Turquoise Block Discovery™ celebrates first anniversary

Turquoise Block Discovery™ celebrates first anniversary

• Average trade size 20 times industry dark pool average at over €200,000
• 20 brokers now live on Turquoise Block Discovery™
• Over €1 billion value traded since launch
• Service providing MiFID II-ready block trading functionality

Turquoise Block Discovery™, Turquoise’s automated conditional order service, today celebrates its first year of operation. 20 leading European brokers now use the service which has seen over €1 billion successfully matched since its launch in October 2014.

Robert Barnes, CEO, Turquoise said:

“Turquoise Block Discovery™ is answering the call for innovation in electronic block trading, achieving in its first year trades in more than 900 stock names across 15 primary markets with average size of more than €200,000 including single trades greater than €5.3m. Turquoise Block Discovery™ is active and working well ahead of MiFID II with half of all Block Indications already above 100% Large-In-Scale.”

Key statistics:

• More than €1bn has matched via Turquoise Block Discovery™ since launch
• Average trade size is €204,110
• Big trades: €5.39m in SAB Miller Plc on 13 October 2015, €5.71m in Hexagon AB on 5 June 2015
• 50% of undisclosed Block Indications, i.e. conditional orders, are above 100% Large-In-Scale (LIS)

Q4 2014
8 Members
€96 million traded 
198 symbols traded

Q3 2015
20 members (up more than 2x)
€324 million traded (up more than 3x)
911 symbols traded (up more than 4x)

With average trade size above €200,000, Turquoise Block Discovery™ is the first innovation to reverse the trend of shrinking trade sizes on electronic orderbooks since their introduction more than 10 years ago in Europe. Today, the average size per trade matched on European lit or dark order books is €10,000 , considerably below the LIS threshold, which for a liquid name is currently over €500,000 as set by ESMA. The need for innovation is pressing: from January 2017, MiFID II will introduce double volume caps that could prevent a stock trading for six months in dark pools in order sizes below ESMA’s LIS.

How Turquoise Block Discovery™ works:

Turquoise Block Discovery™ is a service matching undisclosed Block Indications that execute in Turquoise Uncross™. Being undisclosed, Block Indications avoid signalling. On identifying potential matches, the service requires participants to send firm qualifying block orders to Turquoise Uncross™. Robust reputational scoring and surveillance monitors the conversion of Block Indications into firm orders to optimise the use of the service.

Turquoise Uncross™ is a series of randomised uncross events, which take place between 5-45 seconds (the frequency depending on the liquidity of the security). Buyers and sellers can rest firm orders anonymously with size priority and potential to match at the midpoint of the Primary Market Best Bid and Offer at a time determined by randomised function. Those executing trades in Turquoise Uncross™ are able to minimise interaction with aggressive, low-latency trading strategies as only resting, passive orders are made available to match.

- Ends -

For further information: www.lseg.com/turquoise-block-discovery

Ed Clark  +44 (0)20 7797 1222

Notes to editors:

Dark pool average trade size -  http://www.bestexecution.net/analysis-dark-pools-best-execution/

About London Stock Exchange Group:

London Stock Exchange Group (LSE.L) is a diversified international market infrastructure and capital markets business sitting at the heart of the world's financial community. The Group can trace its history back to 1698.

The Group operates a broad range of international equity, bond and derivatives markets, including London Stock Exchange; Borsa Italiana; MTS, Europe's leading fixed income market; and Turquoise, a pan-European equities MTF. It is also home to one of the world’s leading growth markets for SMEs, AIM. Through its platforms, the Group offers international business and investors unrivalled access to Europe's capital markets.

Post trade and risk management services are a significant part of the Group’s business operations. In addition to majority ownership of multi-asset global CCP operator, LCH.Clearnet Group, LSEG operates CC&G, the Italian clearing house; Monte Titoli, the T2S-ready European settlement business; and globeSettle, the Group’s newly established CSD based in Luxembourg.

The Group is a global leader in indexing and analytic solutions. FTSE Russell offers thousands of indexes that measure and benchmark markets around the world. The Group also provides customers with an extensive range of real time and reference data products, including SEDOL, UnaVista, and RNS.

London Stock Exchange Group is a leading developer of high performance trading platforms and capital markets software for customers around the world. In addition to the Group’s own markets, over 35 other organisations and exchanges use the Group’s MillenniumIT trading, surveillance and post trade technology.

Headquartered in London, with significant operations in North America, Italy, France and Sri Lanka, the Group employs approximately 4,700 people

Further information on London Stock Exchange Group can be found at www.lseg.com