27 Nov 2020

Eurex

Eurex EnLight – extending the liquidity pool step by step

Launched in 2018, Eurex’s selective RFQ platform has developed into a versatile nearly indispensable tool for many of our customers. “By listening to our customers, we continue to improve Eurex EnLight, with the clear goal of making it the off-book price-discovery venue of choice for equity, equity index and fixed income derivatives”, says Andre Eue, Head of Market Development. He explains here how the platform has been enhanced in 2020 and what the further plans are for the upcoming year.


At Eurex, we want to attract as much diversified flow as possible to our main tool, which is the central limit order book. As there is also a need for large-scale business, we developed solutions to also attract the price formation of this heterogeneous flow on exchange. Our aim is to support the buy side, as well as the sell side, in their execution needs and to create a place for liquidity providers to transparently interact with flow which they may not have otherwise seen. 

With Eurex EnLight we have combined off-book negotiation workflows with the operational efficiencies of on-exchange trading. We have created an electronic price discovery service allowing liquidity seeking market participants to selectively contact liquidity providers with requests for quotes to find a trading counterparty in all equity, equity index, fixed income options, their corresponding futures and dividend derivatives tradeable on Eurex.

By giving users all the advantages of automatic electronic data collection and timely retrieval of all this information to meet Best Execution requirements, it increases electronification of the off-book business, ultimately improving overall market liquidity and increasing structural diversity. In November 2019, we further optimized the off-book negotiation and execution workflow by implementing Straight-Through-Processing (STP). STP increases operational efficiency and execution in the off-book market by eliminating manual entry and approval steps.

Further enhancements in 2020 with EnLight SMART RFQ, Anonymous Negotiation and Basis Trade functionality

This year we have continued to add new features to EnLight’s functionality based on market demand and market consultation.

Eurex EnLight SMART Request for Quote (RFQ), an optional feature, allows Eurex EnLight customers to use exchange data to assist brokers and traders in targeting those trading participants who are most likely to have an interest in a specific instrument. This increases the probability of tighter spreads and better pricing outcomes for the requesters.

Our other new feature, Anonymous Negotiation, is a new type of negotiation for requesters who are sensitive to inventory tracking or simply wish to remain anonymous. It provides the possibility to negotiate deals and trade via Eurex EnLight without disclosing the identities of the requester and respondents. Anonymous Negotiation is not a fixed setting; requesters can opt for anonymity on a case by case basis.

An additional measure focuses on futures trading. Since 23 November, a Basis Trading functionality is avalaible on Eurex EnLight. Basis Trading offers the possibility to trade outright futures on an agreed basis with full STP and best execution reporting of all agreed steps within the negotiation workflow.

Eurex EnLight not only fulfills compliance with regulatory requirements but aims to make the off-book price formation process more efficient for all parties involved. Since its launch in 2018 more than 6 million contracts were traded on EnLight, thereof nearly 4 million in 2020. All Eurex members have direct access to EnLight without any further registration or administration processes.

To account for the increased electronification and reduction in manual processes in the off-book negotiation through Eurex EnLight, we also extended the existing mistrade process and parameters for on-book trading to Eurex EnLight. With this move we increase the safeguards for our members in the off-book market.

What’s coming up in 2021
When looking at 2021 the focus will be on continuously progressing with establishing Eurex EnLight as the price formation venue of choice for off-book negotiations in Eurex products. To accomplish this the focus will be on enhancing and streamlining the already built functionalities and in distributing the services in a convenient manner, to leverage our members’ internal risk systems and set-ups as best as we can.

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