXXXXXXX X XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX -
9999999999,99
XXXX 9999-99-99 XXXXXXXXXXXXXXX XXXXXXXXXXXXXXX XXXXXXXXXXXXXXX X XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX -
9999999999,99
--------------------------------------------------------------------------------------------------------------------------------
Total per Product Type: -9999999999.99

Total per Trading Member: -9999999999.99

Total per Clearing Member: -9999999999.99

* * * END OF REPORT * * *

Figure 4 : Structure of the CB197 report (excess transaction limit fees)

The column name “LT” is an abbreviation for “limit type”. Three types of transaction limits are defined,
namely, “all transactions”, “standard orders” and “transactions without market data update”.
The possible values in column “LT” will be either “A”, “S” or “N”. The letter “A” belongs to the
transaction limit type for “all transactions”. The letter “S” denotes that the information in that row is
related to the limit type “standard orders” and the letter “N” indicates that the information in the
corresponding row is related to the limit type for “transactions without market data update”.

Detailed information on the structure of the report is available on the Eurex website www.eurex.com:

Clear > Support > Initiatives > C7 Releases > Choose the current C7 Release > System
Documentation > Under “Reports” you will find the “Eurex Clearing XML Reports – Reference
Manual” for the respective release

Details and manuals on further C7 Releases can be found here.

19
Excessive System Usage Fee Eurex

Version 2.8

7. Appendix
Following table shows technical examples of transactions.

Flow Request Request Template ID Response Response Template ID

Add Complex Instrument AddComplexInstrumentRequest 10301 AddComplexInstrumentResponse 10302
Cross Request CrossRequest 10118 CrossRequestResponse 10119
Delete All Order DeleteAllOrderRequest 10120 DeleteAllOrderResponse 10121
Delete All Order DeleteAllOrderRequest 10120 DeleteAllOrderNRResponse 10124
Delete All Order Complex DeleteAllOrderRequest 10120 DeleteAllOrderResponse 10121
Delete All Order Complex DeleteAllOrderRequest 10120 DeleteAllOrderNRResponse 10124
Delete All Quote DeleteAllQuoteRequest 10408 DeleteAllQuoteResponse 10409
Delete Order Complex DeleteOrderComplexRequest 10123 DeleteOrderNRResponse 10111
Delete Order Complex DeleteOrderComplexRequest 10123 DeleteOrderResponse 10110
Delete Single Order DeleteOrderSingleRequest 10109 DeleteOrderNRResponse 10111
Delete Single Order DeleteOrderSingleRequest 10109 DeleteOrderResponse 10110
Inquire MM Parameter InquireMMParameterRequest 10305 InquireMMParameterResponse 10306
MM Parameter Definition MMParameterDefinitionRequest 10303 MMParameterDefinitionResponse 10304
Mass Quote MassQuoteRequest 10405 MassQuoteResponse 10406
Modify Order Complex ModifyOrderComplexRequest 10114 ModifyOrderNRResponse 10108
Modify Order Complex ModifyOrderComplexRequest 10114 OrderExecResponse 10103
Modify Order Complex ModifyOrderComplexRequest 10114 ModifyOrderResponse 10107
Modify Order Complex ModifyOrderComplexRequest 10114 OrderExecResponse 10103
Modify Single Order ModifyOrderSingleRequest 10106 ModifyOrderNRResponse 10108
Modify Single Order ModifyOrderSingleRequest 10106 OrderExecResponse 10103
Modify Single Order ModifyOrderSingleRequest 10106 ModifyOrderResponse 10107
Modify Single Order ModifyOrderSingleRequest 10106 OrderExecResponse 10103
Modify Single Order (short layout) ModifyOrderSingleShortRequest 10126 ModifyOrderNRResponse 10108
Modify Single Order (short layout) ModifyOrderSingleShortRequest 10126 OrderExecResponse 10103
New Order Complex NewOrderComplexRequest 10113 NewOrderNRResponse 10102
New Order Complex NewOrderComplexRequest 10113 OrderExecResponse 10103
New Order Complex NewOrderComplexRequest 10113 NewOrderResponse 10101
New Order Complex NewOrderComplexRequest 10113 OrderExecResponse 10103
New Single Order NewOrderSingleRequest 10100 NewOrderNRResponse 10102
New Single Order NewOrderSingleRequest 10100 OrderExecResponse 10103
New Single Order NewOrderSingleRequest 10100 NewOrderResponse 10101
New Single Order NewOrderSingleRequest 10100 OrderExecResponse 10103
New Single Order (short layout) NewOrderSingleShortRequest 10125 NewOrderNRResponse 10102
New Single Order (short layout) NewOrderSingleShortRequest 10125 OrderExecResponse 10103
Quote Activation QuoteActivationRequest 10403 QuoteActivationResponse 10404
Request For Quote RFQRequest 10401 RFQResponse 10402

Table 6 : Technical examples of transactions

20