Introduction of Xetra EnLight and definition of applicable trading parameters

Release date: 24 May 2019

049/2019 Introduction of Xetra EnLight and definition of applicable trading parametersXetra Circular 049/19

With T7 Release 7.1, Frankfurter Wertpapierbörse (FWB®, the Frankfurt Stock Exchange) will introduce the request-for-quote functionality Xetra EnLight on 27 May 2019. This circular contains the trading parameters for Xetra EnLight decided by the Management Board of Frankfurt Stock Exchange and information on how to register as “Respondent” (Quote Provider).

With Xetra EnLight, Frankfurt Stock Exchange offers for the first time an on-exchange request-for-quote (RFQ) functionality for off-book trading in the cash market. Via Xetra EnLight, Members can execute trades with high volumes (large-in-scale trades) in equities, ETFs and ETPs through an RFQ workflow. Xetra EnLight enables Members to leverage the full range of Deutsche Börse Group’s service offering: from trading to clearing to settlement, transaction reporting and post-trade transparency (trade reporting).

In addition, Xetra EnLight increases the execution probability for high volume orders, particularly in German SMEs, through “Smart RFQ”. This is possible through identification of further quote providers based on historical trading and post-trading data who are then sent requests for quotes.

Technically, Xetra EnLight will be available from 28 May 2019. In order to allow sufficient time for the market participants to complete a careful configuration of their systems, trading will start on 1 July 2019.

The Management Board of Frankfurt Stock Exchange has defined the following trading parameters for Xetra EnLight:

  • In general, trading via Xetra EnLight is possible in all securities which are traded in the electronic trading system T7 at the trading venue Xetra (MIC: XETR).
  • Trading takes place from 09:00 CET until 17:45 CET, i.e. via Xetra EnLight, offers may only be requested, entered and accepted during this time period.
  • The minimum order size for Xetra EnLight for the individual security is governed by the requirements for large-in-scale orders according to Art. 4 (1) (c) Regulation (EU) No. 600/2014 (MiFIR), Art. 7 Delegated Regulation (EU) No. 2017/587 (RTS 1) as well as Art. 9 (1) (a) Regulation (EU) No. 600/2014 (MiFIR) and Art. 3 and 13 Delegated Regulation (EU) No. 2017/583 (RTS 2). Thereby, only block trades (large-in-scale trades) may by concluded via Xetra EnLight.
  • The minimum permissible price change (tick size) for securities assigned to the liquidity bands 1-6 in orderbook trading is determined in line with the existing tick size structure in trading model “Continuous Trading with intra-day auctions”. This means that the tick size for securities subject to the tick size regime corresponds with the provisions set out in Delegated Regulation (EU) No. 2017/588. The tick size for ETFs, ETCs and ETNs assigned to the liquidity bands 7-10 in orderbook trading is set to EUR 0.0001.
  • Prices in Xetra EnLight are checked if they are outside a price corridor around the best bid limit and best ask limit in Continuous Trading with intra-day auctions. The corridor is defined as follows:
     
    • ETFs in the XTF segment: 1 percent
    • ETCs and ETNs of the respective segments: 5 percent
    • Equities and other securities: 5 percent

Quote entries and orders which would generate a price outside the corridor are rejected by the system.

  • The maximum duration for entering and accepting a Xetra EnLight offer is as follows:
     
    • ETFs, ETCs and ETNs: 180 seconds
    • Liquid equities (according to MiFIR): 180 seconds
    • Illiquid equities (according to MiFIR): 900 seconds
    • Other securities: 180 seconds
  • In general, the automated procedure “Smart Request for Quote” (Smart RFQ) is offered for all securities which are tradable on T7 at the trading venue Xetra (MIC: XETR).

Registration as regular “Respondent” or “Smart Respondent” for Xetra EnLight

From 27 May 2019, Members who wish to register as regular “Respondents” or “Smart Respondents”, can deposit a Trader ID per security. Members who did not register a Trader ID as regular "Respondent" or “Smart Respondent”, will not be able to receive requests for quotes and thus will not be able to enter quotes.

If several traders should be able to send quotes upon Members’ requests, their Trader IDs have to be set up together in one group as Head Traders. Requests for quotes are sent to all Head Traders of the group assigned to the deposited Trader ID. All Head Traders of the group are able to send, modify and delete quotes. The Trader ID through which the entry was performed will be transparent.

To register as “Respondent”, please log in to the Cash Market Member Section and follow the path below:

eListing > Xetra EnLight

From 27 May 2019, Members’ Central Coordinators may register the “Respondents” or enable other users to register them. If you wish to register a larger number of securities, an upload facility will be available as of 28 May 2019.

  
Recipients:All Xetra® Members and Vendors
Target groups:Traders, Nominated Persons, General
Contact:client.services@deutsche-boerse.com
Authorized by:Martin Reck, Markus Ernst (on behalf of the Management Board)

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