February 2020- From LSEG to the Buyside

February 2020- From LSEG to the Buyside

LSEG Upcoming Initiatives

LSEG Debt Capital Markets Forum
6 March 2020, London (Paternoster Square)

LSEG Investment Fund Conference
17 March 2020, London (Paternoster Square)

LSEG Annual London ETF Conference
19 March 2020, London (Paternoster Square)

Star Conference 2020
25-26 March 2020, Milan (Palazzo Mezzanotte)

Italian Equity Italian Sustainability Day 
2 July 2020, Milan (Palazzo Mezzanotte)

LSEG Highlights –

    • Turquoise to launch "Trade At Last" functionality
    • London Stock Exchange closing auction continues to attract volume versus continuous trading
    • IDEM has extended trading hours, in line with global markets
    • ETFplus reached record ETF AUM 
    • MOT and ExtraMOT added Closing Auction and CPX
    • FTSE Italia PIR Index is going to change

Turquoise Plato™

    • €271.4bn value matched on Turquoise Plato Block Discovery™ since its 2014 launch, of which €267.3bn or 99% traded since Turquoise's collaboration with the Plato Partnership in September 2016
      • €417k average trade size for all trades in January
      • €1.3m average trade size for MiFID II ESMA Band 8 and 9 blue chips above Large In Scale (LIS)
      • €14.0m max trade size

Turquoise Plato Block Discovery™ - Monthly value traded (Aug 2014 - Jan 2020)

 Turquoise Plato™ Trade At Last (TAL) functionality

    • Turquoise will be launching a “Trade At Last” (TAL) functionality to enable customers to trade stocks at the official closing price in the 10 minutes following the closing prints.
    • TAL will be available across several European markets

London Stock Exchange

    • £94.7bn London Stock Exchange total order book value traded in January 2020
      • 34% was traded during Closing Auctions
      • £4.7m ADVT in Closing Price Crossing (CPX) Session

London Stock Exchange Closing Auction (May 2019 - Jan 2020)
Since 2018, while the percentage of volume executed in the close increases (black line), the notional value is going down or remaining the same (blue histogram).


London Stock Exchange International Order Book (IOB)

    • NEW record: January 2020 set a monthly record for IOB since end of 2018, with $7.6bn on-book value traded (+42% YoY) and $344m Average Daily Value Traded (ADVT).
      • 14.7% traded during auctions (16.8% on average in 2018)
    • +48% YoY growth of valued traded in Russian securities on IOB, confirming a strong market share of the combined on-book liquidity between London and Moscow

Case study: Trading of Russian securities on IOB (week of 27-31 January 2020)

IDEM - Derivatives

    • From 17 February 2020, the trading hours on IDEM for futures and mini-futures on the FTSE MIB index will be as follows: opening auction from 07:45 CET, continuous trading phase starting at 08:00 CET, end of the evening session extended to 22:00 CET

Borsa Italiana - ETFplus

    • NEW record for ETFplus€82.9bn ETF AUM as of January 2020
    • €1.03bn traded through Borsa Italiana RFQ in January 2020, with €2.7m average size

Borsa Italiana RFQ - Monthly turnover and number of trades (Dec 2016 - Jan 2020)


Borsa Italiana - Fixed Income

    • From 20 January 2020, the Closing Auction and the CPX (Trading at Closing Auction Price) have been added to MOT and ExtraMOT
    • As per the Opening Auction, the Closing Auction will also be characterized by a random closing time (.xx)
    • The CPX phase will be active only on bonds that will perform a valid closing auction phase

Did you know that...
The FTSE Italia PIR Index is going to evolve, following the revised regulation of PIR (Piani Individuali di Risparmio - Individual Savings Plans in Italy) 

    • The legislative change requires revision of the composition of the underlying assets of the FTSE Italia PIR Mid Cap TR index to bring it into compliance with the new statutory requirements, including a number of low capitalisation shares (identified as the most liquid) representing approximately 5% of total capitalisation
    • The update to the methodology detailing how the new basket of financial instruments will be composed from the underlying FTSE Italia PIR Mid Cap TR index, will be communicated by FTSE Russell in the coming weeks.
      Index revisions will take place at the next quarterly review in March and could be accompanied by the renaming of the index.

Amendments to Borsa Italiana IDEM instructions can be found here