1. Introduction
This circular informs you about an adjustment of the parameter classes for the closing auction in the volatility interruption model with automated corridor expansion (ACE), which is currently used in the trading model Continuous Trading with Intraday Auctions for the trading of Exchange Traded Funds (ETFs) and Exchange Traded Products (ETPs) on the trading venue Deutsche Börse Xetra (MIC: XETR).
The adjustment of the parameter classes will come into effect on 15 June 2026.
In the course of this adjustment, an implied reference price will also be determined for ETFs and ETPs, which will be effective from 8 June 2026.
This measure is intended, in particular, to provide a more up-to-date reference price for less actively traded ETFs and ETPs and to enable a more secure execution of larger-sized orders in the closing auction.
2. Required action
No specific actions are required on the part of participants.
3. Details of the initiative
A. Determination of the implied reference price
The Management Board of the Frankfurt Stock Exchange (FWB) has decided that, effective 8 June 2026, an implied reference price will be determined for ETFs and ETPs traded in the volatility interruption model with automated corridor expansion (ACE).
The implied reference price serves as an additional reference price for the dynamic price corridor in the closing auction. It is calculated as the time-weighted average of the midpoints of the respective best bid and ask limits over a calculation period of five minutes before the start of the closing auction.
An implied reference price will only be determined if no price has been determined within these five minutes, if the calculation period for which corresponding midpoints can be calculated is at least one minute, and if the respective instrument was traded continuously in continuous trading during the calculation period.
If an implied reference price can be determined, it will be used to determine the dynamic price corridor in the closing auction. Otherwise, the dynamic price corridor will be determined based on the existing reference price. The indication of potential volatility interruptions in the closing auction will continue to be provided via the volatility interruption indicator.
B. Adjustment of the parameter classes for the closing auction
Please refer to the following table for an overview of the updated parameter classes for the closing auction, effective 15 June 2026:
| Parameter Class | Dynamic Price Corridor (± %) | Static Price Corridor (± %) | 1. ACE | 2. ACE Price Corridor (± %) | 3. ACE Price Corridor (± %) |
1 | 0.1 | 1 | 0.2 | 0.3 | 0.4 |
2 | 0.3 | 2 | 0.5 | 1 | 1.5 |
3 | 0.5 | 3 | 1 | 1.5 | 2 |
4 | 0.8 | 4 | 1.5 | 2 | 3 |
5 | 1 | 6 | 2 | 3 | 4 |
6 | 1.5 | 8 | 3 | 4 | 5 |
7 | 2 | 10 | 4 | 5 | 6 |
Please note that this adjustment exclusively affects the parameter data for the closing auction. The parameter data for the opening auction, intraday auction, and continuous trading remain unchanged.
The parameter data for each individual ETF and ETP are published in the T7 reference data on the Common Report Engine and on the website www.cashmarket.deutsche-boerse.com. Please refer to one of these data sources for individual instrument assignments to ACE parameter classes as well as potential future parameter updates.
Further information
Recipients: | All Trading Participants of Frankfurt Stock Exchange (Frankfurter Wertpapierbörse, FWB®) and Vendors | |
Target groups: | Traders, Technical Contacts, System Administration, Nominated Persons, General | |
Related circulars: | ||
Contact: | Cash Markets Operations Helpline, Tel. +49-69-211-1 14 00 | |
Web: | ||
Authorized by: | Michael Krogmann, i.A. Stephan Kraus |
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