Equity and Derivatives Markets

Transcription

1 Equity and Derivatives kets Lugano Fund Forum ember 19, 2012 E&D kets Team

2 2 Introduction Overview o Volumes and Share of trading o Key trends of existing macro-economic scenario Results and projects Results o FTSE MIB weekly options o Mini FTSE 100 o Cross orders and BTF functionality on MIT platform Projects o Sponsor Access o Commodities: IDEX & AGREX

3 LSEG Key Numbers (1/2) 3

4 LSEG Key Numbers (2/2) 4

5 Equity markets key metrics (1/2) Volumes and share of trading (UK markets) UK volumes (UK and IOB shares) are still failing to recover due to the current macro environment (LSE market only, daily average, in billion UK ) Stable share of trading on FTSE100; fragmentation increasing on FTSE RIOB (but strong LSE leadership) (in %, on lit & dark volumes) FTSE RIOB FTSE 100 Usage of dark pools is growing and is now at c7% for the London market, >EU average (c4.5%) but <US (above 10%)... (in %, all dark volumes / lit+dark volumes) Turquoise s pan-euro share of lit trading grew to monthly peaks of 6% in 2011, and it is now in 4.5-5% range (in %, lit volumes only) Source: LSEG calculations on internal and BATS Europe data. Data updated up to ember 2 nd (included). LSE data till end of t

6 MTA ChiX Bats MTA ChiX Bats MTA ChiX Bats MTA ChiX Bats Equity markets key metrics (2/2) Volumes and share of trading (Italy and key European exchanges) N. of trades on shares in Italy has started to decline in 2012, dropping below 200k in ober (-25% vs ) MTA share of trading is >80% on domestic blue-chips, a unique case in Europe (with Spain), and recovering (n. of contracts in 000, daily avg.) (value traded In bn, daily avg.) (in %, on lit & dark volumes) FTSE/MIB DAX CAC40 55 Best spread-at-touch and spread-at-depth are a consequence of the high liquidity available on the MTA Usage of dark pools is still at c2% on Italian equities, vs c7% on UK equities and EU average of 4.5% (from IFS Liquidmetrix Battlemap, for w/c 21) Spread at touch Spread for 25k deal Available size within 25bp 887 % of time with best spread for 25k deal 72.9 (in %, all dark volumes / lit+dark volumes) Source: LSEG calculations on internal and BATS Europe data; IFS Liquidmetrix. Data updated up to ember 2 nd (included). BIt data till mid of

7 Derivatives markets key metrics IDEM products IDEM equity volumes continued to grow, sustained by market volatility YtD impacted by SSO/SSF volumes Volumes on IDEM index products are performing well vs. previous year (up c8% yoy), but below total 2011 levels (n. of std. contracts, daily avg. in 000) (n. of std. contracts, daily avg. in 000) FIB minifib MIBO Volumes on SSO are lower than 2011, but remain at positive levels historically; SSF are suffering Successful introduction of weekly index options, representing 4-5% of total MIBO trades (n. of std. contracts, daily avg. in 000) SSO SSF Ita SSF Euro (n. of std. contracts, daily avg.) in % of MIBO volumes Source: LSEG calculations on internal data. Data updated up to ember 7 th (included) 7

8 Focus on new products Expanding the existing product offering 8

9 9 Mini Futures FTSE100 and Bi-weekly MIBO, enlarging our product offering Mini Futures FTSE100 : on ober 8 th, IDEM enlarged its product offering by launching FTSE 100 index mini-futures. Contract is Euro denominated and liquidity is supported by Virtu Financial Ireland Ltd. acting as Primary ket Maker Benefit Tailor made product for retail investors: as the highly popular MiniFIB index future contract, the FTSE100 Index Mini futures contract has been designed to offer Italian retail community the opportunity to access and take exposure in the UK market at a bespoke size (around 11,000, in line with MiniFIB at current index level) Currency: Euro, thus facilitating Italian retail trading activity on Borsa Italiana s markets (currency sinergies) Spread trading: opportunity to implement country based strategy (i.e. UK vs. Italy) using the two related mini contracts Liquidity: Primary ket Makers are provided with the aim of sustaining the liquidity of the contract on the current maturity. The market maker is required to display bids and offers on a continuous basis for quantities equal to at least 5 contracts until the fourth day before the maturity with spread not bigger than 15 index points

10 10 FTSE MIB weekly options, enlarging our product offering FTSE MIB weekly options: as from ober 11 th 2012, the Bi-weekly index options expand the set of trading strategies available on IDEM Liquidity is supported by Optiver and Tibra Trading, acting as Designated ket Makers, and by Interactive Brokers, acting as Designated Specialist Benefits Expand trading opportunity: introducing trading strategies with high gamma and theta exposure. In particular, the Bi-weekly options can be used to trade around scheduled economic events and high volatility in the short term, to fine-tune hedging strategies on the FTSE MIB index futures and minifutures Wider expiry flexibility: weekly options add expirations on all Fridays of the contract month. The result is a more diversified and complete trading choice Integrated margin system in CC&G Pricing: far more convenient than monthly options simply because the time to expiration is so short. Traders only have a few days to move in-the-money

11 11 Crossing Functionalities on cash markets Cross Orders and Block Trading Functionalities: Available starting from e 25 th on all Borsa Italiana cash markets (MTA, ETF Plus, MOT, SeDex, MOT, TAH, ExtraMOT, AIM-Mac), allow all members to close pre-arranged deals using MIT platform as well as CCG & MT procedures. Benefits Cross within the spread withever the size Cross outside the spread (i.e. +/-3.5% FTSEMIB shares and +/- 7.5% other MTA shares) for large in scale orders Available for both Internal and Interbank No counterparty risk thanks to CC&G Outstanding pricing: maximun 2.4 a trade (for BTF above 450,000 in package 2)

12 Focus on key projects Developing new opportunities for our markets 12

13 13 Sponsored Access Developing opportunities Borsa Italiana wants to introduce a new service the Sponsored Access functionality in order to allow Exchange participants offering low-latency trading access to non-exchange members through their membership, complaining with Borsa Italiana and Consob requirements about Sponsor participants risk control mechanisms. Filters and Restrictions Real time parameters on: - Price Band Validation; - Maximum Gross Consideration; - Maximum Order Value; - Maximum Order Quantity; - Restricted Instrument List. All filters manageable by a Sponsor Access Portal via GUI Order types All the order types, such as limit, stop, stop limit, iceberg, admitted on the Borsa Italiana kets, including the market orders, market to limit orders, Cross/BTF and quotes. ket Access: a. Dedicated Sponsor Access solution per single firm b. Shared Sponsor Access solution for more firms connected to the same node c. Sponsor Access node per single market d. Sponsor Access node per all the Borsa Italiana Equity markets (IDEM in phase 2).