Xetra XXL

The New Dimension




Motivation for Xetra XXL


Market Model


Functional Implementation


Fee & Pricing


Your Benefit from Xetra XXL at a Glance


Block Trading is Trading of Orders with large Volumes
distributed among different Execution Mechanisms
• Direct bilateral trading or

• Trading and settlement

Telephone Trading

or brokered trading
via telephone

processes distributed among
several systems
- information systems
- telephone
- backoffice systems
- settlement systems
(Cascade, XONTRO, ...)

• Search for counterparties
via telephone, based
on personal contacts


Block Trading



based price determination
Separate platforms
e.g. - POSIT
- E-Crossnet


• Free-Riding on exchange-


• Brokered trading
• Non-automated block trading
facilities, e.g.
- “Upstairs Market”
- “Worked Principal Agreement”

Xetra XXL: Trendsetting platform developed in response to increasing OTC trading and Crossing Networks Telephone Trading Xetra XXL attracts OTC volume to Xetra. XONTRO Direct Trades Cascade Xetra XXL Ns EC Xetra XXL is the answer to “parasite pricing” by ECNs … ECrossnet Ex cBh öarn sglie ch erTr ad Hian ngd el “Upstairs” Markets POSIT Brokered Trading Xetra XXL is an exchange-based.. fully electronic block trading platform on Xetra … Goal of Xetra XXL: reduction of transaction costs in order to increase portfolio performance 4 ..

taxes etc. if the order is not placed. Spread • Costs in the amount of half the bid / ask spread • Price effect. if the order is held back due to a possible Opportunity Costs • Lost revenue in the trading strategy. market impact (positive or negative) due to market impact / timing costs 5 .Transaction Cost Components Explicit Transaction costs • Commissions. if the order volume exceeds the current best bid / Market Impact best ask (demand for liquidity) • Market reaction upon disclosure of the order in the market (supply for liquidity) Timing Costs • Price movement. fees.

Agenda 1 Motivation for Xetra XXL 2 Market Model 3 Functional Implementation 4 Fee & Pricing 5 Your Benefit from Xetra XXL at a Glance 6 .

Characteristics of Xetra XXL • Specific trading model for (large) stock orders • Separate. completely closed order book • Information on the existence of block orders per instrument (new with Release 6.5) Trading Model • No autonomous price determination in the crossing segment • Trading at reference prices (midpoints) • Periodic crossing auctions based on a crossing schedule 7 .

4 101 101.6 101 100 100.reference market Price Xetra XXL order book Bid Ask 105 104 current 103 Xetra order book Best Ask Imported Midpoint 90000 103 102.Basic Principle Xetra .Crossing for Stock Blocks on Xetra .000 units at a price of 101 8 20000 100.0 100.2 .4 current 99 Xetra order book Best Bid 30000 102 99 50000 80000 crossing 110.

Xetra XXL Principles •Traded Instruments •Orders • Market Order • Limit Order (execution restriction) • Trading only above defined minimum • DAX • MDAX • TecDAX volumes • No Stop Orders. no additional execution restrictions • Order validity: good-for-day •Order Book Transparency •Order Book Matching • Completely closed order book • Matching at the reference price at a random • Display of current midpoints point in time • Executable orders: Market Orders and buy (sell) Limit Orders ≥ (≤) reference price • Priority: volume/time • Display of phase change (QPREC => QCALL) if a „tradable“ order is submitted 9 .

Interaction Xetra .Xetra XXL Pre-Trading Main Trading Post-Trading Xetra as reference market: Continuous trading combined with auctions a crossing takes place each 15 minutes Opening auction 9:15 9:30 9:45 10:00 Continuous Trading (interrupted by auctions) 12:30 12:4513:00 13:15 13:30 13:45 14:00 a total of 34 crossings 10 Closing auction 17:0017:15 17:30 17:45 18:00 Xetra XXL Crossing no crossing due to auction taking place in the reference market .

..Xetra XXL ... . 10:10am 10:15am Crossing Auction Pre-Call Call submitted order . Midpoints e.. Random End Pre-Call Call display of midpoints Order entry. 10:00am max. modification.. deletion 11 .. Continuous Trading Xetra reference market .Crossing Auction ..g.

Adaption of pre-trade transparency in Xetra XXL with Release 6.5 (19.g. 2001) Increase of transparency by displaying “tradable” orders (no volumes. no market sides) Release 6. 9:30am Crossing Auction Display of callphase for a submittetd order (buy or sell order) Pre-Call Call submitted order display of midpoints 12 Random End Pre-Call .5 e. Nov.

if: Buy Market order or limit Buy Order ≥ lower bound Sell Market order or limit Sell Order ≤ upper bound Upper Bound Trigger of Call-Phase Midpoint Limit Buy Order Lower Bound No trigger of Call-Phase Limit Buy Order 13 .Only “tradable” orders cause phase change from pre-call to call n Trigger corridor prevents manipulation n DBAG specifies a corridor around the respective midpoint n Call phase.

Display of trading interest Instrument Level Phase change from pre call to call will be triggered by a submitted “tradable” order.g. Reuters) in the respective underlying. Information Vendor Level Realtime information about the existence of a block order will be published by information vendors (e. System Level Realtime information about the existence of a block order will be published in the Message Log of the Xetra J-Trader. 14 .

Display on Instrument Level 15 .

Display on System Level 16 .

Display on Information Vendor Level (Reuters) C 17 .

Display on Information Vendor Level (Bloomberg) 18 .

10:00am First case: Orders submitted before crossing start Call Random End Call duration Random End duration 5 min. (after start of crossing auction) max.Duration of Trading Phases (Crossing Durations) The e. 10:00am Pre-Call Call Random End Pre-Call duration Call duration Random End duration 5 min. 3 min. 3 min.g. submitted order 19 . max. 2 min. submitted order Second case: Orders submitted during crossing period e.g. max.

About Xetra XXL • In Reuters on the contributor sides XXL01-XXL15 • Published from 8. XetraXXL.30pm on each trading day through Bloomberg in “Time & Sales” with the identifier “YBC”.deutsche-boerse. Trade.com.com. 20 . Xetra.30pm on each trading day on the internet-side www. Xetra XXL. • Published from 8.30pm on each trading day through Reuters in “Time & Sales” with the identifier “BLK”. Xetra. Market Data Trade information • Published from 8. Trade.Additional provision of information about minimum order sizes and trades • Monthly via the XXL-circular Parameter Minimum order size • On the internet-side www.deutsche-boerse.

n Block Crossing prices are exchange prices. all Xetra Members may have access to the Block Crossing trading segment. part of overall securities deposit . n In general. n Rules and Regulations rearding exposure monitoring („Engagementkontrolle“/EK Neu) are also valid for the Block Crossing segment. the participant or his clearing bank are required to have a long-term minimum security deposit* in exposure monitoring („Engagementkontrolle“/EK Neu) in the amount of 10 million €.General Conditions for Block Crossing on Xetra Legal Aspects Specific Features n Block Crossing is wholesale trading in the electronic trading system of the FWB (Xetra). 21 * not explicitly reserved for Block Crossing trades. n Minimum order sizes n Post-trade anonymity n Increased replacement and settlement risks For access to Block Crossing.

Agenda 1 Motivation for Xetra XXL 2 Market Model 3 Functional Implementation 4 Fee & Pricing 5 Your Benefit from Xetra XXL at a Glance 22 .

Functional Implementation of Block Crossing on Xetra XXL Block Crossing is based on Block Crossing instruments Course of a Block Crossing Transaction on Xetra is based on existing Processes Settlement is based on the original WKN Authorization needs to be adapted for Block Crossing 23 .

execution confirmation.g. only the “DE” country code of the original ISIN is replaced by “BC” (e. if the mnemonic of the instrument in the reference market consists of three letters (e.g.Xetra XXL is based on Block Crossing Instruments Identification of Block Crossing Instruments n ISIN n WKN n Mnemonic ð The mnemonic is prefixed with BC.g. if the mnemonic of the instrument in the reference market consists of four letters (e. BSAP3) ð For the artificial BC-ISIN.g.g. BC0710000) VALUES API n All transactions concerning input/output procedures in Block Crossing instruments (e. the WKN of Block Crossing instruments use a BC0 prefix (e. order entry. BC0007100000) ð The control digit of the BC-ISIN equals the control digit of the respective DE-ISIN ð Within Xetra. BCDCX) ð The mnemonic is prefixed with B. trade inquiry) have to be entered via VALUES API using the BC-ISIN 24 .

Ticker) Ÿ Publication of price information occurs after the end of the trading day Ü Counterparty Information Ÿ The Trade Confirmation does not include a specific counterparty information. the market transaction in the block crossing segment is equal to the regular process known for other instruments traded on Xetra. if necessary 25 .g. But: Ü No Publication of BC-Trades Ÿ No Publication of Block Crossing Trades in Xetra (e.Xetra XXL Processing Besides using an artificial identifier. OMO. but a generic counterparty replacement character n The contract notes (= Schlussnoten) and delivery instructions are based on the original WKN The conversion from BC-ISIN to DE-ISIN has to be performed by in-house systems.

g. BC0007100000) Information is based on original identifier. Information of XONTRO Trades (former BOEGA ) is always based on WKN (e. 710000) Mapping of BC identifier to the original Identifier.Overview Order Entry Member Member Internal System XetraTrader/ Values API Order Confirmation Execution Confirmation Settlement Clearstream Xetra Back End Trade Confirmation Trade Confirmation (via file transfer) Contract note / Schlussnote Information is based on BC identifier (e. if necessary 26 XONTRO Trade Xetra trades .Functional Implementation of Xetra XXL .g.

Authorization of “BC-User” Authorization n Separate instrument groups will be introduced for block crossing instruments n BC instrument groups are only assigned to members who meet the requirements defined in the access form n Xetra users participating in Block Crossing should be set up with a maximum order volume exceeding the minimum order size for the assigned Block Crossing instruments „BC-User“ n The following procedure can avoid conflicts regarding the required maximum order volume for block crossing instruments: Ÿ Only instrument groups with block crossing instruments should be assigned to a created “XXL Subgroup” Ÿ Traders receive separate User IDs for trading in Block Crossing The maximum order volume is only related to the „BC Users“ 27 .

Agenda 1 Motivation for Xetra XXL 2 Market Model 3 Functional Implementation 4 Fee & Pricing 5 Your Benefit from Xetra XXL at a Glance 28 .

fees in the amount of 0. no transaction fees will be charged. but only become executable in the call phase. order: 1 bp) 29 . cap of 1000 Euro per order • transaction fees will only be charged for (executed) orders.The fee and pricing model of Xetra XXL explicitly rewards the provision of liquidity Liquidity supply: No transaction fees • For all (executed) market and limit orders. For such orders. which do not trigger a call phase. (e.02 per cent of the trade value with a maximum transaction fee of 1000 € (cap). which are entered during the respective call phase or for limited orders.g. which trigger a call phase. Liquidity demand: Variable fee of 2 basispoints. 10 million. • The cap takes already effect at ordersizes of 5 million Euro.

9:30 Uhr Crossing Auction Pre-Call Call Marketorder Limitorder that becomes executable in the call phase Display of midpoints 30 .g. 9:30 Uhr Crossing Auction Pre-Call Call Random End Pre-Call Random End Pre-Call Market and limit orders that trigger a call phase Display of midpoints Transaction fees: e.g.No transaction fees for order entry before the call phase No transaction fees: e.

Agenda 1 Motivation for Xetra XXL 2 Market Model 3 Functional Implementation 4 Fee & Pricing 5 Your Benefit from Xetra XXL at a Glance 31 .

. Exchange trading ensures price quality and fairness in block trading ..no spread costs .no market impact • • • • Increased process efficiency compared to telephone trading Complete integration from trading to settlement (STP) Reduction of system diversity on the participants‘ side Concentration of presently dispersed liquidity on Xetra XXL • Xetra XXL prices are exchange prices • FWB Trading Surveillance Office supervises Xetra (reference market) and • the Xetra XXL (block trading market) Coordination of both markets in extreme market situations is guaranteed tailor-made services co-exist for trading on a technical platform (Xetra) 32 .. Xetra XXL integrates block trading in Xetra .. • Complete anonymity (closed order book) • Minimized information disclosure • Considerable reduction of trading costs ...Benefits of Xetra XXL compared to other existing block trading facilities The market model reflects specific requirements for block trading .

gomber@deutsche-boerse.com • Axel Schmidt Telephone: +49 (0) 69-21 01-74 83 E-Mail: axel.com 33 . Peter Gomber Telephone: +49 (0) 69-21 01-48 53 E-Mail: peter.schmidt@deutsche-boerse.Your Deutsche Börse AG contacts • Dr.