1.  Introduction

This circular is to inform you about amendments to the Conditions for Transactions on the Frankfurter Wertpapierbörse and the Exchange Rules for the Frankfurter Wertpapierbörse (FWB^®, the Frankfurt Stock Exchange). Furthermore, this circular informs about decisions of the FWB Management Board resulting from the revision of the Rules and Regulations. 

In its meeting on 10 November 2021, the Exchange Council of Frankfurter Wertpapierbörse approved amendments to the Rules and Regulations of the Frankfurter Wertpapierbörse with regard to the following topics: 

• Introduction of a new volatility interruption model (Automated Corridor Expansion, ACE)
• Extension of trading hours on Börse Frankfurt for shares, ETFs/ETPs and mutual funds
• Deletion of requirements for commodity certificates
• Modifications of the Self-Match Prevention (SMP) provisions 
• Modifications of the Short/Long Code regime
• Mandatory attendance of Specialists on the trading floor
• Amended settlement period for mutual funds (excluding ETFs) on Börse Frankfurt
• Mistrade application period

The modified Rules and Regulations can be found on the Xetra website www.xetra.com under the following link: Rules and Regulations.

Production start:

2.    Required action

Please take note of the revised Rules and Regulations and the resulting decision of the FWB Management Board. 

Please ensure your in-house readiness for the launch of T7 Release 10.0, the extension of trading hours of Börse Frankfurt, your readiness to comply with the new Short/Long Code regime and the amended settlement period for mutual funds.

3.    Details of the initiative

Automated Corridor Expansion (ACE) Volatility Interruption Model:

As of 24 November 2021, the ACE Volatility Interruption Model will replace the Single Volatility Interruption Model for Exchange Traded Funds (ETFs) and Exchange Traded Products (ETPs) traded in the trading model Continuous Trading in Connection with Auctions on the trading venue Xetra (MIC: XETR). It will be assigned to all ETFs and ETPs for all trading phases, including auctions and Continuous Trading. 

The FWB Management Board decided that each instrument is assigned to one of the initial ACE parameter classes named in the table in the attachment, with each parameter class including parameters for the maximum number of ACE price corridors, the dynamic and static price ranges and the individual ACE price corridors.

Furthermore, the FWB Management Board decided that for ACE volatility interruptions during auctions, the duration of each ACE price corridor is 5 minutes plus a random end. For ACE volatility interruptions during Continuous Trading, the duration of the 1st ACE price corridor is 2 minutes plus a random end, and for each subsequent price corridor 5 minutes plus a random end.

As an additional criterion for price determinations at the end of the duration of an ACE price corridor, the FWB Management Board decided that the potential execution price must lie within a Designated Sponsor quote of valid size.

The parameter data for each ETF and ETP will be published in the T7 reference data on the Common Report Engine, in the Member Section of Deutsche Börse Group and on the Xetra website www.xetra.com. Please refer to one of these data sources for individual instrument assignments to ACE parameter classes as well as potential future parameter updates. For further details on the ACE volatility interruption model, please refer to the Exchange Rules for the Frankfurter Wertpapierbörse and the Market Model for the trading venue Xetra.

Extension of Trading Hours:

Effective 29 November 2021, the trading hours on Börse Frankfurt (MIC: XFRA) for shares, ETFs/ETPs and mutual funds will be extended from currently 08:00 – 20:00 to 08:00 – 22:00 CE(S)T. Please refer to Xetra circular 057/21 for further details. 

Additionally, the FWB Management Board decided that trading on Börse Frankfurt on public holidays (Germany and State of Hesse) - where trading takes place according to the FWB trading calendar - ends at 20:00 CE(S)T. In 2022 the following public holidays are affected: 

Modifications of the Self-Match Prevention (SMP) regime:

The processing of orders and quotes flagged with SMP will be modified. Orders and quotes which are flagged for SMP are not executed in case of a self-dealing. If the volume of an incoming order or quote flagged with SMP is larger than the volume of an order or a quote flagged with SMP on the opposite side if the order book, the remaining volume stays in the order book and is not cancelled. The remaining volume can be matched against other orders and quotes in the order book. 

Additionally, orders can be flagged with execution restriction Fill-or-Kill and SMP at the same time.

Modification of the Short/Long Code regime:

By order of the exchange supervisory authority from the State of Hesse, the FWB amends the Short/Long Code regime. As of 1 January 2022, Trading Participants are obliged to use unique and over time invariable Short/Long Code combinations. When using a Short/Long Code combination in an order for the first time, this Short Code used shall be decrypted into the corresponding Long Code by the end of the trading day following the trading day of its first use.

Please refer to Xetra Circulars 043/21 and 055/21 for details of the new regime.

Mandatory attendance of Specialists:

As of 22 November 2021, mandatory attendance of Specialists on the trading floor of Frankfurter Wertpapierbörse will only be requested from 09:00 CE(S)T to 20:00 CE(S)T. 

Amended settlement period for mutual funds traded on Börse Frankfurt (excluding ETFs):

As of 24 January 2022, the settlement period for mutual funds (excluding ETFs) traded on Börse Frankfurt (MIC: XFRA) will be amended from T+2 to T+4. 

The amended settlement period will be available on ISIN basis in the T7 reference data and will be indicated in the T7 Trade Confirmation. The respective settlement instructions resulting from trades in mutual funds executed on Börse Frankfurt will be indicated with “Festvaluta” (fixed value date). It is recommended to test the changes in simulation in order to ensure a proper settlement processing. 

The simulation of mutual funds will be available from 29 November 2021 until 10 December 2021.

• Non-collective safe custody (NCSC) instruments available for testing: LU0552385295 and LU0171310443 
• Collective safe custody (CSC) instruments available for testing: DE0009807008 and DE0009809566.

Mistrade application period:

After the entry into force of the revised Conditions for Transactions, the application deadline for the cancellation of trades (mistrade period) will be 2 trading hours for all asset classes on Börse Frankfurt. 

In case you have any questions or require further information, please contact your Key Account Manager or send an e-mail to client.services@deutsche-boerse.com.

Attachment: 

• 3. Details of the initiative: Automated Corridor Expansion (ACE) Volatility Interruption Model: Table

Further information