London Stock Exchange intra-day auction to go live Monday 21 March
22 March 2016
- Innovation provides new benchmarking opportunities for fund managers and mechanism for managing MiFID II volume caps
- Auction will see continuous trading of stocks pause for 2 minutes every day at 12:00
- Introduction follows comprehensive, market-wide consultation and comes with institutional investor support
The first of London Stock Exchange’s daily intra-day auctions, designed to provide new benchmarking opportunities for fund mangers and a process for managing impending MiFID II volume caps, will take place on Monday 21 March at 12:00. During the two minute auction, continuous trading of all SETS equities, the largest and most liquid shares listed on London Stock Exchange, will be paused allowing the whole market the opportunity to take part in the auction process.
How the auction works:
The process will be like that used in London Stock Exchange’s opening and closing auctions. At the commencement of the auction call at 12:00, all orders that have been submitted for that specific auction will be injected immediately. Orders may then be entered, modified and deleted during an auction call, but no automated execution occurs.
Throughout the entire period London Stock Exchange will only disseminate the most up to date indicative auction uncrossing price & size and not the full orderbook. This will be updated whenever orders are added, deleted or modified. At the end of the auction period, the balance of buy and sell orders will be used to calculate the uncrossing price and continuous trading will recommence.
By allowing large orders to be placed without their size being shown to the whole market, the auction enables institutional investors to input larger blocks of shares without revealing their position. In addition, the auction allows private investors to trade alongside professional fund managers at a fair market price.
Brian Schwieger, Head of Equities, London Stock Exchange said:
“This is a very significant change to the trading day, following a detailed consultation with market participants. The auction will allow participants to place orders in a truly confidential, yet price-forming environment via a well understood mechanism. Its introduction is in direct response to demand from buy-side participants for neutral, infrastructure-led solutions for MiFID II friendly alternatives to dark pools and a midday benchmark.”
As with the current opening and closing auction, there will be no additional fee or extra direct cost imposed on customers in order to take part in the auction. The auction will apply to all SETS equity securities.
To find out more:
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For further information:
+44 (0)20 7797 1222
Notes to editors:
About London Stock Exchange Group:
London Stock Exchange Group (LSE.L) is an international markets infrastructure business. Its diversified global business focuses on capital formation, intellectual property and risk and balance sheet management. LSEG operates an open access model, offering choice and partnership to customers across all of its businesses. The Group can trace its history back to 1698.
The Group operates a broad range of international equity, ETF, bond and derivatives markets, including London Stock Exchange; Borsa Italiana; MTS (Europe's leading fixed income market); and Turquoise (a pan-European equities MTF). Through its platforms, LSEG offers market participants, including retail investors, institutions and SMEs unrivalled access to Europe’s capital markets. The Group also plays a vital economic and social role, enabling companies to access funds for growth and development.
Through FTSE Russell, the Group is a global leader in financial indexing, benchmarking and analytic services with approximately $10 trillion benchmarked to its indexes. The Group also provides customers with an extensive range of real time and reference data products, including SEDOL, UnaVista, and RNS.
Post trade and risk management services are a significant part of the Group’s business operations. In addition to majority ownership of LCH.Clearnet Group, a multi-asset global CCP operator, LSEG owns CC&G, the Italian clearing house; Monte Titoli, a leading European custody and settlement business; and globeSettle, the Group’s CSD based in Luxembourg.
LSEG is a leading developer and operator of high performance technology solutions, including trading, market surveillance and post trade systems for over 40 organisations and exchanges, including the Group’s own markets. Additional services include network connectivity, hosting and quality assurance testing. MillenniumIT, GATElab and Exactpro are among the Group’s technology companies.
Headquartered in the United Kingdom, 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