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Technical User Group Milano
5 October 2017
5 October 2017 London Stock Exchange Group
Agenda
5 October 2017 London Stock Exchange Group Page 2
bull MiFID II Technical Update
bull PRIIPs Regulation KIDs for IDEM market
bull Member Portal
bull TRADEcho
bull QampA
5 October 2017 London Stock Exchange Group Page 3
MiFID II Technical Update
Flavio Ravotto
Manager Technical Account Management and Professional Services
Client Technology Services Italy
Deployment Schedule
5 October 2017 London Stock Exchange Group Page 4
bull Specifications for MIT 92 SOLA 11 and GTP 141 have been published in March 2017
bull CDS available on
ndash SOLA 11 CDS July 20th 2017
ndash MIT 92 and GTP CDS July 31st 2017
bull Dress Rehearsals on October 14th and November 4th 2017 for all markets (including EuroTLX)
ndash Participation to at least one Dress Rehearsal is mandatory
bull Go-Live on Monday November 27th 2017
ndash On Saturday November 25th 2017 a login test will be organized (to be confirmed)
ndash Go-live confirmation is subject to customer readiness
Conformance Test
5 October 2017 London Stock Exchange Group Page 5
bull Conformance Test is mandatory for all applications connecting to SOLA
MIT and GTP platforms
bull All the interconnected applications must execute the conformance test in order
to be allowed to take part to the Dress Rehearsals
bull Customers are warmly invited to contact the Market Access Team of
Borsa Italiana to schedule the Conformance Test as soon as possible
Reference Data amp Reconciliation Files
5 October 2017 London Stock Exchange Group Page 6
bull Reference Data Files will be enhanced with MiFID II relevant information layout
will change on November 27th 2017
bull Reconciliation Files for MIT markets will be extended with new MiFID II
information (Client IDs Execution and Investment Decision IDs Algo Flag DEA
Flag Waiver Indicators Post Trade Flags) layout will change on November
27th 2017
bull Reconciliation Files for IDEM markets (similar to the one provided for the MIT
platform) will be introduced on January 3rd 2017
MiFID II Deployment Guide
5 October 2017 London Stock Exchange Group Page 7
bull The MiFID II Deployment Guide has been issued on July 24th 2017
bull The Guide outlines
ndash the detailed plan of the application of all MiFID II related changes
ndash the guidelines to follow between the technical go-live on November 27th and the application of the MiFID II regulation on January 3rd 2017
ndash MiFID II activities have been split in 3 key dates
bull November 27th 2017 (Technical go-live)
bull January 2nd 2018
bull January 3rd 2018 (MiFID II come into force)
bull In the following slides a summary of the guide is presented
Protocol Changes
5 October 2017 London Stock Exchange Group Page 8
bull The new Protocols for Trading and Market Data applications
that will go-live on November 27th 2017 are not backward
compatible
ndash therefore all Trading and Market Data applications will have to be updated
to the new version
bull Timestamps will be disseminated with microseconds granularity
starting from November 27th 2017
Client Investment amp Exec IDs Algo amp DEA Flag
5 October 2017 London Stock Exchange Group Page 9
bull On November 27th a set of new fields will be required in order and quote entry messages (and sent back to client applications via Execution and Trade Capture Reports)
ndash Client ID
ndash Investment ID
ndash Execution ID
ndash Algo Flag
ndash DEA Flag
bull Although present in the protocol the content of the above fields will not be subject to any formal validation or cross check only basic technical validations outlined in platform specs will be applied
bull On January 3rd clients will be have the regulatory obligation to correctly fill in the above fields
ndash Guidelines document will be provided shortly
Waiver Indicators amp Post Trade Flags
5 October 2017 London Stock Exchange Group Page 10
bull Starting from November 27th 2017 a set of new fields will be added to
Execution Reports andor Trade Capture Reports sent to customers
ndash Waiver Indicators
ndash Post Trade Flags
bull The content of the above fields should not be considered as significant by
market participants until MiFID II legally enter into force on January 3rd 2018
Request for Quote (1)
5 October 2017 London Stock Exchange Group Page 11
bull With MiFID II RFQ can be
ndash No pre-trade transparency (NPT as it currently is on our markets)
ndash Partial pre-trade transparency (PPT)
ndash Full pre-trade transparency (FPT)
Request for Quote (2)
5 October 2017 London Stock Exchange Group Page 12
bull For PPT RFQs indicative Bid and Ask Prices of Quotes (average of Quotes Bid and Ask Prices sent by Market Makers active at execution) will be published via GTP (FDI channels only) and MITCH when (and if) the RFQ becomes executable and the RFQ trade is generated
bull For FPT RFQs all Market Makers Quotes (active at execution) will be published via GTP (FDI channels only) and MITCH when (and if) the RFQ becomes executable and the RFQ trade is generated
bull PPT and FTP models will be introduced on January 2nd 2018 (one day before MiFID II introduction)
Tick Table Policy (1)
5 October 2017 London Stock Exchange Group Page 13
bull Change of Tick Table policy (live on November 27th)
ndash from min boundary lt price lt= max boundary
ndash to min boundary lt= price lt max boundary
bull Introduction of new Tick Tables on MTA market (live on
January 3rd)
ndash Borsa Italiana will introduce 6 new tick size tables according to the
requirements defined by RTS 11 on January 3rd 2018
Tick Table Policy (2)
5 October 2017 London Stock Exchange Group Page 14
bull Introduction of new Tick Tables on ETF+ market
ndash the tick size table defined by RTS 11 corresponding to the highest average daily number of
transaction will be applied to ETFs with equity underlying (also for RFQ)
ndash for other ETFs and ETCsETNs a dedicated tick table will be introduced
bull RFQs on these instruments will use a fixed tick size equal to 00001 euro
ndash The above changes will go live on November 27th 2017
New ATF Trades Publication Model (1)
5 October 2017 London Stock Exchange Group Page 15
bull Trades on ATF instruments (ATF is a segment of ETF+) will be published via
Market Data services with the price (1euro as per convention) marked as Pending
bull Once NAV is received
ndash trades are rectified (price is set to the NAV)
ndash Market Data Services will publish the modification of Trades
bull Two messages will be sent via market Data Services (GTP and MITCH) one cancelling
the trade and one for re-publishing the trade with indication that an amendment has been
made
New ATF Trades Publication Model (2)
5 October 2017 London Stock Exchange Group Page 16
bull An ack of the modification of the trades will be sent to customers via a Trade
Capture Report sent by the Post Trade Gateway
bull GTP statistics for ATF will be calculated on the amended price (published
at T+1) and not on the pending one (published at T)
bull Changes to ATF Trades Publication Model will go live on November 27th
2017
Cross Orders on MIT
5 October 2017 London Stock Exchange Group Page 17
Instrument Type November 27th 2017 January 2nd 2018 January 3rd 2018
Shares bull Switch to volume-weighted spread price validation
bull For Liquid Shares Reject of Cross Orders when volume-weighted spread is not available
Liquid ETFs Reject of Cross Orders when volume-weighted spread is not available
Liquid ETCs ETNs Fixed Income
Cross Orders disabled
SeDeX Cross Orders disabled
Negotiated Transactions
5 October 2017 London Stock Exchange Group Page 18
bull New statistics calculation for Cross Orders (no updates to Last Trade Price
LowHigh Price) for both MIT and SOLA platforms starting from January 2nd 2018
ndash Stop or Stop Limit Orders will no longer be triggered by Cross Orders
ndash Prices of Cross Orders will not influence circuit breaker validations for the following trade
bull Switch from quantity to value-based control for the minimum size of a Block Trade
on MIT markets on November 27th 2017
bull Reject execution of negotiated transactions below the pre-trade LIS threshold for
liquid products on IDEM market on January 2nd 2018
New trading Capacities
5 October 2017 London Stock Exchange Group Page 19
bull on January 3rd 2018
ndash the new Matched Principal Trading Capacity will be added (according to membership
trading authorizations) to existing ones on both the Borsa Italiana MIT and the SOLA
markets
ndash The two new Matched Principal and Un-Matched Principal Trading Capacities will be
enabled on EuroTLX
bull dedicated Comp IDs must be requested by Brokers authorized to use Matched
Principal andor Unmatched Principal Trading Capacities
bull it will be possible to use Matched Principal andor Unmatched Principal Trading
Capacities only via the dedicated Comp IDs described above
Other Changes (1)
5 October 2017 London Stock Exchange Group Page 20
bull on November 27th 2017
ndash Introduction of new pre-trade controls on maximum order value on MIT platform and on maximum order notional value on SOLA platform
ndash Iceberg orders
bull Introduction of a control on the minimum value of iceberg orders on the MIT platform
bull switch from quantity to value-based control for the minimum peak size
bull Introduction of a control on minimum notional value on SOLA platform
ndash Changes to EMS and EMS multiplier parameters for the ETF+ market
bull on January 2nd 2018
ndash Changes to EMS and EMS multiplier parameters for the SeDeX market
Other Changes (2)
5 October 2017 London Stock Exchange Group Page 21
bull On November 27th 2017 the classification of lsquoliquidrsquo vs lsquonot liquidrsquo will be included in reference
data
ndash Shares according to current MiFID classification
ndash Fixed income instruments ETFs ETCs and ETNs all classified as lsquoilliquidrsquo pending ESMArsquos
classification
ndash SeDeX will be set as Liquid according to ESMArsquos MiFID II classification
ndash IDEM according to ESMArsquos MiFID II classification
bull On November 27th 2017 the CPP (Closing Price Publication) session will be removed
Closing Prices will be disseminated
ndash At the beginning of the Post Close session for segments that do not have a Closing Auction
ndash At the end of the Closing Auction session for segments that do have a Closing Auction
Market MakingLiquidity Provision (1)
5 October 2017 London Stock Exchange Group Page 22
bull on MIT Market MakersLiquidity Providers are and will be given one or more
dedicated Comp ID(s) in order to segregate Market MakingLiquidity Provision
activity
bull on SOLA Market MakersLiquidity Providers are and will be given one or more
dedicated Trader ID(s) in order to segregate Market MakingLiquidity Provision
activity
bull a dedicated Naming Convention is applied to Comp IDs and Trader IDs used
for Market MakingLiquidity Provision activity
Market MakingLiquidity Provision (2)
5 October 2017 London Stock Exchange Group Page 23
bull Market MakersLiquidity Providers send (single or dual side) quotes most of the time but under certain circumstances (depending on the type of activity) may send orders
ndash operators have to restrict the use of the dedicated Comp IDTrader ID to the liquidity provision activity using quotes or orders according to what is requested by the Market Making programs in place independently from the fact that no technical restrictions will be put in place
bull For existing Market Making programs
ndash We are restricting MIT Specialist Comp IDs to send orders only on the subset of instruments they are associated for Specialist activity (work in progress migration based on individual client migration plan)
ndash We will restrict SOLA Market Making Trader IDs to send orders only on the subset of instruments they are associated for Market Making activity starting from November 27th 2017
Market MakingLiquidity Provision (3)
5 October 2017 London Stock Exchange Group Page 24
bull New MiFID II Market Making SchemeAgreements (starting from January 3rd
2018)
ndash Member Firms that will subscribe for the new SchemeAgreements will be given dedicated
Comp IDs (for MIT markets) and Trader IDs
ndash Member Firms will decide whether to perform this activity via quotes and orders or via
orders only
bull On SeDeX Member Firms that will subscribe for the new SchemeAgreements will be
allowed to use orders only
Stressed Market Conditions
5 October 2017 London Stock Exchange Group Page 25
bull Stressed Market Conditions will be defined at rulebook level
bull Notification to customers of ldquoStressed Market Conditionsrdquo
ndash No specific market changes will be introduced for notifying customers when ldquoStressed Market
Conditionsrdquo occur
ndash on MIT
bull ldquoStressed Market Conditionsrdquo will be derived from ldquocircuit breakerrdquo period plus ldquonrdquo seconds after
bull Announcement messages will be disseminated in order to announce ldquoStressed Market
Conditionsrdquo
ndash on SOLA Bulletin messages will be disseminated in order to announce ldquoStressed Market
Conditionsrdquo
Legacy CDS
5 October 2017 London Stock Exchange Group Page 26
bull In order to facilitate the testing of software applications and customer
algorithms a new test environment will be provided in parallel to the existing
one starting from Q1 2018
ndash a Legacy CDS will be provided for all the Trading and Market Data services of the Grouprsquos
Trading Venues
ndash the new environment will be continuously aligned with production in terms of Software
Version of Trading and Market Data Systems and Reference Data
Borsa Italiana Post Trade Transparency Service
5 October 2017 London Stock Exchange Group Page 27
bull The existing Borsa Italianarsquos Post Trade Transparency
Service will be discontinued with MiFID II
bull For technical reasons together with the MiFID II technical go-
live (November 27th 2017) it will not be possible to keep
providing the Post Trade Transparency Service
bull LSEG will offer Post Trade Transparency facility for OTC
trades via TRADEcho (see following presentation)
Transaction Reporting (1)
5 October 2017 London Stock Exchange Group Page 28
bull RTS 22 and other RTS do not specify constraints on the
format of the Trading Venue Trade Identification Code
(TVTIC) used by Trading venues apart from
ndash Trade ID should be unique
ndash Trade ID should be an alphanumerical string of maximum 52
characters
bull The MiFID II Transaction Reporting Validation Rules
published by ESMA state that TVTIC must be made of capital
letters and numbers
Transaction Reporting (2)
5 October 2017 London Stock Exchange Group Page 29
bull On MIT Trade ID is unique per Market and is
ndash a 8 bytes number on the NTG interface and on MITCH and GTP
ndash ldquoTrdquo concatenated to an alphanumerical string corresponding to the
above ID base 62 encoded on FIX (Trading Drop Copy and Post
Trade Gateways)
ndash The alphanumerical identifier described above
bull is sent to downstream systems (Post Trading Clearing Settlement)
bull is published in reconciliation reports
bull is currently used for Transaction reporting purposes
bull is a case sensitive alphanumerical string
Transaction Reporting (3)
5 October 2017 London Stock Exchange Group Page 30
bull On SOLA
ndash the currently used Trade ID is a progressive number unique per
instrument
ndash In order to have a unique ID it has been decided to use the above
Trade ID concatenated with the SICO Code (Group ID + Instrument ID)
for Transaction Reporting purposes
ndash The SICO Code is case sensitive therefore the ID made of the
platformrsquos Trade ID concatenated with the SICO Code is a case
sensitive alphanumerical string
Transaction Reporting (4)
5 October 2017 London Stock Exchange Group Page 31
bull We will rely on different TVTICs for Transaction Reporting
purposes using
ndash on MIT the 8 bytes number used on the NTG interface and on MITCH
and GTP asking FIX clients to apply the already documented base 62
decoding algorithm
ndash on SOLA the base 62 decoded version of the identifier described in
the previous slide
bull TVTIC will be provided on Reconciliation Files
Borsa Italiana Transaction Reporting Service
5 October 2017 London Stock Exchange Group Page 32
bull The existing Borsa Italianarsquos Transaction Reporting
Service will close together with the go-live of MiFID II
bull The Transaction Reporting Service will be active until the
introduction of MiFID II on January 3rd 2018
bull LSEG will offer Transaction Reporting facility via UnaVista
another company of LSEG that will apply as ARM (Approved
Reporting Mechanism)
5 October 2017 London Stock Exchange Group Page 33
IDEM Key Information Documents
Enrico Pellizzoni
Head of Italy Equity Markets and Derivatives Products
PRIIPs Regulation (IDEM) (1)
5 October 2017 London Stock Exchange Group Page 34
bull BIt will to produce KIDs (Key Information Documents) for IDEM contracts
bull Borsa Italiana will follow an lsquoaggregated approachrsquo as allowed from recent ESMArsquos QampA 14 KIDs will be produced to describe existing IDEM contracts
bull a KID will identify ISINs sharing the same contract specifications expected payoff and fee structure
ndash call options vs put options on the same contract ndash 2 different KIDs
ndash single name derivatives will have a single aggregated KID for each product category (not for each individual underlying)
ndash weekly expiries are not identified by a separate KID
bull Description of costs will include fees that BIt is charging to its market participants Brokers must inform retail clients about their own costs
PRIIPs Regulation (IDEM) (2)
5 October 2017 London Stock Exchange Group Page 35
1 Futures on FTSE MIB
2 Mini futures on FTSE MIB
3 Futures on FTSE MIB dividend
4 Call options on FTSE MIB
5 Put options on FTSE MIB
6 Stock futures
7 Stock dividend futures
8 Single stock call options
9 Single stock put options
10Baseload Italian power futures
11Peakload Italian power futures
12Baseload German power futures
13Peakload German power futures
14Durum wheat futures
PRIIPs Regulation (IDEM) (3)
5 October 2017 London Stock Exchange Group Page 36
bull Available as pdf files free of charge in a dedicated webpage
wwwborsaitalianaitderivatikidskidsenhtm
bull File names with a dedicated convention linked to reference data and downloadable also as
wwwborsaitalianaitderivatikids[filename]pdf
bull Available for download via ftp server (MIT 702)
bull Reviewed at least yearly (or in case of changes to contract specs expected payoff fee structure)
bull Available in Italian English Spanish German and French Additional translations will be evaluated in due course
5 October 2017 London Stock Exchange Group Page 37
Member Portal
Antonello Greco
Technical Account Manager
Client Technology Services Italy
RTS 24 - Requirements
5 October 2017 London Stock Exchange Group Page 38
bull Client Identification code Identifier of the Client (Local Person Identifier or
Legal Entity Identifier) for client orders only
bull Investment Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the investment decision
bull Execution Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the execution decision
Long Code ndash Short Code mapping
5 October 2017 London Stock Exchange Group Page 39
Long Code Short Code
Market messages Client ID Investment Decision Maker Executing Trader
Short Codes ndash Reserved values
5 October 2017 London Stock Exchange Group Page 40
bull 0 None Valid for Client ID and Investment Decision ID
bull 1 AGGR where several orders are submitted to the trading venue together as
an aggregated Valid for Client ID only
bull 2 PNAL where a trading participant allocates an order to its client following
submission of the order to the trading venue and has not yet allocated the
order to its client at the time of the submission of the order Valid for Client ID
only
bull 3 CLIENT valid for Execution Decision ID only
Uploading ndash Three options
5 October 2017 London Stock Exchange Group Page 41
A trading firm will manage the short-long code mappings in a new section of the
Member Portal in the following ways
bull Manual insertion
bull Bulk upload through the Member Portal web interface
bull Bulk upload via SFTP server
Uploading ndash Manual insertion
5 October 2017 London Stock Exchange Group Page 42
bull Short Code numerical value between 4 and 232-1
bull Long Code alphanumerical string of 50 characters Expected values are ndash Local Person Identifier
ndash Legal Entity Identifier
ndash Algorithm
bull Identifier Code Type ndash Natural Person
ndash Client LEI
ndash Algorithm
Uploading ndash Bulk upload (12)
5 October 2017 London Stock Exchange Group Page 43
Field Name
Mandatory
Description
Short Code
Y
4 ndash 4294967295
Long Code
Y
50 alphanumeric chars
Identifier Code Type
Y
L Client LEI
N Natural Person
A Algorithm
Notes
N
Free text field
Operation Type
Y
0 New
1 Update
2 Delete
Uploading ndash Bulk upload (22)
5 October 2017 London Stock Exchange Group Page 44
A new record reporting information on the outcome of the upload is displayed
bull Status ndash In Progress Published Published with errors Not Published
bull UserFile the userrsquos original csv
bull ResultFile a txt file containing the number of records added updated deleted
bull ErrorFile a csv file listing the records containing errors An Error Description field
is added to instruct the user of the error
Uploading ndash SFTP server
5 October 2017 London Stock Exchange Group Page 45
bull The csv file has the same layout as the one used to upload through the
member portal web interface
bull The only difference is that the file must have a specific naming convention
- Venue_ShortLongCodes_YYYYMMDD_NNcsv
bull The root folder of the sFTP server is the Firm ID which in turn contains an IN
and an OUT folder with respectively read-write and read only access
bull The IN folder will contain the bulk upload csv file while the OUT folder will
store Results File and Errors File (if one or more records are rejected)
Upload by difference or laquofrom scratchraquo
5 October 2017 London Stock Exchange Group Page 46
When uploading the file the user can choose to
bull insert modify and delete the existing set of short-long codes hence working by
difference
bull replace the whole list of existing short-long codes with the ones included in the
file hence working from scratch Operation Type can only be populated with 0
Constraints
5 October 2017 London Stock Exchange Group Page 47
bull Two different records can not have the same pair ltShort Code Identifier Code
Typegt
bull Local Person Identifier and Legal Identity Identifiers have to be used
respectively to identify a Natural Person and a LEI
bull Following a cancellation the upload of a new record with the same pair ltShort
Code Identifier Code Typegt will be rejected
When uploading mappings
5 October 2017 London Stock Exchange Group Page 48
bull Short CodeLong Code mappings must be uploaded within the market close
(time limit to be defined) of the same day as they are used as part of the
layout of market messages sent to the exchange
bull Trading participants failing to report the records at day T will be notified and
must download the Missing Short Codes report to find out the discrepancies
to be corrected
bull The Missing Short Code report for the day T is available at T+1 and it lists
the discrepancies of the last five working days
Additional Enhancements
5 October 2017 London Stock Exchange Group Page 49
bull Trader IDs
bull Risk Management users for pre-trade validation functionalities (PTV)
bull Self Execution Prevention
bull Market Making Strategies
bull Mass Cancellation
bull Back Office SELECT
bull Position Report as required by RTS 21 - Application of position limits to
commodity derivatives
Go live
5 October 2017 London Stock Exchange Group Page 50
bull The new Member Portal will go-live on November 2017
bull Trading participant will have a one month window to test the upload of
mappings on the Member Portal before the actual MIFID II go live on
January the 3rd
bull No validations on how short codes are used in the layout of market
messages will be performed except for formal integrity checks
bull The User Manual is already available online on both Borsa Italiana and
EuroTLX websites
5 October 2017 London Stock Exchange Group Page 51
TRADEcho
Roberto Fumagalli
Technical Account Manager
Client Technology Services Italy
POST TRADE TRANSPARENCY OBLIGATION
5 October 2017 London Stock Exchange Group Page 52
MiFID I requires customers to publish OTC trades done on equity instruments listed on European regulated markets Consob extended this obligation to all instruments listed on regulated market (including MOT SeDeX ETFPlus and MTS) MiFID II extends the reporting obligation to all instruments (equity and non equity) listed on European regulated markets MTF and OTF The service offered by Borsa Italiana (PTTS service) to fulfill this obligation will close on 27th November 2017 (release of MIT Platform MiFID II version compliant) LSEG will offer Post Trade Transparency facility for OTC trades via TRADEcho
5 October 2017 London Stock Exchange Group Page 53
TRADEcho
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
Agenda
5 October 2017 London Stock Exchange Group Page 2
bull MiFID II Technical Update
bull PRIIPs Regulation KIDs for IDEM market
bull Member Portal
bull TRADEcho
bull QampA
5 October 2017 London Stock Exchange Group Page 3
MiFID II Technical Update
Flavio Ravotto
Manager Technical Account Management and Professional Services
Client Technology Services Italy
Deployment Schedule
5 October 2017 London Stock Exchange Group Page 4
bull Specifications for MIT 92 SOLA 11 and GTP 141 have been published in March 2017
bull CDS available on
ndash SOLA 11 CDS July 20th 2017
ndash MIT 92 and GTP CDS July 31st 2017
bull Dress Rehearsals on October 14th and November 4th 2017 for all markets (including EuroTLX)
ndash Participation to at least one Dress Rehearsal is mandatory
bull Go-Live on Monday November 27th 2017
ndash On Saturday November 25th 2017 a login test will be organized (to be confirmed)
ndash Go-live confirmation is subject to customer readiness
Conformance Test
5 October 2017 London Stock Exchange Group Page 5
bull Conformance Test is mandatory for all applications connecting to SOLA
MIT and GTP platforms
bull All the interconnected applications must execute the conformance test in order
to be allowed to take part to the Dress Rehearsals
bull Customers are warmly invited to contact the Market Access Team of
Borsa Italiana to schedule the Conformance Test as soon as possible
Reference Data amp Reconciliation Files
5 October 2017 London Stock Exchange Group Page 6
bull Reference Data Files will be enhanced with MiFID II relevant information layout
will change on November 27th 2017
bull Reconciliation Files for MIT markets will be extended with new MiFID II
information (Client IDs Execution and Investment Decision IDs Algo Flag DEA
Flag Waiver Indicators Post Trade Flags) layout will change on November
27th 2017
bull Reconciliation Files for IDEM markets (similar to the one provided for the MIT
platform) will be introduced on January 3rd 2017
MiFID II Deployment Guide
5 October 2017 London Stock Exchange Group Page 7
bull The MiFID II Deployment Guide has been issued on July 24th 2017
bull The Guide outlines
ndash the detailed plan of the application of all MiFID II related changes
ndash the guidelines to follow between the technical go-live on November 27th and the application of the MiFID II regulation on January 3rd 2017
ndash MiFID II activities have been split in 3 key dates
bull November 27th 2017 (Technical go-live)
bull January 2nd 2018
bull January 3rd 2018 (MiFID II come into force)
bull In the following slides a summary of the guide is presented
Protocol Changes
5 October 2017 London Stock Exchange Group Page 8
bull The new Protocols for Trading and Market Data applications
that will go-live on November 27th 2017 are not backward
compatible
ndash therefore all Trading and Market Data applications will have to be updated
to the new version
bull Timestamps will be disseminated with microseconds granularity
starting from November 27th 2017
Client Investment amp Exec IDs Algo amp DEA Flag
5 October 2017 London Stock Exchange Group Page 9
bull On November 27th a set of new fields will be required in order and quote entry messages (and sent back to client applications via Execution and Trade Capture Reports)
ndash Client ID
ndash Investment ID
ndash Execution ID
ndash Algo Flag
ndash DEA Flag
bull Although present in the protocol the content of the above fields will not be subject to any formal validation or cross check only basic technical validations outlined in platform specs will be applied
bull On January 3rd clients will be have the regulatory obligation to correctly fill in the above fields
ndash Guidelines document will be provided shortly
Waiver Indicators amp Post Trade Flags
5 October 2017 London Stock Exchange Group Page 10
bull Starting from November 27th 2017 a set of new fields will be added to
Execution Reports andor Trade Capture Reports sent to customers
ndash Waiver Indicators
ndash Post Trade Flags
bull The content of the above fields should not be considered as significant by
market participants until MiFID II legally enter into force on January 3rd 2018
Request for Quote (1)
5 October 2017 London Stock Exchange Group Page 11
bull With MiFID II RFQ can be
ndash No pre-trade transparency (NPT as it currently is on our markets)
ndash Partial pre-trade transparency (PPT)
ndash Full pre-trade transparency (FPT)
Request for Quote (2)
5 October 2017 London Stock Exchange Group Page 12
bull For PPT RFQs indicative Bid and Ask Prices of Quotes (average of Quotes Bid and Ask Prices sent by Market Makers active at execution) will be published via GTP (FDI channels only) and MITCH when (and if) the RFQ becomes executable and the RFQ trade is generated
bull For FPT RFQs all Market Makers Quotes (active at execution) will be published via GTP (FDI channels only) and MITCH when (and if) the RFQ becomes executable and the RFQ trade is generated
bull PPT and FTP models will be introduced on January 2nd 2018 (one day before MiFID II introduction)
Tick Table Policy (1)
5 October 2017 London Stock Exchange Group Page 13
bull Change of Tick Table policy (live on November 27th)
ndash from min boundary lt price lt= max boundary
ndash to min boundary lt= price lt max boundary
bull Introduction of new Tick Tables on MTA market (live on
January 3rd)
ndash Borsa Italiana will introduce 6 new tick size tables according to the
requirements defined by RTS 11 on January 3rd 2018
Tick Table Policy (2)
5 October 2017 London Stock Exchange Group Page 14
bull Introduction of new Tick Tables on ETF+ market
ndash the tick size table defined by RTS 11 corresponding to the highest average daily number of
transaction will be applied to ETFs with equity underlying (also for RFQ)
ndash for other ETFs and ETCsETNs a dedicated tick table will be introduced
bull RFQs on these instruments will use a fixed tick size equal to 00001 euro
ndash The above changes will go live on November 27th 2017
New ATF Trades Publication Model (1)
5 October 2017 London Stock Exchange Group Page 15
bull Trades on ATF instruments (ATF is a segment of ETF+) will be published via
Market Data services with the price (1euro as per convention) marked as Pending
bull Once NAV is received
ndash trades are rectified (price is set to the NAV)
ndash Market Data Services will publish the modification of Trades
bull Two messages will be sent via market Data Services (GTP and MITCH) one cancelling
the trade and one for re-publishing the trade with indication that an amendment has been
made
New ATF Trades Publication Model (2)
5 October 2017 London Stock Exchange Group Page 16
bull An ack of the modification of the trades will be sent to customers via a Trade
Capture Report sent by the Post Trade Gateway
bull GTP statistics for ATF will be calculated on the amended price (published
at T+1) and not on the pending one (published at T)
bull Changes to ATF Trades Publication Model will go live on November 27th
2017
Cross Orders on MIT
5 October 2017 London Stock Exchange Group Page 17
Instrument Type November 27th 2017 January 2nd 2018 January 3rd 2018
Shares bull Switch to volume-weighted spread price validation
bull For Liquid Shares Reject of Cross Orders when volume-weighted spread is not available
Liquid ETFs Reject of Cross Orders when volume-weighted spread is not available
Liquid ETCs ETNs Fixed Income
Cross Orders disabled
SeDeX Cross Orders disabled
Negotiated Transactions
5 October 2017 London Stock Exchange Group Page 18
bull New statistics calculation for Cross Orders (no updates to Last Trade Price
LowHigh Price) for both MIT and SOLA platforms starting from January 2nd 2018
ndash Stop or Stop Limit Orders will no longer be triggered by Cross Orders
ndash Prices of Cross Orders will not influence circuit breaker validations for the following trade
bull Switch from quantity to value-based control for the minimum size of a Block Trade
on MIT markets on November 27th 2017
bull Reject execution of negotiated transactions below the pre-trade LIS threshold for
liquid products on IDEM market on January 2nd 2018
New trading Capacities
5 October 2017 London Stock Exchange Group Page 19
bull on January 3rd 2018
ndash the new Matched Principal Trading Capacity will be added (according to membership
trading authorizations) to existing ones on both the Borsa Italiana MIT and the SOLA
markets
ndash The two new Matched Principal and Un-Matched Principal Trading Capacities will be
enabled on EuroTLX
bull dedicated Comp IDs must be requested by Brokers authorized to use Matched
Principal andor Unmatched Principal Trading Capacities
bull it will be possible to use Matched Principal andor Unmatched Principal Trading
Capacities only via the dedicated Comp IDs described above
Other Changes (1)
5 October 2017 London Stock Exchange Group Page 20
bull on November 27th 2017
ndash Introduction of new pre-trade controls on maximum order value on MIT platform and on maximum order notional value on SOLA platform
ndash Iceberg orders
bull Introduction of a control on the minimum value of iceberg orders on the MIT platform
bull switch from quantity to value-based control for the minimum peak size
bull Introduction of a control on minimum notional value on SOLA platform
ndash Changes to EMS and EMS multiplier parameters for the ETF+ market
bull on January 2nd 2018
ndash Changes to EMS and EMS multiplier parameters for the SeDeX market
Other Changes (2)
5 October 2017 London Stock Exchange Group Page 21
bull On November 27th 2017 the classification of lsquoliquidrsquo vs lsquonot liquidrsquo will be included in reference
data
ndash Shares according to current MiFID classification
ndash Fixed income instruments ETFs ETCs and ETNs all classified as lsquoilliquidrsquo pending ESMArsquos
classification
ndash SeDeX will be set as Liquid according to ESMArsquos MiFID II classification
ndash IDEM according to ESMArsquos MiFID II classification
bull On November 27th 2017 the CPP (Closing Price Publication) session will be removed
Closing Prices will be disseminated
ndash At the beginning of the Post Close session for segments that do not have a Closing Auction
ndash At the end of the Closing Auction session for segments that do have a Closing Auction
Market MakingLiquidity Provision (1)
5 October 2017 London Stock Exchange Group Page 22
bull on MIT Market MakersLiquidity Providers are and will be given one or more
dedicated Comp ID(s) in order to segregate Market MakingLiquidity Provision
activity
bull on SOLA Market MakersLiquidity Providers are and will be given one or more
dedicated Trader ID(s) in order to segregate Market MakingLiquidity Provision
activity
bull a dedicated Naming Convention is applied to Comp IDs and Trader IDs used
for Market MakingLiquidity Provision activity
Market MakingLiquidity Provision (2)
5 October 2017 London Stock Exchange Group Page 23
bull Market MakersLiquidity Providers send (single or dual side) quotes most of the time but under certain circumstances (depending on the type of activity) may send orders
ndash operators have to restrict the use of the dedicated Comp IDTrader ID to the liquidity provision activity using quotes or orders according to what is requested by the Market Making programs in place independently from the fact that no technical restrictions will be put in place
bull For existing Market Making programs
ndash We are restricting MIT Specialist Comp IDs to send orders only on the subset of instruments they are associated for Specialist activity (work in progress migration based on individual client migration plan)
ndash We will restrict SOLA Market Making Trader IDs to send orders only on the subset of instruments they are associated for Market Making activity starting from November 27th 2017
Market MakingLiquidity Provision (3)
5 October 2017 London Stock Exchange Group Page 24
bull New MiFID II Market Making SchemeAgreements (starting from January 3rd
2018)
ndash Member Firms that will subscribe for the new SchemeAgreements will be given dedicated
Comp IDs (for MIT markets) and Trader IDs
ndash Member Firms will decide whether to perform this activity via quotes and orders or via
orders only
bull On SeDeX Member Firms that will subscribe for the new SchemeAgreements will be
allowed to use orders only
Stressed Market Conditions
5 October 2017 London Stock Exchange Group Page 25
bull Stressed Market Conditions will be defined at rulebook level
bull Notification to customers of ldquoStressed Market Conditionsrdquo
ndash No specific market changes will be introduced for notifying customers when ldquoStressed Market
Conditionsrdquo occur
ndash on MIT
bull ldquoStressed Market Conditionsrdquo will be derived from ldquocircuit breakerrdquo period plus ldquonrdquo seconds after
bull Announcement messages will be disseminated in order to announce ldquoStressed Market
Conditionsrdquo
ndash on SOLA Bulletin messages will be disseminated in order to announce ldquoStressed Market
Conditionsrdquo
Legacy CDS
5 October 2017 London Stock Exchange Group Page 26
bull In order to facilitate the testing of software applications and customer
algorithms a new test environment will be provided in parallel to the existing
one starting from Q1 2018
ndash a Legacy CDS will be provided for all the Trading and Market Data services of the Grouprsquos
Trading Venues
ndash the new environment will be continuously aligned with production in terms of Software
Version of Trading and Market Data Systems and Reference Data
Borsa Italiana Post Trade Transparency Service
5 October 2017 London Stock Exchange Group Page 27
bull The existing Borsa Italianarsquos Post Trade Transparency
Service will be discontinued with MiFID II
bull For technical reasons together with the MiFID II technical go-
live (November 27th 2017) it will not be possible to keep
providing the Post Trade Transparency Service
bull LSEG will offer Post Trade Transparency facility for OTC
trades via TRADEcho (see following presentation)
Transaction Reporting (1)
5 October 2017 London Stock Exchange Group Page 28
bull RTS 22 and other RTS do not specify constraints on the
format of the Trading Venue Trade Identification Code
(TVTIC) used by Trading venues apart from
ndash Trade ID should be unique
ndash Trade ID should be an alphanumerical string of maximum 52
characters
bull The MiFID II Transaction Reporting Validation Rules
published by ESMA state that TVTIC must be made of capital
letters and numbers
Transaction Reporting (2)
5 October 2017 London Stock Exchange Group Page 29
bull On MIT Trade ID is unique per Market and is
ndash a 8 bytes number on the NTG interface and on MITCH and GTP
ndash ldquoTrdquo concatenated to an alphanumerical string corresponding to the
above ID base 62 encoded on FIX (Trading Drop Copy and Post
Trade Gateways)
ndash The alphanumerical identifier described above
bull is sent to downstream systems (Post Trading Clearing Settlement)
bull is published in reconciliation reports
bull is currently used for Transaction reporting purposes
bull is a case sensitive alphanumerical string
Transaction Reporting (3)
5 October 2017 London Stock Exchange Group Page 30
bull On SOLA
ndash the currently used Trade ID is a progressive number unique per
instrument
ndash In order to have a unique ID it has been decided to use the above
Trade ID concatenated with the SICO Code (Group ID + Instrument ID)
for Transaction Reporting purposes
ndash The SICO Code is case sensitive therefore the ID made of the
platformrsquos Trade ID concatenated with the SICO Code is a case
sensitive alphanumerical string
Transaction Reporting (4)
5 October 2017 London Stock Exchange Group Page 31
bull We will rely on different TVTICs for Transaction Reporting
purposes using
ndash on MIT the 8 bytes number used on the NTG interface and on MITCH
and GTP asking FIX clients to apply the already documented base 62
decoding algorithm
ndash on SOLA the base 62 decoded version of the identifier described in
the previous slide
bull TVTIC will be provided on Reconciliation Files
Borsa Italiana Transaction Reporting Service
5 October 2017 London Stock Exchange Group Page 32
bull The existing Borsa Italianarsquos Transaction Reporting
Service will close together with the go-live of MiFID II
bull The Transaction Reporting Service will be active until the
introduction of MiFID II on January 3rd 2018
bull LSEG will offer Transaction Reporting facility via UnaVista
another company of LSEG that will apply as ARM (Approved
Reporting Mechanism)
5 October 2017 London Stock Exchange Group Page 33
IDEM Key Information Documents
Enrico Pellizzoni
Head of Italy Equity Markets and Derivatives Products
PRIIPs Regulation (IDEM) (1)
5 October 2017 London Stock Exchange Group Page 34
bull BIt will to produce KIDs (Key Information Documents) for IDEM contracts
bull Borsa Italiana will follow an lsquoaggregated approachrsquo as allowed from recent ESMArsquos QampA 14 KIDs will be produced to describe existing IDEM contracts
bull a KID will identify ISINs sharing the same contract specifications expected payoff and fee structure
ndash call options vs put options on the same contract ndash 2 different KIDs
ndash single name derivatives will have a single aggregated KID for each product category (not for each individual underlying)
ndash weekly expiries are not identified by a separate KID
bull Description of costs will include fees that BIt is charging to its market participants Brokers must inform retail clients about their own costs
PRIIPs Regulation (IDEM) (2)
5 October 2017 London Stock Exchange Group Page 35
1 Futures on FTSE MIB
2 Mini futures on FTSE MIB
3 Futures on FTSE MIB dividend
4 Call options on FTSE MIB
5 Put options on FTSE MIB
6 Stock futures
7 Stock dividend futures
8 Single stock call options
9 Single stock put options
10Baseload Italian power futures
11Peakload Italian power futures
12Baseload German power futures
13Peakload German power futures
14Durum wheat futures
PRIIPs Regulation (IDEM) (3)
5 October 2017 London Stock Exchange Group Page 36
bull Available as pdf files free of charge in a dedicated webpage
wwwborsaitalianaitderivatikidskidsenhtm
bull File names with a dedicated convention linked to reference data and downloadable also as
wwwborsaitalianaitderivatikids[filename]pdf
bull Available for download via ftp server (MIT 702)
bull Reviewed at least yearly (or in case of changes to contract specs expected payoff fee structure)
bull Available in Italian English Spanish German and French Additional translations will be evaluated in due course
5 October 2017 London Stock Exchange Group Page 37
Member Portal
Antonello Greco
Technical Account Manager
Client Technology Services Italy
RTS 24 - Requirements
5 October 2017 London Stock Exchange Group Page 38
bull Client Identification code Identifier of the Client (Local Person Identifier or
Legal Entity Identifier) for client orders only
bull Investment Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the investment decision
bull Execution Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the execution decision
Long Code ndash Short Code mapping
5 October 2017 London Stock Exchange Group Page 39
Long Code Short Code
Market messages Client ID Investment Decision Maker Executing Trader
Short Codes ndash Reserved values
5 October 2017 London Stock Exchange Group Page 40
bull 0 None Valid for Client ID and Investment Decision ID
bull 1 AGGR where several orders are submitted to the trading venue together as
an aggregated Valid for Client ID only
bull 2 PNAL where a trading participant allocates an order to its client following
submission of the order to the trading venue and has not yet allocated the
order to its client at the time of the submission of the order Valid for Client ID
only
bull 3 CLIENT valid for Execution Decision ID only
Uploading ndash Three options
5 October 2017 London Stock Exchange Group Page 41
A trading firm will manage the short-long code mappings in a new section of the
Member Portal in the following ways
bull Manual insertion
bull Bulk upload through the Member Portal web interface
bull Bulk upload via SFTP server
Uploading ndash Manual insertion
5 October 2017 London Stock Exchange Group Page 42
bull Short Code numerical value between 4 and 232-1
bull Long Code alphanumerical string of 50 characters Expected values are ndash Local Person Identifier
ndash Legal Entity Identifier
ndash Algorithm
bull Identifier Code Type ndash Natural Person
ndash Client LEI
ndash Algorithm
Uploading ndash Bulk upload (12)
5 October 2017 London Stock Exchange Group Page 43
Field Name
Mandatory
Description
Short Code
Y
4 ndash 4294967295
Long Code
Y
50 alphanumeric chars
Identifier Code Type
Y
L Client LEI
N Natural Person
A Algorithm
Notes
N
Free text field
Operation Type
Y
0 New
1 Update
2 Delete
Uploading ndash Bulk upload (22)
5 October 2017 London Stock Exchange Group Page 44
A new record reporting information on the outcome of the upload is displayed
bull Status ndash In Progress Published Published with errors Not Published
bull UserFile the userrsquos original csv
bull ResultFile a txt file containing the number of records added updated deleted
bull ErrorFile a csv file listing the records containing errors An Error Description field
is added to instruct the user of the error
Uploading ndash SFTP server
5 October 2017 London Stock Exchange Group Page 45
bull The csv file has the same layout as the one used to upload through the
member portal web interface
bull The only difference is that the file must have a specific naming convention
- Venue_ShortLongCodes_YYYYMMDD_NNcsv
bull The root folder of the sFTP server is the Firm ID which in turn contains an IN
and an OUT folder with respectively read-write and read only access
bull The IN folder will contain the bulk upload csv file while the OUT folder will
store Results File and Errors File (if one or more records are rejected)
Upload by difference or laquofrom scratchraquo
5 October 2017 London Stock Exchange Group Page 46
When uploading the file the user can choose to
bull insert modify and delete the existing set of short-long codes hence working by
difference
bull replace the whole list of existing short-long codes with the ones included in the
file hence working from scratch Operation Type can only be populated with 0
Constraints
5 October 2017 London Stock Exchange Group Page 47
bull Two different records can not have the same pair ltShort Code Identifier Code
Typegt
bull Local Person Identifier and Legal Identity Identifiers have to be used
respectively to identify a Natural Person and a LEI
bull Following a cancellation the upload of a new record with the same pair ltShort
Code Identifier Code Typegt will be rejected
When uploading mappings
5 October 2017 London Stock Exchange Group Page 48
bull Short CodeLong Code mappings must be uploaded within the market close
(time limit to be defined) of the same day as they are used as part of the
layout of market messages sent to the exchange
bull Trading participants failing to report the records at day T will be notified and
must download the Missing Short Codes report to find out the discrepancies
to be corrected
bull The Missing Short Code report for the day T is available at T+1 and it lists
the discrepancies of the last five working days
Additional Enhancements
5 October 2017 London Stock Exchange Group Page 49
bull Trader IDs
bull Risk Management users for pre-trade validation functionalities (PTV)
bull Self Execution Prevention
bull Market Making Strategies
bull Mass Cancellation
bull Back Office SELECT
bull Position Report as required by RTS 21 - Application of position limits to
commodity derivatives
Go live
5 October 2017 London Stock Exchange Group Page 50
bull The new Member Portal will go-live on November 2017
bull Trading participant will have a one month window to test the upload of
mappings on the Member Portal before the actual MIFID II go live on
January the 3rd
bull No validations on how short codes are used in the layout of market
messages will be performed except for formal integrity checks
bull The User Manual is already available online on both Borsa Italiana and
EuroTLX websites
5 October 2017 London Stock Exchange Group Page 51
TRADEcho
Roberto Fumagalli
Technical Account Manager
Client Technology Services Italy
POST TRADE TRANSPARENCY OBLIGATION
5 October 2017 London Stock Exchange Group Page 52
MiFID I requires customers to publish OTC trades done on equity instruments listed on European regulated markets Consob extended this obligation to all instruments listed on regulated market (including MOT SeDeX ETFPlus and MTS) MiFID II extends the reporting obligation to all instruments (equity and non equity) listed on European regulated markets MTF and OTF The service offered by Borsa Italiana (PTTS service) to fulfill this obligation will close on 27th November 2017 (release of MIT Platform MiFID II version compliant) LSEG will offer Post Trade Transparency facility for OTC trades via TRADEcho
5 October 2017 London Stock Exchange Group Page 53
TRADEcho
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
5 October 2017 London Stock Exchange Group Page 3
MiFID II Technical Update
Flavio Ravotto
Manager Technical Account Management and Professional Services
Client Technology Services Italy
Deployment Schedule
5 October 2017 London Stock Exchange Group Page 4
bull Specifications for MIT 92 SOLA 11 and GTP 141 have been published in March 2017
bull CDS available on
ndash SOLA 11 CDS July 20th 2017
ndash MIT 92 and GTP CDS July 31st 2017
bull Dress Rehearsals on October 14th and November 4th 2017 for all markets (including EuroTLX)
ndash Participation to at least one Dress Rehearsal is mandatory
bull Go-Live on Monday November 27th 2017
ndash On Saturday November 25th 2017 a login test will be organized (to be confirmed)
ndash Go-live confirmation is subject to customer readiness
Conformance Test
5 October 2017 London Stock Exchange Group Page 5
bull Conformance Test is mandatory for all applications connecting to SOLA
MIT and GTP platforms
bull All the interconnected applications must execute the conformance test in order
to be allowed to take part to the Dress Rehearsals
bull Customers are warmly invited to contact the Market Access Team of
Borsa Italiana to schedule the Conformance Test as soon as possible
Reference Data amp Reconciliation Files
5 October 2017 London Stock Exchange Group Page 6
bull Reference Data Files will be enhanced with MiFID II relevant information layout
will change on November 27th 2017
bull Reconciliation Files for MIT markets will be extended with new MiFID II
information (Client IDs Execution and Investment Decision IDs Algo Flag DEA
Flag Waiver Indicators Post Trade Flags) layout will change on November
27th 2017
bull Reconciliation Files for IDEM markets (similar to the one provided for the MIT
platform) will be introduced on January 3rd 2017
MiFID II Deployment Guide
5 October 2017 London Stock Exchange Group Page 7
bull The MiFID II Deployment Guide has been issued on July 24th 2017
bull The Guide outlines
ndash the detailed plan of the application of all MiFID II related changes
ndash the guidelines to follow between the technical go-live on November 27th and the application of the MiFID II regulation on January 3rd 2017
ndash MiFID II activities have been split in 3 key dates
bull November 27th 2017 (Technical go-live)
bull January 2nd 2018
bull January 3rd 2018 (MiFID II come into force)
bull In the following slides a summary of the guide is presented
Protocol Changes
5 October 2017 London Stock Exchange Group Page 8
bull The new Protocols for Trading and Market Data applications
that will go-live on November 27th 2017 are not backward
compatible
ndash therefore all Trading and Market Data applications will have to be updated
to the new version
bull Timestamps will be disseminated with microseconds granularity
starting from November 27th 2017
Client Investment amp Exec IDs Algo amp DEA Flag
5 October 2017 London Stock Exchange Group Page 9
bull On November 27th a set of new fields will be required in order and quote entry messages (and sent back to client applications via Execution and Trade Capture Reports)
ndash Client ID
ndash Investment ID
ndash Execution ID
ndash Algo Flag
ndash DEA Flag
bull Although present in the protocol the content of the above fields will not be subject to any formal validation or cross check only basic technical validations outlined in platform specs will be applied
bull On January 3rd clients will be have the regulatory obligation to correctly fill in the above fields
ndash Guidelines document will be provided shortly
Waiver Indicators amp Post Trade Flags
5 October 2017 London Stock Exchange Group Page 10
bull Starting from November 27th 2017 a set of new fields will be added to
Execution Reports andor Trade Capture Reports sent to customers
ndash Waiver Indicators
ndash Post Trade Flags
bull The content of the above fields should not be considered as significant by
market participants until MiFID II legally enter into force on January 3rd 2018
Request for Quote (1)
5 October 2017 London Stock Exchange Group Page 11
bull With MiFID II RFQ can be
ndash No pre-trade transparency (NPT as it currently is on our markets)
ndash Partial pre-trade transparency (PPT)
ndash Full pre-trade transparency (FPT)
Request for Quote (2)
5 October 2017 London Stock Exchange Group Page 12
bull For PPT RFQs indicative Bid and Ask Prices of Quotes (average of Quotes Bid and Ask Prices sent by Market Makers active at execution) will be published via GTP (FDI channels only) and MITCH when (and if) the RFQ becomes executable and the RFQ trade is generated
bull For FPT RFQs all Market Makers Quotes (active at execution) will be published via GTP (FDI channels only) and MITCH when (and if) the RFQ becomes executable and the RFQ trade is generated
bull PPT and FTP models will be introduced on January 2nd 2018 (one day before MiFID II introduction)
Tick Table Policy (1)
5 October 2017 London Stock Exchange Group Page 13
bull Change of Tick Table policy (live on November 27th)
ndash from min boundary lt price lt= max boundary
ndash to min boundary lt= price lt max boundary
bull Introduction of new Tick Tables on MTA market (live on
January 3rd)
ndash Borsa Italiana will introduce 6 new tick size tables according to the
requirements defined by RTS 11 on January 3rd 2018
Tick Table Policy (2)
5 October 2017 London Stock Exchange Group Page 14
bull Introduction of new Tick Tables on ETF+ market
ndash the tick size table defined by RTS 11 corresponding to the highest average daily number of
transaction will be applied to ETFs with equity underlying (also for RFQ)
ndash for other ETFs and ETCsETNs a dedicated tick table will be introduced
bull RFQs on these instruments will use a fixed tick size equal to 00001 euro
ndash The above changes will go live on November 27th 2017
New ATF Trades Publication Model (1)
5 October 2017 London Stock Exchange Group Page 15
bull Trades on ATF instruments (ATF is a segment of ETF+) will be published via
Market Data services with the price (1euro as per convention) marked as Pending
bull Once NAV is received
ndash trades are rectified (price is set to the NAV)
ndash Market Data Services will publish the modification of Trades
bull Two messages will be sent via market Data Services (GTP and MITCH) one cancelling
the trade and one for re-publishing the trade with indication that an amendment has been
made
New ATF Trades Publication Model (2)
5 October 2017 London Stock Exchange Group Page 16
bull An ack of the modification of the trades will be sent to customers via a Trade
Capture Report sent by the Post Trade Gateway
bull GTP statistics for ATF will be calculated on the amended price (published
at T+1) and not on the pending one (published at T)
bull Changes to ATF Trades Publication Model will go live on November 27th
2017
Cross Orders on MIT
5 October 2017 London Stock Exchange Group Page 17
Instrument Type November 27th 2017 January 2nd 2018 January 3rd 2018
Shares bull Switch to volume-weighted spread price validation
bull For Liquid Shares Reject of Cross Orders when volume-weighted spread is not available
Liquid ETFs Reject of Cross Orders when volume-weighted spread is not available
Liquid ETCs ETNs Fixed Income
Cross Orders disabled
SeDeX Cross Orders disabled
Negotiated Transactions
5 October 2017 London Stock Exchange Group Page 18
bull New statistics calculation for Cross Orders (no updates to Last Trade Price
LowHigh Price) for both MIT and SOLA platforms starting from January 2nd 2018
ndash Stop or Stop Limit Orders will no longer be triggered by Cross Orders
ndash Prices of Cross Orders will not influence circuit breaker validations for the following trade
bull Switch from quantity to value-based control for the minimum size of a Block Trade
on MIT markets on November 27th 2017
bull Reject execution of negotiated transactions below the pre-trade LIS threshold for
liquid products on IDEM market on January 2nd 2018
New trading Capacities
5 October 2017 London Stock Exchange Group Page 19
bull on January 3rd 2018
ndash the new Matched Principal Trading Capacity will be added (according to membership
trading authorizations) to existing ones on both the Borsa Italiana MIT and the SOLA
markets
ndash The two new Matched Principal and Un-Matched Principal Trading Capacities will be
enabled on EuroTLX
bull dedicated Comp IDs must be requested by Brokers authorized to use Matched
Principal andor Unmatched Principal Trading Capacities
bull it will be possible to use Matched Principal andor Unmatched Principal Trading
Capacities only via the dedicated Comp IDs described above
Other Changes (1)
5 October 2017 London Stock Exchange Group Page 20
bull on November 27th 2017
ndash Introduction of new pre-trade controls on maximum order value on MIT platform and on maximum order notional value on SOLA platform
ndash Iceberg orders
bull Introduction of a control on the minimum value of iceberg orders on the MIT platform
bull switch from quantity to value-based control for the minimum peak size
bull Introduction of a control on minimum notional value on SOLA platform
ndash Changes to EMS and EMS multiplier parameters for the ETF+ market
bull on January 2nd 2018
ndash Changes to EMS and EMS multiplier parameters for the SeDeX market
Other Changes (2)
5 October 2017 London Stock Exchange Group Page 21
bull On November 27th 2017 the classification of lsquoliquidrsquo vs lsquonot liquidrsquo will be included in reference
data
ndash Shares according to current MiFID classification
ndash Fixed income instruments ETFs ETCs and ETNs all classified as lsquoilliquidrsquo pending ESMArsquos
classification
ndash SeDeX will be set as Liquid according to ESMArsquos MiFID II classification
ndash IDEM according to ESMArsquos MiFID II classification
bull On November 27th 2017 the CPP (Closing Price Publication) session will be removed
Closing Prices will be disseminated
ndash At the beginning of the Post Close session for segments that do not have a Closing Auction
ndash At the end of the Closing Auction session for segments that do have a Closing Auction
Market MakingLiquidity Provision (1)
5 October 2017 London Stock Exchange Group Page 22
bull on MIT Market MakersLiquidity Providers are and will be given one or more
dedicated Comp ID(s) in order to segregate Market MakingLiquidity Provision
activity
bull on SOLA Market MakersLiquidity Providers are and will be given one or more
dedicated Trader ID(s) in order to segregate Market MakingLiquidity Provision
activity
bull a dedicated Naming Convention is applied to Comp IDs and Trader IDs used
for Market MakingLiquidity Provision activity
Market MakingLiquidity Provision (2)
5 October 2017 London Stock Exchange Group Page 23
bull Market MakersLiquidity Providers send (single or dual side) quotes most of the time but under certain circumstances (depending on the type of activity) may send orders
ndash operators have to restrict the use of the dedicated Comp IDTrader ID to the liquidity provision activity using quotes or orders according to what is requested by the Market Making programs in place independently from the fact that no technical restrictions will be put in place
bull For existing Market Making programs
ndash We are restricting MIT Specialist Comp IDs to send orders only on the subset of instruments they are associated for Specialist activity (work in progress migration based on individual client migration plan)
ndash We will restrict SOLA Market Making Trader IDs to send orders only on the subset of instruments they are associated for Market Making activity starting from November 27th 2017
Market MakingLiquidity Provision (3)
5 October 2017 London Stock Exchange Group Page 24
bull New MiFID II Market Making SchemeAgreements (starting from January 3rd
2018)
ndash Member Firms that will subscribe for the new SchemeAgreements will be given dedicated
Comp IDs (for MIT markets) and Trader IDs
ndash Member Firms will decide whether to perform this activity via quotes and orders or via
orders only
bull On SeDeX Member Firms that will subscribe for the new SchemeAgreements will be
allowed to use orders only
Stressed Market Conditions
5 October 2017 London Stock Exchange Group Page 25
bull Stressed Market Conditions will be defined at rulebook level
bull Notification to customers of ldquoStressed Market Conditionsrdquo
ndash No specific market changes will be introduced for notifying customers when ldquoStressed Market
Conditionsrdquo occur
ndash on MIT
bull ldquoStressed Market Conditionsrdquo will be derived from ldquocircuit breakerrdquo period plus ldquonrdquo seconds after
bull Announcement messages will be disseminated in order to announce ldquoStressed Market
Conditionsrdquo
ndash on SOLA Bulletin messages will be disseminated in order to announce ldquoStressed Market
Conditionsrdquo
Legacy CDS
5 October 2017 London Stock Exchange Group Page 26
bull In order to facilitate the testing of software applications and customer
algorithms a new test environment will be provided in parallel to the existing
one starting from Q1 2018
ndash a Legacy CDS will be provided for all the Trading and Market Data services of the Grouprsquos
Trading Venues
ndash the new environment will be continuously aligned with production in terms of Software
Version of Trading and Market Data Systems and Reference Data
Borsa Italiana Post Trade Transparency Service
5 October 2017 London Stock Exchange Group Page 27
bull The existing Borsa Italianarsquos Post Trade Transparency
Service will be discontinued with MiFID II
bull For technical reasons together with the MiFID II technical go-
live (November 27th 2017) it will not be possible to keep
providing the Post Trade Transparency Service
bull LSEG will offer Post Trade Transparency facility for OTC
trades via TRADEcho (see following presentation)
Transaction Reporting (1)
5 October 2017 London Stock Exchange Group Page 28
bull RTS 22 and other RTS do not specify constraints on the
format of the Trading Venue Trade Identification Code
(TVTIC) used by Trading venues apart from
ndash Trade ID should be unique
ndash Trade ID should be an alphanumerical string of maximum 52
characters
bull The MiFID II Transaction Reporting Validation Rules
published by ESMA state that TVTIC must be made of capital
letters and numbers
Transaction Reporting (2)
5 October 2017 London Stock Exchange Group Page 29
bull On MIT Trade ID is unique per Market and is
ndash a 8 bytes number on the NTG interface and on MITCH and GTP
ndash ldquoTrdquo concatenated to an alphanumerical string corresponding to the
above ID base 62 encoded on FIX (Trading Drop Copy and Post
Trade Gateways)
ndash The alphanumerical identifier described above
bull is sent to downstream systems (Post Trading Clearing Settlement)
bull is published in reconciliation reports
bull is currently used for Transaction reporting purposes
bull is a case sensitive alphanumerical string
Transaction Reporting (3)
5 October 2017 London Stock Exchange Group Page 30
bull On SOLA
ndash the currently used Trade ID is a progressive number unique per
instrument
ndash In order to have a unique ID it has been decided to use the above
Trade ID concatenated with the SICO Code (Group ID + Instrument ID)
for Transaction Reporting purposes
ndash The SICO Code is case sensitive therefore the ID made of the
platformrsquos Trade ID concatenated with the SICO Code is a case
sensitive alphanumerical string
Transaction Reporting (4)
5 October 2017 London Stock Exchange Group Page 31
bull We will rely on different TVTICs for Transaction Reporting
purposes using
ndash on MIT the 8 bytes number used on the NTG interface and on MITCH
and GTP asking FIX clients to apply the already documented base 62
decoding algorithm
ndash on SOLA the base 62 decoded version of the identifier described in
the previous slide
bull TVTIC will be provided on Reconciliation Files
Borsa Italiana Transaction Reporting Service
5 October 2017 London Stock Exchange Group Page 32
bull The existing Borsa Italianarsquos Transaction Reporting
Service will close together with the go-live of MiFID II
bull The Transaction Reporting Service will be active until the
introduction of MiFID II on January 3rd 2018
bull LSEG will offer Transaction Reporting facility via UnaVista
another company of LSEG that will apply as ARM (Approved
Reporting Mechanism)
5 October 2017 London Stock Exchange Group Page 33
IDEM Key Information Documents
Enrico Pellizzoni
Head of Italy Equity Markets and Derivatives Products
PRIIPs Regulation (IDEM) (1)
5 October 2017 London Stock Exchange Group Page 34
bull BIt will to produce KIDs (Key Information Documents) for IDEM contracts
bull Borsa Italiana will follow an lsquoaggregated approachrsquo as allowed from recent ESMArsquos QampA 14 KIDs will be produced to describe existing IDEM contracts
bull a KID will identify ISINs sharing the same contract specifications expected payoff and fee structure
ndash call options vs put options on the same contract ndash 2 different KIDs
ndash single name derivatives will have a single aggregated KID for each product category (not for each individual underlying)
ndash weekly expiries are not identified by a separate KID
bull Description of costs will include fees that BIt is charging to its market participants Brokers must inform retail clients about their own costs
PRIIPs Regulation (IDEM) (2)
5 October 2017 London Stock Exchange Group Page 35
1 Futures on FTSE MIB
2 Mini futures on FTSE MIB
3 Futures on FTSE MIB dividend
4 Call options on FTSE MIB
5 Put options on FTSE MIB
6 Stock futures
7 Stock dividend futures
8 Single stock call options
9 Single stock put options
10Baseload Italian power futures
11Peakload Italian power futures
12Baseload German power futures
13Peakload German power futures
14Durum wheat futures
PRIIPs Regulation (IDEM) (3)
5 October 2017 London Stock Exchange Group Page 36
bull Available as pdf files free of charge in a dedicated webpage
wwwborsaitalianaitderivatikidskidsenhtm
bull File names with a dedicated convention linked to reference data and downloadable also as
wwwborsaitalianaitderivatikids[filename]pdf
bull Available for download via ftp server (MIT 702)
bull Reviewed at least yearly (or in case of changes to contract specs expected payoff fee structure)
bull Available in Italian English Spanish German and French Additional translations will be evaluated in due course
5 October 2017 London Stock Exchange Group Page 37
Member Portal
Antonello Greco
Technical Account Manager
Client Technology Services Italy
RTS 24 - Requirements
5 October 2017 London Stock Exchange Group Page 38
bull Client Identification code Identifier of the Client (Local Person Identifier or
Legal Entity Identifier) for client orders only
bull Investment Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the investment decision
bull Execution Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the execution decision
Long Code ndash Short Code mapping
5 October 2017 London Stock Exchange Group Page 39
Long Code Short Code
Market messages Client ID Investment Decision Maker Executing Trader
Short Codes ndash Reserved values
5 October 2017 London Stock Exchange Group Page 40
bull 0 None Valid for Client ID and Investment Decision ID
bull 1 AGGR where several orders are submitted to the trading venue together as
an aggregated Valid for Client ID only
bull 2 PNAL where a trading participant allocates an order to its client following
submission of the order to the trading venue and has not yet allocated the
order to its client at the time of the submission of the order Valid for Client ID
only
bull 3 CLIENT valid for Execution Decision ID only
Uploading ndash Three options
5 October 2017 London Stock Exchange Group Page 41
A trading firm will manage the short-long code mappings in a new section of the
Member Portal in the following ways
bull Manual insertion
bull Bulk upload through the Member Portal web interface
bull Bulk upload via SFTP server
Uploading ndash Manual insertion
5 October 2017 London Stock Exchange Group Page 42
bull Short Code numerical value between 4 and 232-1
bull Long Code alphanumerical string of 50 characters Expected values are ndash Local Person Identifier
ndash Legal Entity Identifier
ndash Algorithm
bull Identifier Code Type ndash Natural Person
ndash Client LEI
ndash Algorithm
Uploading ndash Bulk upload (12)
5 October 2017 London Stock Exchange Group Page 43
Field Name
Mandatory
Description
Short Code
Y
4 ndash 4294967295
Long Code
Y
50 alphanumeric chars
Identifier Code Type
Y
L Client LEI
N Natural Person
A Algorithm
Notes
N
Free text field
Operation Type
Y
0 New
1 Update
2 Delete
Uploading ndash Bulk upload (22)
5 October 2017 London Stock Exchange Group Page 44
A new record reporting information on the outcome of the upload is displayed
bull Status ndash In Progress Published Published with errors Not Published
bull UserFile the userrsquos original csv
bull ResultFile a txt file containing the number of records added updated deleted
bull ErrorFile a csv file listing the records containing errors An Error Description field
is added to instruct the user of the error
Uploading ndash SFTP server
5 October 2017 London Stock Exchange Group Page 45
bull The csv file has the same layout as the one used to upload through the
member portal web interface
bull The only difference is that the file must have a specific naming convention
- Venue_ShortLongCodes_YYYYMMDD_NNcsv
bull The root folder of the sFTP server is the Firm ID which in turn contains an IN
and an OUT folder with respectively read-write and read only access
bull The IN folder will contain the bulk upload csv file while the OUT folder will
store Results File and Errors File (if one or more records are rejected)
Upload by difference or laquofrom scratchraquo
5 October 2017 London Stock Exchange Group Page 46
When uploading the file the user can choose to
bull insert modify and delete the existing set of short-long codes hence working by
difference
bull replace the whole list of existing short-long codes with the ones included in the
file hence working from scratch Operation Type can only be populated with 0
Constraints
5 October 2017 London Stock Exchange Group Page 47
bull Two different records can not have the same pair ltShort Code Identifier Code
Typegt
bull Local Person Identifier and Legal Identity Identifiers have to be used
respectively to identify a Natural Person and a LEI
bull Following a cancellation the upload of a new record with the same pair ltShort
Code Identifier Code Typegt will be rejected
When uploading mappings
5 October 2017 London Stock Exchange Group Page 48
bull Short CodeLong Code mappings must be uploaded within the market close
(time limit to be defined) of the same day as they are used as part of the
layout of market messages sent to the exchange
bull Trading participants failing to report the records at day T will be notified and
must download the Missing Short Codes report to find out the discrepancies
to be corrected
bull The Missing Short Code report for the day T is available at T+1 and it lists
the discrepancies of the last five working days
Additional Enhancements
5 October 2017 London Stock Exchange Group Page 49
bull Trader IDs
bull Risk Management users for pre-trade validation functionalities (PTV)
bull Self Execution Prevention
bull Market Making Strategies
bull Mass Cancellation
bull Back Office SELECT
bull Position Report as required by RTS 21 - Application of position limits to
commodity derivatives
Go live
5 October 2017 London Stock Exchange Group Page 50
bull The new Member Portal will go-live on November 2017
bull Trading participant will have a one month window to test the upload of
mappings on the Member Portal before the actual MIFID II go live on
January the 3rd
bull No validations on how short codes are used in the layout of market
messages will be performed except for formal integrity checks
bull The User Manual is already available online on both Borsa Italiana and
EuroTLX websites
5 October 2017 London Stock Exchange Group Page 51
TRADEcho
Roberto Fumagalli
Technical Account Manager
Client Technology Services Italy
POST TRADE TRANSPARENCY OBLIGATION
5 October 2017 London Stock Exchange Group Page 52
MiFID I requires customers to publish OTC trades done on equity instruments listed on European regulated markets Consob extended this obligation to all instruments listed on regulated market (including MOT SeDeX ETFPlus and MTS) MiFID II extends the reporting obligation to all instruments (equity and non equity) listed on European regulated markets MTF and OTF The service offered by Borsa Italiana (PTTS service) to fulfill this obligation will close on 27th November 2017 (release of MIT Platform MiFID II version compliant) LSEG will offer Post Trade Transparency facility for OTC trades via TRADEcho
5 October 2017 London Stock Exchange Group Page 53
TRADEcho
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
Deployment Schedule
5 October 2017 London Stock Exchange Group Page 4
bull Specifications for MIT 92 SOLA 11 and GTP 141 have been published in March 2017
bull CDS available on
ndash SOLA 11 CDS July 20th 2017
ndash MIT 92 and GTP CDS July 31st 2017
bull Dress Rehearsals on October 14th and November 4th 2017 for all markets (including EuroTLX)
ndash Participation to at least one Dress Rehearsal is mandatory
bull Go-Live on Monday November 27th 2017
ndash On Saturday November 25th 2017 a login test will be organized (to be confirmed)
ndash Go-live confirmation is subject to customer readiness
Conformance Test
5 October 2017 London Stock Exchange Group Page 5
bull Conformance Test is mandatory for all applications connecting to SOLA
MIT and GTP platforms
bull All the interconnected applications must execute the conformance test in order
to be allowed to take part to the Dress Rehearsals
bull Customers are warmly invited to contact the Market Access Team of
Borsa Italiana to schedule the Conformance Test as soon as possible
Reference Data amp Reconciliation Files
5 October 2017 London Stock Exchange Group Page 6
bull Reference Data Files will be enhanced with MiFID II relevant information layout
will change on November 27th 2017
bull Reconciliation Files for MIT markets will be extended with new MiFID II
information (Client IDs Execution and Investment Decision IDs Algo Flag DEA
Flag Waiver Indicators Post Trade Flags) layout will change on November
27th 2017
bull Reconciliation Files for IDEM markets (similar to the one provided for the MIT
platform) will be introduced on January 3rd 2017
MiFID II Deployment Guide
5 October 2017 London Stock Exchange Group Page 7
bull The MiFID II Deployment Guide has been issued on July 24th 2017
bull The Guide outlines
ndash the detailed plan of the application of all MiFID II related changes
ndash the guidelines to follow between the technical go-live on November 27th and the application of the MiFID II regulation on January 3rd 2017
ndash MiFID II activities have been split in 3 key dates
bull November 27th 2017 (Technical go-live)
bull January 2nd 2018
bull January 3rd 2018 (MiFID II come into force)
bull In the following slides a summary of the guide is presented
Protocol Changes
5 October 2017 London Stock Exchange Group Page 8
bull The new Protocols for Trading and Market Data applications
that will go-live on November 27th 2017 are not backward
compatible
ndash therefore all Trading and Market Data applications will have to be updated
to the new version
bull Timestamps will be disseminated with microseconds granularity
starting from November 27th 2017
Client Investment amp Exec IDs Algo amp DEA Flag
5 October 2017 London Stock Exchange Group Page 9
bull On November 27th a set of new fields will be required in order and quote entry messages (and sent back to client applications via Execution and Trade Capture Reports)
ndash Client ID
ndash Investment ID
ndash Execution ID
ndash Algo Flag
ndash DEA Flag
bull Although present in the protocol the content of the above fields will not be subject to any formal validation or cross check only basic technical validations outlined in platform specs will be applied
bull On January 3rd clients will be have the regulatory obligation to correctly fill in the above fields
ndash Guidelines document will be provided shortly
Waiver Indicators amp Post Trade Flags
5 October 2017 London Stock Exchange Group Page 10
bull Starting from November 27th 2017 a set of new fields will be added to
Execution Reports andor Trade Capture Reports sent to customers
ndash Waiver Indicators
ndash Post Trade Flags
bull The content of the above fields should not be considered as significant by
market participants until MiFID II legally enter into force on January 3rd 2018
Request for Quote (1)
5 October 2017 London Stock Exchange Group Page 11
bull With MiFID II RFQ can be
ndash No pre-trade transparency (NPT as it currently is on our markets)
ndash Partial pre-trade transparency (PPT)
ndash Full pre-trade transparency (FPT)
Request for Quote (2)
5 October 2017 London Stock Exchange Group Page 12
bull For PPT RFQs indicative Bid and Ask Prices of Quotes (average of Quotes Bid and Ask Prices sent by Market Makers active at execution) will be published via GTP (FDI channels only) and MITCH when (and if) the RFQ becomes executable and the RFQ trade is generated
bull For FPT RFQs all Market Makers Quotes (active at execution) will be published via GTP (FDI channels only) and MITCH when (and if) the RFQ becomes executable and the RFQ trade is generated
bull PPT and FTP models will be introduced on January 2nd 2018 (one day before MiFID II introduction)
Tick Table Policy (1)
5 October 2017 London Stock Exchange Group Page 13
bull Change of Tick Table policy (live on November 27th)
ndash from min boundary lt price lt= max boundary
ndash to min boundary lt= price lt max boundary
bull Introduction of new Tick Tables on MTA market (live on
January 3rd)
ndash Borsa Italiana will introduce 6 new tick size tables according to the
requirements defined by RTS 11 on January 3rd 2018
Tick Table Policy (2)
5 October 2017 London Stock Exchange Group Page 14
bull Introduction of new Tick Tables on ETF+ market
ndash the tick size table defined by RTS 11 corresponding to the highest average daily number of
transaction will be applied to ETFs with equity underlying (also for RFQ)
ndash for other ETFs and ETCsETNs a dedicated tick table will be introduced
bull RFQs on these instruments will use a fixed tick size equal to 00001 euro
ndash The above changes will go live on November 27th 2017
New ATF Trades Publication Model (1)
5 October 2017 London Stock Exchange Group Page 15
bull Trades on ATF instruments (ATF is a segment of ETF+) will be published via
Market Data services with the price (1euro as per convention) marked as Pending
bull Once NAV is received
ndash trades are rectified (price is set to the NAV)
ndash Market Data Services will publish the modification of Trades
bull Two messages will be sent via market Data Services (GTP and MITCH) one cancelling
the trade and one for re-publishing the trade with indication that an amendment has been
made
New ATF Trades Publication Model (2)
5 October 2017 London Stock Exchange Group Page 16
bull An ack of the modification of the trades will be sent to customers via a Trade
Capture Report sent by the Post Trade Gateway
bull GTP statistics for ATF will be calculated on the amended price (published
at T+1) and not on the pending one (published at T)
bull Changes to ATF Trades Publication Model will go live on November 27th
2017
Cross Orders on MIT
5 October 2017 London Stock Exchange Group Page 17
Instrument Type November 27th 2017 January 2nd 2018 January 3rd 2018
Shares bull Switch to volume-weighted spread price validation
bull For Liquid Shares Reject of Cross Orders when volume-weighted spread is not available
Liquid ETFs Reject of Cross Orders when volume-weighted spread is not available
Liquid ETCs ETNs Fixed Income
Cross Orders disabled
SeDeX Cross Orders disabled
Negotiated Transactions
5 October 2017 London Stock Exchange Group Page 18
bull New statistics calculation for Cross Orders (no updates to Last Trade Price
LowHigh Price) for both MIT and SOLA platforms starting from January 2nd 2018
ndash Stop or Stop Limit Orders will no longer be triggered by Cross Orders
ndash Prices of Cross Orders will not influence circuit breaker validations for the following trade
bull Switch from quantity to value-based control for the minimum size of a Block Trade
on MIT markets on November 27th 2017
bull Reject execution of negotiated transactions below the pre-trade LIS threshold for
liquid products on IDEM market on January 2nd 2018
New trading Capacities
5 October 2017 London Stock Exchange Group Page 19
bull on January 3rd 2018
ndash the new Matched Principal Trading Capacity will be added (according to membership
trading authorizations) to existing ones on both the Borsa Italiana MIT and the SOLA
markets
ndash The two new Matched Principal and Un-Matched Principal Trading Capacities will be
enabled on EuroTLX
bull dedicated Comp IDs must be requested by Brokers authorized to use Matched
Principal andor Unmatched Principal Trading Capacities
bull it will be possible to use Matched Principal andor Unmatched Principal Trading
Capacities only via the dedicated Comp IDs described above
Other Changes (1)
5 October 2017 London Stock Exchange Group Page 20
bull on November 27th 2017
ndash Introduction of new pre-trade controls on maximum order value on MIT platform and on maximum order notional value on SOLA platform
ndash Iceberg orders
bull Introduction of a control on the minimum value of iceberg orders on the MIT platform
bull switch from quantity to value-based control for the minimum peak size
bull Introduction of a control on minimum notional value on SOLA platform
ndash Changes to EMS and EMS multiplier parameters for the ETF+ market
bull on January 2nd 2018
ndash Changes to EMS and EMS multiplier parameters for the SeDeX market
Other Changes (2)
5 October 2017 London Stock Exchange Group Page 21
bull On November 27th 2017 the classification of lsquoliquidrsquo vs lsquonot liquidrsquo will be included in reference
data
ndash Shares according to current MiFID classification
ndash Fixed income instruments ETFs ETCs and ETNs all classified as lsquoilliquidrsquo pending ESMArsquos
classification
ndash SeDeX will be set as Liquid according to ESMArsquos MiFID II classification
ndash IDEM according to ESMArsquos MiFID II classification
bull On November 27th 2017 the CPP (Closing Price Publication) session will be removed
Closing Prices will be disseminated
ndash At the beginning of the Post Close session for segments that do not have a Closing Auction
ndash At the end of the Closing Auction session for segments that do have a Closing Auction
Market MakingLiquidity Provision (1)
5 October 2017 London Stock Exchange Group Page 22
bull on MIT Market MakersLiquidity Providers are and will be given one or more
dedicated Comp ID(s) in order to segregate Market MakingLiquidity Provision
activity
bull on SOLA Market MakersLiquidity Providers are and will be given one or more
dedicated Trader ID(s) in order to segregate Market MakingLiquidity Provision
activity
bull a dedicated Naming Convention is applied to Comp IDs and Trader IDs used
for Market MakingLiquidity Provision activity
Market MakingLiquidity Provision (2)
5 October 2017 London Stock Exchange Group Page 23
bull Market MakersLiquidity Providers send (single or dual side) quotes most of the time but under certain circumstances (depending on the type of activity) may send orders
ndash operators have to restrict the use of the dedicated Comp IDTrader ID to the liquidity provision activity using quotes or orders according to what is requested by the Market Making programs in place independently from the fact that no technical restrictions will be put in place
bull For existing Market Making programs
ndash We are restricting MIT Specialist Comp IDs to send orders only on the subset of instruments they are associated for Specialist activity (work in progress migration based on individual client migration plan)
ndash We will restrict SOLA Market Making Trader IDs to send orders only on the subset of instruments they are associated for Market Making activity starting from November 27th 2017
Market MakingLiquidity Provision (3)
5 October 2017 London Stock Exchange Group Page 24
bull New MiFID II Market Making SchemeAgreements (starting from January 3rd
2018)
ndash Member Firms that will subscribe for the new SchemeAgreements will be given dedicated
Comp IDs (for MIT markets) and Trader IDs
ndash Member Firms will decide whether to perform this activity via quotes and orders or via
orders only
bull On SeDeX Member Firms that will subscribe for the new SchemeAgreements will be
allowed to use orders only
Stressed Market Conditions
5 October 2017 London Stock Exchange Group Page 25
bull Stressed Market Conditions will be defined at rulebook level
bull Notification to customers of ldquoStressed Market Conditionsrdquo
ndash No specific market changes will be introduced for notifying customers when ldquoStressed Market
Conditionsrdquo occur
ndash on MIT
bull ldquoStressed Market Conditionsrdquo will be derived from ldquocircuit breakerrdquo period plus ldquonrdquo seconds after
bull Announcement messages will be disseminated in order to announce ldquoStressed Market
Conditionsrdquo
ndash on SOLA Bulletin messages will be disseminated in order to announce ldquoStressed Market
Conditionsrdquo
Legacy CDS
5 October 2017 London Stock Exchange Group Page 26
bull In order to facilitate the testing of software applications and customer
algorithms a new test environment will be provided in parallel to the existing
one starting from Q1 2018
ndash a Legacy CDS will be provided for all the Trading and Market Data services of the Grouprsquos
Trading Venues
ndash the new environment will be continuously aligned with production in terms of Software
Version of Trading and Market Data Systems and Reference Data
Borsa Italiana Post Trade Transparency Service
5 October 2017 London Stock Exchange Group Page 27
bull The existing Borsa Italianarsquos Post Trade Transparency
Service will be discontinued with MiFID II
bull For technical reasons together with the MiFID II technical go-
live (November 27th 2017) it will not be possible to keep
providing the Post Trade Transparency Service
bull LSEG will offer Post Trade Transparency facility for OTC
trades via TRADEcho (see following presentation)
Transaction Reporting (1)
5 October 2017 London Stock Exchange Group Page 28
bull RTS 22 and other RTS do not specify constraints on the
format of the Trading Venue Trade Identification Code
(TVTIC) used by Trading venues apart from
ndash Trade ID should be unique
ndash Trade ID should be an alphanumerical string of maximum 52
characters
bull The MiFID II Transaction Reporting Validation Rules
published by ESMA state that TVTIC must be made of capital
letters and numbers
Transaction Reporting (2)
5 October 2017 London Stock Exchange Group Page 29
bull On MIT Trade ID is unique per Market and is
ndash a 8 bytes number on the NTG interface and on MITCH and GTP
ndash ldquoTrdquo concatenated to an alphanumerical string corresponding to the
above ID base 62 encoded on FIX (Trading Drop Copy and Post
Trade Gateways)
ndash The alphanumerical identifier described above
bull is sent to downstream systems (Post Trading Clearing Settlement)
bull is published in reconciliation reports
bull is currently used for Transaction reporting purposes
bull is a case sensitive alphanumerical string
Transaction Reporting (3)
5 October 2017 London Stock Exchange Group Page 30
bull On SOLA
ndash the currently used Trade ID is a progressive number unique per
instrument
ndash In order to have a unique ID it has been decided to use the above
Trade ID concatenated with the SICO Code (Group ID + Instrument ID)
for Transaction Reporting purposes
ndash The SICO Code is case sensitive therefore the ID made of the
platformrsquos Trade ID concatenated with the SICO Code is a case
sensitive alphanumerical string
Transaction Reporting (4)
5 October 2017 London Stock Exchange Group Page 31
bull We will rely on different TVTICs for Transaction Reporting
purposes using
ndash on MIT the 8 bytes number used on the NTG interface and on MITCH
and GTP asking FIX clients to apply the already documented base 62
decoding algorithm
ndash on SOLA the base 62 decoded version of the identifier described in
the previous slide
bull TVTIC will be provided on Reconciliation Files
Borsa Italiana Transaction Reporting Service
5 October 2017 London Stock Exchange Group Page 32
bull The existing Borsa Italianarsquos Transaction Reporting
Service will close together with the go-live of MiFID II
bull The Transaction Reporting Service will be active until the
introduction of MiFID II on January 3rd 2018
bull LSEG will offer Transaction Reporting facility via UnaVista
another company of LSEG that will apply as ARM (Approved
Reporting Mechanism)
5 October 2017 London Stock Exchange Group Page 33
IDEM Key Information Documents
Enrico Pellizzoni
Head of Italy Equity Markets and Derivatives Products
PRIIPs Regulation (IDEM) (1)
5 October 2017 London Stock Exchange Group Page 34
bull BIt will to produce KIDs (Key Information Documents) for IDEM contracts
bull Borsa Italiana will follow an lsquoaggregated approachrsquo as allowed from recent ESMArsquos QampA 14 KIDs will be produced to describe existing IDEM contracts
bull a KID will identify ISINs sharing the same contract specifications expected payoff and fee structure
ndash call options vs put options on the same contract ndash 2 different KIDs
ndash single name derivatives will have a single aggregated KID for each product category (not for each individual underlying)
ndash weekly expiries are not identified by a separate KID
bull Description of costs will include fees that BIt is charging to its market participants Brokers must inform retail clients about their own costs
PRIIPs Regulation (IDEM) (2)
5 October 2017 London Stock Exchange Group Page 35
1 Futures on FTSE MIB
2 Mini futures on FTSE MIB
3 Futures on FTSE MIB dividend
4 Call options on FTSE MIB
5 Put options on FTSE MIB
6 Stock futures
7 Stock dividend futures
8 Single stock call options
9 Single stock put options
10Baseload Italian power futures
11Peakload Italian power futures
12Baseload German power futures
13Peakload German power futures
14Durum wheat futures
PRIIPs Regulation (IDEM) (3)
5 October 2017 London Stock Exchange Group Page 36
bull Available as pdf files free of charge in a dedicated webpage
wwwborsaitalianaitderivatikidskidsenhtm
bull File names with a dedicated convention linked to reference data and downloadable also as
wwwborsaitalianaitderivatikids[filename]pdf
bull Available for download via ftp server (MIT 702)
bull Reviewed at least yearly (or in case of changes to contract specs expected payoff fee structure)
bull Available in Italian English Spanish German and French Additional translations will be evaluated in due course
5 October 2017 London Stock Exchange Group Page 37
Member Portal
Antonello Greco
Technical Account Manager
Client Technology Services Italy
RTS 24 - Requirements
5 October 2017 London Stock Exchange Group Page 38
bull Client Identification code Identifier of the Client (Local Person Identifier or
Legal Entity Identifier) for client orders only
bull Investment Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the investment decision
bull Execution Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the execution decision
Long Code ndash Short Code mapping
5 October 2017 London Stock Exchange Group Page 39
Long Code Short Code
Market messages Client ID Investment Decision Maker Executing Trader
Short Codes ndash Reserved values
5 October 2017 London Stock Exchange Group Page 40
bull 0 None Valid for Client ID and Investment Decision ID
bull 1 AGGR where several orders are submitted to the trading venue together as
an aggregated Valid for Client ID only
bull 2 PNAL where a trading participant allocates an order to its client following
submission of the order to the trading venue and has not yet allocated the
order to its client at the time of the submission of the order Valid for Client ID
only
bull 3 CLIENT valid for Execution Decision ID only
Uploading ndash Three options
5 October 2017 London Stock Exchange Group Page 41
A trading firm will manage the short-long code mappings in a new section of the
Member Portal in the following ways
bull Manual insertion
bull Bulk upload through the Member Portal web interface
bull Bulk upload via SFTP server
Uploading ndash Manual insertion
5 October 2017 London Stock Exchange Group Page 42
bull Short Code numerical value between 4 and 232-1
bull Long Code alphanumerical string of 50 characters Expected values are ndash Local Person Identifier
ndash Legal Entity Identifier
ndash Algorithm
bull Identifier Code Type ndash Natural Person
ndash Client LEI
ndash Algorithm
Uploading ndash Bulk upload (12)
5 October 2017 London Stock Exchange Group Page 43
Field Name
Mandatory
Description
Short Code
Y
4 ndash 4294967295
Long Code
Y
50 alphanumeric chars
Identifier Code Type
Y
L Client LEI
N Natural Person
A Algorithm
Notes
N
Free text field
Operation Type
Y
0 New
1 Update
2 Delete
Uploading ndash Bulk upload (22)
5 October 2017 London Stock Exchange Group Page 44
A new record reporting information on the outcome of the upload is displayed
bull Status ndash In Progress Published Published with errors Not Published
bull UserFile the userrsquos original csv
bull ResultFile a txt file containing the number of records added updated deleted
bull ErrorFile a csv file listing the records containing errors An Error Description field
is added to instruct the user of the error
Uploading ndash SFTP server
5 October 2017 London Stock Exchange Group Page 45
bull The csv file has the same layout as the one used to upload through the
member portal web interface
bull The only difference is that the file must have a specific naming convention
- Venue_ShortLongCodes_YYYYMMDD_NNcsv
bull The root folder of the sFTP server is the Firm ID which in turn contains an IN
and an OUT folder with respectively read-write and read only access
bull The IN folder will contain the bulk upload csv file while the OUT folder will
store Results File and Errors File (if one or more records are rejected)
Upload by difference or laquofrom scratchraquo
5 October 2017 London Stock Exchange Group Page 46
When uploading the file the user can choose to
bull insert modify and delete the existing set of short-long codes hence working by
difference
bull replace the whole list of existing short-long codes with the ones included in the
file hence working from scratch Operation Type can only be populated with 0
Constraints
5 October 2017 London Stock Exchange Group Page 47
bull Two different records can not have the same pair ltShort Code Identifier Code
Typegt
bull Local Person Identifier and Legal Identity Identifiers have to be used
respectively to identify a Natural Person and a LEI
bull Following a cancellation the upload of a new record with the same pair ltShort
Code Identifier Code Typegt will be rejected
When uploading mappings
5 October 2017 London Stock Exchange Group Page 48
bull Short CodeLong Code mappings must be uploaded within the market close
(time limit to be defined) of the same day as they are used as part of the
layout of market messages sent to the exchange
bull Trading participants failing to report the records at day T will be notified and
must download the Missing Short Codes report to find out the discrepancies
to be corrected
bull The Missing Short Code report for the day T is available at T+1 and it lists
the discrepancies of the last five working days
Additional Enhancements
5 October 2017 London Stock Exchange Group Page 49
bull Trader IDs
bull Risk Management users for pre-trade validation functionalities (PTV)
bull Self Execution Prevention
bull Market Making Strategies
bull Mass Cancellation
bull Back Office SELECT
bull Position Report as required by RTS 21 - Application of position limits to
commodity derivatives
Go live
5 October 2017 London Stock Exchange Group Page 50
bull The new Member Portal will go-live on November 2017
bull Trading participant will have a one month window to test the upload of
mappings on the Member Portal before the actual MIFID II go live on
January the 3rd
bull No validations on how short codes are used in the layout of market
messages will be performed except for formal integrity checks
bull The User Manual is already available online on both Borsa Italiana and
EuroTLX websites
5 October 2017 London Stock Exchange Group Page 51
TRADEcho
Roberto Fumagalli
Technical Account Manager
Client Technology Services Italy
POST TRADE TRANSPARENCY OBLIGATION
5 October 2017 London Stock Exchange Group Page 52
MiFID I requires customers to publish OTC trades done on equity instruments listed on European regulated markets Consob extended this obligation to all instruments listed on regulated market (including MOT SeDeX ETFPlus and MTS) MiFID II extends the reporting obligation to all instruments (equity and non equity) listed on European regulated markets MTF and OTF The service offered by Borsa Italiana (PTTS service) to fulfill this obligation will close on 27th November 2017 (release of MIT Platform MiFID II version compliant) LSEG will offer Post Trade Transparency facility for OTC trades via TRADEcho
5 October 2017 London Stock Exchange Group Page 53
TRADEcho
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
Conformance Test
5 October 2017 London Stock Exchange Group Page 5
bull Conformance Test is mandatory for all applications connecting to SOLA
MIT and GTP platforms
bull All the interconnected applications must execute the conformance test in order
to be allowed to take part to the Dress Rehearsals
bull Customers are warmly invited to contact the Market Access Team of
Borsa Italiana to schedule the Conformance Test as soon as possible
Reference Data amp Reconciliation Files
5 October 2017 London Stock Exchange Group Page 6
bull Reference Data Files will be enhanced with MiFID II relevant information layout
will change on November 27th 2017
bull Reconciliation Files for MIT markets will be extended with new MiFID II
information (Client IDs Execution and Investment Decision IDs Algo Flag DEA
Flag Waiver Indicators Post Trade Flags) layout will change on November
27th 2017
bull Reconciliation Files for IDEM markets (similar to the one provided for the MIT
platform) will be introduced on January 3rd 2017
MiFID II Deployment Guide
5 October 2017 London Stock Exchange Group Page 7
bull The MiFID II Deployment Guide has been issued on July 24th 2017
bull The Guide outlines
ndash the detailed plan of the application of all MiFID II related changes
ndash the guidelines to follow between the technical go-live on November 27th and the application of the MiFID II regulation on January 3rd 2017
ndash MiFID II activities have been split in 3 key dates
bull November 27th 2017 (Technical go-live)
bull January 2nd 2018
bull January 3rd 2018 (MiFID II come into force)
bull In the following slides a summary of the guide is presented
Protocol Changes
5 October 2017 London Stock Exchange Group Page 8
bull The new Protocols for Trading and Market Data applications
that will go-live on November 27th 2017 are not backward
compatible
ndash therefore all Trading and Market Data applications will have to be updated
to the new version
bull Timestamps will be disseminated with microseconds granularity
starting from November 27th 2017
Client Investment amp Exec IDs Algo amp DEA Flag
5 October 2017 London Stock Exchange Group Page 9
bull On November 27th a set of new fields will be required in order and quote entry messages (and sent back to client applications via Execution and Trade Capture Reports)
ndash Client ID
ndash Investment ID
ndash Execution ID
ndash Algo Flag
ndash DEA Flag
bull Although present in the protocol the content of the above fields will not be subject to any formal validation or cross check only basic technical validations outlined in platform specs will be applied
bull On January 3rd clients will be have the regulatory obligation to correctly fill in the above fields
ndash Guidelines document will be provided shortly
Waiver Indicators amp Post Trade Flags
5 October 2017 London Stock Exchange Group Page 10
bull Starting from November 27th 2017 a set of new fields will be added to
Execution Reports andor Trade Capture Reports sent to customers
ndash Waiver Indicators
ndash Post Trade Flags
bull The content of the above fields should not be considered as significant by
market participants until MiFID II legally enter into force on January 3rd 2018
Request for Quote (1)
5 October 2017 London Stock Exchange Group Page 11
bull With MiFID II RFQ can be
ndash No pre-trade transparency (NPT as it currently is on our markets)
ndash Partial pre-trade transparency (PPT)
ndash Full pre-trade transparency (FPT)
Request for Quote (2)
5 October 2017 London Stock Exchange Group Page 12
bull For PPT RFQs indicative Bid and Ask Prices of Quotes (average of Quotes Bid and Ask Prices sent by Market Makers active at execution) will be published via GTP (FDI channels only) and MITCH when (and if) the RFQ becomes executable and the RFQ trade is generated
bull For FPT RFQs all Market Makers Quotes (active at execution) will be published via GTP (FDI channels only) and MITCH when (and if) the RFQ becomes executable and the RFQ trade is generated
bull PPT and FTP models will be introduced on January 2nd 2018 (one day before MiFID II introduction)
Tick Table Policy (1)
5 October 2017 London Stock Exchange Group Page 13
bull Change of Tick Table policy (live on November 27th)
ndash from min boundary lt price lt= max boundary
ndash to min boundary lt= price lt max boundary
bull Introduction of new Tick Tables on MTA market (live on
January 3rd)
ndash Borsa Italiana will introduce 6 new tick size tables according to the
requirements defined by RTS 11 on January 3rd 2018
Tick Table Policy (2)
5 October 2017 London Stock Exchange Group Page 14
bull Introduction of new Tick Tables on ETF+ market
ndash the tick size table defined by RTS 11 corresponding to the highest average daily number of
transaction will be applied to ETFs with equity underlying (also for RFQ)
ndash for other ETFs and ETCsETNs a dedicated tick table will be introduced
bull RFQs on these instruments will use a fixed tick size equal to 00001 euro
ndash The above changes will go live on November 27th 2017
New ATF Trades Publication Model (1)
5 October 2017 London Stock Exchange Group Page 15
bull Trades on ATF instruments (ATF is a segment of ETF+) will be published via
Market Data services with the price (1euro as per convention) marked as Pending
bull Once NAV is received
ndash trades are rectified (price is set to the NAV)
ndash Market Data Services will publish the modification of Trades
bull Two messages will be sent via market Data Services (GTP and MITCH) one cancelling
the trade and one for re-publishing the trade with indication that an amendment has been
made
New ATF Trades Publication Model (2)
5 October 2017 London Stock Exchange Group Page 16
bull An ack of the modification of the trades will be sent to customers via a Trade
Capture Report sent by the Post Trade Gateway
bull GTP statistics for ATF will be calculated on the amended price (published
at T+1) and not on the pending one (published at T)
bull Changes to ATF Trades Publication Model will go live on November 27th
2017
Cross Orders on MIT
5 October 2017 London Stock Exchange Group Page 17
Instrument Type November 27th 2017 January 2nd 2018 January 3rd 2018
Shares bull Switch to volume-weighted spread price validation
bull For Liquid Shares Reject of Cross Orders when volume-weighted spread is not available
Liquid ETFs Reject of Cross Orders when volume-weighted spread is not available
Liquid ETCs ETNs Fixed Income
Cross Orders disabled
SeDeX Cross Orders disabled
Negotiated Transactions
5 October 2017 London Stock Exchange Group Page 18
bull New statistics calculation for Cross Orders (no updates to Last Trade Price
LowHigh Price) for both MIT and SOLA platforms starting from January 2nd 2018
ndash Stop or Stop Limit Orders will no longer be triggered by Cross Orders
ndash Prices of Cross Orders will not influence circuit breaker validations for the following trade
bull Switch from quantity to value-based control for the minimum size of a Block Trade
on MIT markets on November 27th 2017
bull Reject execution of negotiated transactions below the pre-trade LIS threshold for
liquid products on IDEM market on January 2nd 2018
New trading Capacities
5 October 2017 London Stock Exchange Group Page 19
bull on January 3rd 2018
ndash the new Matched Principal Trading Capacity will be added (according to membership
trading authorizations) to existing ones on both the Borsa Italiana MIT and the SOLA
markets
ndash The two new Matched Principal and Un-Matched Principal Trading Capacities will be
enabled on EuroTLX
bull dedicated Comp IDs must be requested by Brokers authorized to use Matched
Principal andor Unmatched Principal Trading Capacities
bull it will be possible to use Matched Principal andor Unmatched Principal Trading
Capacities only via the dedicated Comp IDs described above
Other Changes (1)
5 October 2017 London Stock Exchange Group Page 20
bull on November 27th 2017
ndash Introduction of new pre-trade controls on maximum order value on MIT platform and on maximum order notional value on SOLA platform
ndash Iceberg orders
bull Introduction of a control on the minimum value of iceberg orders on the MIT platform
bull switch from quantity to value-based control for the minimum peak size
bull Introduction of a control on minimum notional value on SOLA platform
ndash Changes to EMS and EMS multiplier parameters for the ETF+ market
bull on January 2nd 2018
ndash Changes to EMS and EMS multiplier parameters for the SeDeX market
Other Changes (2)
5 October 2017 London Stock Exchange Group Page 21
bull On November 27th 2017 the classification of lsquoliquidrsquo vs lsquonot liquidrsquo will be included in reference
data
ndash Shares according to current MiFID classification
ndash Fixed income instruments ETFs ETCs and ETNs all classified as lsquoilliquidrsquo pending ESMArsquos
classification
ndash SeDeX will be set as Liquid according to ESMArsquos MiFID II classification
ndash IDEM according to ESMArsquos MiFID II classification
bull On November 27th 2017 the CPP (Closing Price Publication) session will be removed
Closing Prices will be disseminated
ndash At the beginning of the Post Close session for segments that do not have a Closing Auction
ndash At the end of the Closing Auction session for segments that do have a Closing Auction
Market MakingLiquidity Provision (1)
5 October 2017 London Stock Exchange Group Page 22
bull on MIT Market MakersLiquidity Providers are and will be given one or more
dedicated Comp ID(s) in order to segregate Market MakingLiquidity Provision
activity
bull on SOLA Market MakersLiquidity Providers are and will be given one or more
dedicated Trader ID(s) in order to segregate Market MakingLiquidity Provision
activity
bull a dedicated Naming Convention is applied to Comp IDs and Trader IDs used
for Market MakingLiquidity Provision activity
Market MakingLiquidity Provision (2)
5 October 2017 London Stock Exchange Group Page 23
bull Market MakersLiquidity Providers send (single or dual side) quotes most of the time but under certain circumstances (depending on the type of activity) may send orders
ndash operators have to restrict the use of the dedicated Comp IDTrader ID to the liquidity provision activity using quotes or orders according to what is requested by the Market Making programs in place independently from the fact that no technical restrictions will be put in place
bull For existing Market Making programs
ndash We are restricting MIT Specialist Comp IDs to send orders only on the subset of instruments they are associated for Specialist activity (work in progress migration based on individual client migration plan)
ndash We will restrict SOLA Market Making Trader IDs to send orders only on the subset of instruments they are associated for Market Making activity starting from November 27th 2017
Market MakingLiquidity Provision (3)
5 October 2017 London Stock Exchange Group Page 24
bull New MiFID II Market Making SchemeAgreements (starting from January 3rd
2018)
ndash Member Firms that will subscribe for the new SchemeAgreements will be given dedicated
Comp IDs (for MIT markets) and Trader IDs
ndash Member Firms will decide whether to perform this activity via quotes and orders or via
orders only
bull On SeDeX Member Firms that will subscribe for the new SchemeAgreements will be
allowed to use orders only
Stressed Market Conditions
5 October 2017 London Stock Exchange Group Page 25
bull Stressed Market Conditions will be defined at rulebook level
bull Notification to customers of ldquoStressed Market Conditionsrdquo
ndash No specific market changes will be introduced for notifying customers when ldquoStressed Market
Conditionsrdquo occur
ndash on MIT
bull ldquoStressed Market Conditionsrdquo will be derived from ldquocircuit breakerrdquo period plus ldquonrdquo seconds after
bull Announcement messages will be disseminated in order to announce ldquoStressed Market
Conditionsrdquo
ndash on SOLA Bulletin messages will be disseminated in order to announce ldquoStressed Market
Conditionsrdquo
Legacy CDS
5 October 2017 London Stock Exchange Group Page 26
bull In order to facilitate the testing of software applications and customer
algorithms a new test environment will be provided in parallel to the existing
one starting from Q1 2018
ndash a Legacy CDS will be provided for all the Trading and Market Data services of the Grouprsquos
Trading Venues
ndash the new environment will be continuously aligned with production in terms of Software
Version of Trading and Market Data Systems and Reference Data
Borsa Italiana Post Trade Transparency Service
5 October 2017 London Stock Exchange Group Page 27
bull The existing Borsa Italianarsquos Post Trade Transparency
Service will be discontinued with MiFID II
bull For technical reasons together with the MiFID II technical go-
live (November 27th 2017) it will not be possible to keep
providing the Post Trade Transparency Service
bull LSEG will offer Post Trade Transparency facility for OTC
trades via TRADEcho (see following presentation)
Transaction Reporting (1)
5 October 2017 London Stock Exchange Group Page 28
bull RTS 22 and other RTS do not specify constraints on the
format of the Trading Venue Trade Identification Code
(TVTIC) used by Trading venues apart from
ndash Trade ID should be unique
ndash Trade ID should be an alphanumerical string of maximum 52
characters
bull The MiFID II Transaction Reporting Validation Rules
published by ESMA state that TVTIC must be made of capital
letters and numbers
Transaction Reporting (2)
5 October 2017 London Stock Exchange Group Page 29
bull On MIT Trade ID is unique per Market and is
ndash a 8 bytes number on the NTG interface and on MITCH and GTP
ndash ldquoTrdquo concatenated to an alphanumerical string corresponding to the
above ID base 62 encoded on FIX (Trading Drop Copy and Post
Trade Gateways)
ndash The alphanumerical identifier described above
bull is sent to downstream systems (Post Trading Clearing Settlement)
bull is published in reconciliation reports
bull is currently used for Transaction reporting purposes
bull is a case sensitive alphanumerical string
Transaction Reporting (3)
5 October 2017 London Stock Exchange Group Page 30
bull On SOLA
ndash the currently used Trade ID is a progressive number unique per
instrument
ndash In order to have a unique ID it has been decided to use the above
Trade ID concatenated with the SICO Code (Group ID + Instrument ID)
for Transaction Reporting purposes
ndash The SICO Code is case sensitive therefore the ID made of the
platformrsquos Trade ID concatenated with the SICO Code is a case
sensitive alphanumerical string
Transaction Reporting (4)
5 October 2017 London Stock Exchange Group Page 31
bull We will rely on different TVTICs for Transaction Reporting
purposes using
ndash on MIT the 8 bytes number used on the NTG interface and on MITCH
and GTP asking FIX clients to apply the already documented base 62
decoding algorithm
ndash on SOLA the base 62 decoded version of the identifier described in
the previous slide
bull TVTIC will be provided on Reconciliation Files
Borsa Italiana Transaction Reporting Service
5 October 2017 London Stock Exchange Group Page 32
bull The existing Borsa Italianarsquos Transaction Reporting
Service will close together with the go-live of MiFID II
bull The Transaction Reporting Service will be active until the
introduction of MiFID II on January 3rd 2018
bull LSEG will offer Transaction Reporting facility via UnaVista
another company of LSEG that will apply as ARM (Approved
Reporting Mechanism)
5 October 2017 London Stock Exchange Group Page 33
IDEM Key Information Documents
Enrico Pellizzoni
Head of Italy Equity Markets and Derivatives Products
PRIIPs Regulation (IDEM) (1)
5 October 2017 London Stock Exchange Group Page 34
bull BIt will to produce KIDs (Key Information Documents) for IDEM contracts
bull Borsa Italiana will follow an lsquoaggregated approachrsquo as allowed from recent ESMArsquos QampA 14 KIDs will be produced to describe existing IDEM contracts
bull a KID will identify ISINs sharing the same contract specifications expected payoff and fee structure
ndash call options vs put options on the same contract ndash 2 different KIDs
ndash single name derivatives will have a single aggregated KID for each product category (not for each individual underlying)
ndash weekly expiries are not identified by a separate KID
bull Description of costs will include fees that BIt is charging to its market participants Brokers must inform retail clients about their own costs
PRIIPs Regulation (IDEM) (2)
5 October 2017 London Stock Exchange Group Page 35
1 Futures on FTSE MIB
2 Mini futures on FTSE MIB
3 Futures on FTSE MIB dividend
4 Call options on FTSE MIB
5 Put options on FTSE MIB
6 Stock futures
7 Stock dividend futures
8 Single stock call options
9 Single stock put options
10Baseload Italian power futures
11Peakload Italian power futures
12Baseload German power futures
13Peakload German power futures
14Durum wheat futures
PRIIPs Regulation (IDEM) (3)
5 October 2017 London Stock Exchange Group Page 36
bull Available as pdf files free of charge in a dedicated webpage
wwwborsaitalianaitderivatikidskidsenhtm
bull File names with a dedicated convention linked to reference data and downloadable also as
wwwborsaitalianaitderivatikids[filename]pdf
bull Available for download via ftp server (MIT 702)
bull Reviewed at least yearly (or in case of changes to contract specs expected payoff fee structure)
bull Available in Italian English Spanish German and French Additional translations will be evaluated in due course
5 October 2017 London Stock Exchange Group Page 37
Member Portal
Antonello Greco
Technical Account Manager
Client Technology Services Italy
RTS 24 - Requirements
5 October 2017 London Stock Exchange Group Page 38
bull Client Identification code Identifier of the Client (Local Person Identifier or
Legal Entity Identifier) for client orders only
bull Investment Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the investment decision
bull Execution Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the execution decision
Long Code ndash Short Code mapping
5 October 2017 London Stock Exchange Group Page 39
Long Code Short Code
Market messages Client ID Investment Decision Maker Executing Trader
Short Codes ndash Reserved values
5 October 2017 London Stock Exchange Group Page 40
bull 0 None Valid for Client ID and Investment Decision ID
bull 1 AGGR where several orders are submitted to the trading venue together as
an aggregated Valid for Client ID only
bull 2 PNAL where a trading participant allocates an order to its client following
submission of the order to the trading venue and has not yet allocated the
order to its client at the time of the submission of the order Valid for Client ID
only
bull 3 CLIENT valid for Execution Decision ID only
Uploading ndash Three options
5 October 2017 London Stock Exchange Group Page 41
A trading firm will manage the short-long code mappings in a new section of the
Member Portal in the following ways
bull Manual insertion
bull Bulk upload through the Member Portal web interface
bull Bulk upload via SFTP server
Uploading ndash Manual insertion
5 October 2017 London Stock Exchange Group Page 42
bull Short Code numerical value between 4 and 232-1
bull Long Code alphanumerical string of 50 characters Expected values are ndash Local Person Identifier
ndash Legal Entity Identifier
ndash Algorithm
bull Identifier Code Type ndash Natural Person
ndash Client LEI
ndash Algorithm
Uploading ndash Bulk upload (12)
5 October 2017 London Stock Exchange Group Page 43
Field Name
Mandatory
Description
Short Code
Y
4 ndash 4294967295
Long Code
Y
50 alphanumeric chars
Identifier Code Type
Y
L Client LEI
N Natural Person
A Algorithm
Notes
N
Free text field
Operation Type
Y
0 New
1 Update
2 Delete
Uploading ndash Bulk upload (22)
5 October 2017 London Stock Exchange Group Page 44
A new record reporting information on the outcome of the upload is displayed
bull Status ndash In Progress Published Published with errors Not Published
bull UserFile the userrsquos original csv
bull ResultFile a txt file containing the number of records added updated deleted
bull ErrorFile a csv file listing the records containing errors An Error Description field
is added to instruct the user of the error
Uploading ndash SFTP server
5 October 2017 London Stock Exchange Group Page 45
bull The csv file has the same layout as the one used to upload through the
member portal web interface
bull The only difference is that the file must have a specific naming convention
- Venue_ShortLongCodes_YYYYMMDD_NNcsv
bull The root folder of the sFTP server is the Firm ID which in turn contains an IN
and an OUT folder with respectively read-write and read only access
bull The IN folder will contain the bulk upload csv file while the OUT folder will
store Results File and Errors File (if one or more records are rejected)
Upload by difference or laquofrom scratchraquo
5 October 2017 London Stock Exchange Group Page 46
When uploading the file the user can choose to
bull insert modify and delete the existing set of short-long codes hence working by
difference
bull replace the whole list of existing short-long codes with the ones included in the
file hence working from scratch Operation Type can only be populated with 0
Constraints
5 October 2017 London Stock Exchange Group Page 47
bull Two different records can not have the same pair ltShort Code Identifier Code
Typegt
bull Local Person Identifier and Legal Identity Identifiers have to be used
respectively to identify a Natural Person and a LEI
bull Following a cancellation the upload of a new record with the same pair ltShort
Code Identifier Code Typegt will be rejected
When uploading mappings
5 October 2017 London Stock Exchange Group Page 48
bull Short CodeLong Code mappings must be uploaded within the market close
(time limit to be defined) of the same day as they are used as part of the
layout of market messages sent to the exchange
bull Trading participants failing to report the records at day T will be notified and
must download the Missing Short Codes report to find out the discrepancies
to be corrected
bull The Missing Short Code report for the day T is available at T+1 and it lists
the discrepancies of the last five working days
Additional Enhancements
5 October 2017 London Stock Exchange Group Page 49
bull Trader IDs
bull Risk Management users for pre-trade validation functionalities (PTV)
bull Self Execution Prevention
bull Market Making Strategies
bull Mass Cancellation
bull Back Office SELECT
bull Position Report as required by RTS 21 - Application of position limits to
commodity derivatives
Go live
5 October 2017 London Stock Exchange Group Page 50
bull The new Member Portal will go-live on November 2017
bull Trading participant will have a one month window to test the upload of
mappings on the Member Portal before the actual MIFID II go live on
January the 3rd
bull No validations on how short codes are used in the layout of market
messages will be performed except for formal integrity checks
bull The User Manual is already available online on both Borsa Italiana and
EuroTLX websites
5 October 2017 London Stock Exchange Group Page 51
TRADEcho
Roberto Fumagalli
Technical Account Manager
Client Technology Services Italy
POST TRADE TRANSPARENCY OBLIGATION
5 October 2017 London Stock Exchange Group Page 52
MiFID I requires customers to publish OTC trades done on equity instruments listed on European regulated markets Consob extended this obligation to all instruments listed on regulated market (including MOT SeDeX ETFPlus and MTS) MiFID II extends the reporting obligation to all instruments (equity and non equity) listed on European regulated markets MTF and OTF The service offered by Borsa Italiana (PTTS service) to fulfill this obligation will close on 27th November 2017 (release of MIT Platform MiFID II version compliant) LSEG will offer Post Trade Transparency facility for OTC trades via TRADEcho
5 October 2017 London Stock Exchange Group Page 53
TRADEcho
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
Reference Data amp Reconciliation Files
5 October 2017 London Stock Exchange Group Page 6
bull Reference Data Files will be enhanced with MiFID II relevant information layout
will change on November 27th 2017
bull Reconciliation Files for MIT markets will be extended with new MiFID II
information (Client IDs Execution and Investment Decision IDs Algo Flag DEA
Flag Waiver Indicators Post Trade Flags) layout will change on November
27th 2017
bull Reconciliation Files for IDEM markets (similar to the one provided for the MIT
platform) will be introduced on January 3rd 2017
MiFID II Deployment Guide
5 October 2017 London Stock Exchange Group Page 7
bull The MiFID II Deployment Guide has been issued on July 24th 2017
bull The Guide outlines
ndash the detailed plan of the application of all MiFID II related changes
ndash the guidelines to follow between the technical go-live on November 27th and the application of the MiFID II regulation on January 3rd 2017
ndash MiFID II activities have been split in 3 key dates
bull November 27th 2017 (Technical go-live)
bull January 2nd 2018
bull January 3rd 2018 (MiFID II come into force)
bull In the following slides a summary of the guide is presented
Protocol Changes
5 October 2017 London Stock Exchange Group Page 8
bull The new Protocols for Trading and Market Data applications
that will go-live on November 27th 2017 are not backward
compatible
ndash therefore all Trading and Market Data applications will have to be updated
to the new version
bull Timestamps will be disseminated with microseconds granularity
starting from November 27th 2017
Client Investment amp Exec IDs Algo amp DEA Flag
5 October 2017 London Stock Exchange Group Page 9
bull On November 27th a set of new fields will be required in order and quote entry messages (and sent back to client applications via Execution and Trade Capture Reports)
ndash Client ID
ndash Investment ID
ndash Execution ID
ndash Algo Flag
ndash DEA Flag
bull Although present in the protocol the content of the above fields will not be subject to any formal validation or cross check only basic technical validations outlined in platform specs will be applied
bull On January 3rd clients will be have the regulatory obligation to correctly fill in the above fields
ndash Guidelines document will be provided shortly
Waiver Indicators amp Post Trade Flags
5 October 2017 London Stock Exchange Group Page 10
bull Starting from November 27th 2017 a set of new fields will be added to
Execution Reports andor Trade Capture Reports sent to customers
ndash Waiver Indicators
ndash Post Trade Flags
bull The content of the above fields should not be considered as significant by
market participants until MiFID II legally enter into force on January 3rd 2018
Request for Quote (1)
5 October 2017 London Stock Exchange Group Page 11
bull With MiFID II RFQ can be
ndash No pre-trade transparency (NPT as it currently is on our markets)
ndash Partial pre-trade transparency (PPT)
ndash Full pre-trade transparency (FPT)
Request for Quote (2)
5 October 2017 London Stock Exchange Group Page 12
bull For PPT RFQs indicative Bid and Ask Prices of Quotes (average of Quotes Bid and Ask Prices sent by Market Makers active at execution) will be published via GTP (FDI channels only) and MITCH when (and if) the RFQ becomes executable and the RFQ trade is generated
bull For FPT RFQs all Market Makers Quotes (active at execution) will be published via GTP (FDI channels only) and MITCH when (and if) the RFQ becomes executable and the RFQ trade is generated
bull PPT and FTP models will be introduced on January 2nd 2018 (one day before MiFID II introduction)
Tick Table Policy (1)
5 October 2017 London Stock Exchange Group Page 13
bull Change of Tick Table policy (live on November 27th)
ndash from min boundary lt price lt= max boundary
ndash to min boundary lt= price lt max boundary
bull Introduction of new Tick Tables on MTA market (live on
January 3rd)
ndash Borsa Italiana will introduce 6 new tick size tables according to the
requirements defined by RTS 11 on January 3rd 2018
Tick Table Policy (2)
5 October 2017 London Stock Exchange Group Page 14
bull Introduction of new Tick Tables on ETF+ market
ndash the tick size table defined by RTS 11 corresponding to the highest average daily number of
transaction will be applied to ETFs with equity underlying (also for RFQ)
ndash for other ETFs and ETCsETNs a dedicated tick table will be introduced
bull RFQs on these instruments will use a fixed tick size equal to 00001 euro
ndash The above changes will go live on November 27th 2017
New ATF Trades Publication Model (1)
5 October 2017 London Stock Exchange Group Page 15
bull Trades on ATF instruments (ATF is a segment of ETF+) will be published via
Market Data services with the price (1euro as per convention) marked as Pending
bull Once NAV is received
ndash trades are rectified (price is set to the NAV)
ndash Market Data Services will publish the modification of Trades
bull Two messages will be sent via market Data Services (GTP and MITCH) one cancelling
the trade and one for re-publishing the trade with indication that an amendment has been
made
New ATF Trades Publication Model (2)
5 October 2017 London Stock Exchange Group Page 16
bull An ack of the modification of the trades will be sent to customers via a Trade
Capture Report sent by the Post Trade Gateway
bull GTP statistics for ATF will be calculated on the amended price (published
at T+1) and not on the pending one (published at T)
bull Changes to ATF Trades Publication Model will go live on November 27th
2017
Cross Orders on MIT
5 October 2017 London Stock Exchange Group Page 17
Instrument Type November 27th 2017 January 2nd 2018 January 3rd 2018
Shares bull Switch to volume-weighted spread price validation
bull For Liquid Shares Reject of Cross Orders when volume-weighted spread is not available
Liquid ETFs Reject of Cross Orders when volume-weighted spread is not available
Liquid ETCs ETNs Fixed Income
Cross Orders disabled
SeDeX Cross Orders disabled
Negotiated Transactions
5 October 2017 London Stock Exchange Group Page 18
bull New statistics calculation for Cross Orders (no updates to Last Trade Price
LowHigh Price) for both MIT and SOLA platforms starting from January 2nd 2018
ndash Stop or Stop Limit Orders will no longer be triggered by Cross Orders
ndash Prices of Cross Orders will not influence circuit breaker validations for the following trade
bull Switch from quantity to value-based control for the minimum size of a Block Trade
on MIT markets on November 27th 2017
bull Reject execution of negotiated transactions below the pre-trade LIS threshold for
liquid products on IDEM market on January 2nd 2018
New trading Capacities
5 October 2017 London Stock Exchange Group Page 19
bull on January 3rd 2018
ndash the new Matched Principal Trading Capacity will be added (according to membership
trading authorizations) to existing ones on both the Borsa Italiana MIT and the SOLA
markets
ndash The two new Matched Principal and Un-Matched Principal Trading Capacities will be
enabled on EuroTLX
bull dedicated Comp IDs must be requested by Brokers authorized to use Matched
Principal andor Unmatched Principal Trading Capacities
bull it will be possible to use Matched Principal andor Unmatched Principal Trading
Capacities only via the dedicated Comp IDs described above
Other Changes (1)
5 October 2017 London Stock Exchange Group Page 20
bull on November 27th 2017
ndash Introduction of new pre-trade controls on maximum order value on MIT platform and on maximum order notional value on SOLA platform
ndash Iceberg orders
bull Introduction of a control on the minimum value of iceberg orders on the MIT platform
bull switch from quantity to value-based control for the minimum peak size
bull Introduction of a control on minimum notional value on SOLA platform
ndash Changes to EMS and EMS multiplier parameters for the ETF+ market
bull on January 2nd 2018
ndash Changes to EMS and EMS multiplier parameters for the SeDeX market
Other Changes (2)
5 October 2017 London Stock Exchange Group Page 21
bull On November 27th 2017 the classification of lsquoliquidrsquo vs lsquonot liquidrsquo will be included in reference
data
ndash Shares according to current MiFID classification
ndash Fixed income instruments ETFs ETCs and ETNs all classified as lsquoilliquidrsquo pending ESMArsquos
classification
ndash SeDeX will be set as Liquid according to ESMArsquos MiFID II classification
ndash IDEM according to ESMArsquos MiFID II classification
bull On November 27th 2017 the CPP (Closing Price Publication) session will be removed
Closing Prices will be disseminated
ndash At the beginning of the Post Close session for segments that do not have a Closing Auction
ndash At the end of the Closing Auction session for segments that do have a Closing Auction
Market MakingLiquidity Provision (1)
5 October 2017 London Stock Exchange Group Page 22
bull on MIT Market MakersLiquidity Providers are and will be given one or more
dedicated Comp ID(s) in order to segregate Market MakingLiquidity Provision
activity
bull on SOLA Market MakersLiquidity Providers are and will be given one or more
dedicated Trader ID(s) in order to segregate Market MakingLiquidity Provision
activity
bull a dedicated Naming Convention is applied to Comp IDs and Trader IDs used
for Market MakingLiquidity Provision activity
Market MakingLiquidity Provision (2)
5 October 2017 London Stock Exchange Group Page 23
bull Market MakersLiquidity Providers send (single or dual side) quotes most of the time but under certain circumstances (depending on the type of activity) may send orders
ndash operators have to restrict the use of the dedicated Comp IDTrader ID to the liquidity provision activity using quotes or orders according to what is requested by the Market Making programs in place independently from the fact that no technical restrictions will be put in place
bull For existing Market Making programs
ndash We are restricting MIT Specialist Comp IDs to send orders only on the subset of instruments they are associated for Specialist activity (work in progress migration based on individual client migration plan)
ndash We will restrict SOLA Market Making Trader IDs to send orders only on the subset of instruments they are associated for Market Making activity starting from November 27th 2017
Market MakingLiquidity Provision (3)
5 October 2017 London Stock Exchange Group Page 24
bull New MiFID II Market Making SchemeAgreements (starting from January 3rd
2018)
ndash Member Firms that will subscribe for the new SchemeAgreements will be given dedicated
Comp IDs (for MIT markets) and Trader IDs
ndash Member Firms will decide whether to perform this activity via quotes and orders or via
orders only
bull On SeDeX Member Firms that will subscribe for the new SchemeAgreements will be
allowed to use orders only
Stressed Market Conditions
5 October 2017 London Stock Exchange Group Page 25
bull Stressed Market Conditions will be defined at rulebook level
bull Notification to customers of ldquoStressed Market Conditionsrdquo
ndash No specific market changes will be introduced for notifying customers when ldquoStressed Market
Conditionsrdquo occur
ndash on MIT
bull ldquoStressed Market Conditionsrdquo will be derived from ldquocircuit breakerrdquo period plus ldquonrdquo seconds after
bull Announcement messages will be disseminated in order to announce ldquoStressed Market
Conditionsrdquo
ndash on SOLA Bulletin messages will be disseminated in order to announce ldquoStressed Market
Conditionsrdquo
Legacy CDS
5 October 2017 London Stock Exchange Group Page 26
bull In order to facilitate the testing of software applications and customer
algorithms a new test environment will be provided in parallel to the existing
one starting from Q1 2018
ndash a Legacy CDS will be provided for all the Trading and Market Data services of the Grouprsquos
Trading Venues
ndash the new environment will be continuously aligned with production in terms of Software
Version of Trading and Market Data Systems and Reference Data
Borsa Italiana Post Trade Transparency Service
5 October 2017 London Stock Exchange Group Page 27
bull The existing Borsa Italianarsquos Post Trade Transparency
Service will be discontinued with MiFID II
bull For technical reasons together with the MiFID II technical go-
live (November 27th 2017) it will not be possible to keep
providing the Post Trade Transparency Service
bull LSEG will offer Post Trade Transparency facility for OTC
trades via TRADEcho (see following presentation)
Transaction Reporting (1)
5 October 2017 London Stock Exchange Group Page 28
bull RTS 22 and other RTS do not specify constraints on the
format of the Trading Venue Trade Identification Code
(TVTIC) used by Trading venues apart from
ndash Trade ID should be unique
ndash Trade ID should be an alphanumerical string of maximum 52
characters
bull The MiFID II Transaction Reporting Validation Rules
published by ESMA state that TVTIC must be made of capital
letters and numbers
Transaction Reporting (2)
5 October 2017 London Stock Exchange Group Page 29
bull On MIT Trade ID is unique per Market and is
ndash a 8 bytes number on the NTG interface and on MITCH and GTP
ndash ldquoTrdquo concatenated to an alphanumerical string corresponding to the
above ID base 62 encoded on FIX (Trading Drop Copy and Post
Trade Gateways)
ndash The alphanumerical identifier described above
bull is sent to downstream systems (Post Trading Clearing Settlement)
bull is published in reconciliation reports
bull is currently used for Transaction reporting purposes
bull is a case sensitive alphanumerical string
Transaction Reporting (3)
5 October 2017 London Stock Exchange Group Page 30
bull On SOLA
ndash the currently used Trade ID is a progressive number unique per
instrument
ndash In order to have a unique ID it has been decided to use the above
Trade ID concatenated with the SICO Code (Group ID + Instrument ID)
for Transaction Reporting purposes
ndash The SICO Code is case sensitive therefore the ID made of the
platformrsquos Trade ID concatenated with the SICO Code is a case
sensitive alphanumerical string
Transaction Reporting (4)
5 October 2017 London Stock Exchange Group Page 31
bull We will rely on different TVTICs for Transaction Reporting
purposes using
ndash on MIT the 8 bytes number used on the NTG interface and on MITCH
and GTP asking FIX clients to apply the already documented base 62
decoding algorithm
ndash on SOLA the base 62 decoded version of the identifier described in
the previous slide
bull TVTIC will be provided on Reconciliation Files
Borsa Italiana Transaction Reporting Service
5 October 2017 London Stock Exchange Group Page 32
bull The existing Borsa Italianarsquos Transaction Reporting
Service will close together with the go-live of MiFID II
bull The Transaction Reporting Service will be active until the
introduction of MiFID II on January 3rd 2018
bull LSEG will offer Transaction Reporting facility via UnaVista
another company of LSEG that will apply as ARM (Approved
Reporting Mechanism)
5 October 2017 London Stock Exchange Group Page 33
IDEM Key Information Documents
Enrico Pellizzoni
Head of Italy Equity Markets and Derivatives Products
PRIIPs Regulation (IDEM) (1)
5 October 2017 London Stock Exchange Group Page 34
bull BIt will to produce KIDs (Key Information Documents) for IDEM contracts
bull Borsa Italiana will follow an lsquoaggregated approachrsquo as allowed from recent ESMArsquos QampA 14 KIDs will be produced to describe existing IDEM contracts
bull a KID will identify ISINs sharing the same contract specifications expected payoff and fee structure
ndash call options vs put options on the same contract ndash 2 different KIDs
ndash single name derivatives will have a single aggregated KID for each product category (not for each individual underlying)
ndash weekly expiries are not identified by a separate KID
bull Description of costs will include fees that BIt is charging to its market participants Brokers must inform retail clients about their own costs
PRIIPs Regulation (IDEM) (2)
5 October 2017 London Stock Exchange Group Page 35
1 Futures on FTSE MIB
2 Mini futures on FTSE MIB
3 Futures on FTSE MIB dividend
4 Call options on FTSE MIB
5 Put options on FTSE MIB
6 Stock futures
7 Stock dividend futures
8 Single stock call options
9 Single stock put options
10Baseload Italian power futures
11Peakload Italian power futures
12Baseload German power futures
13Peakload German power futures
14Durum wheat futures
PRIIPs Regulation (IDEM) (3)
5 October 2017 London Stock Exchange Group Page 36
bull Available as pdf files free of charge in a dedicated webpage
wwwborsaitalianaitderivatikidskidsenhtm
bull File names with a dedicated convention linked to reference data and downloadable also as
wwwborsaitalianaitderivatikids[filename]pdf
bull Available for download via ftp server (MIT 702)
bull Reviewed at least yearly (or in case of changes to contract specs expected payoff fee structure)
bull Available in Italian English Spanish German and French Additional translations will be evaluated in due course
5 October 2017 London Stock Exchange Group Page 37
Member Portal
Antonello Greco
Technical Account Manager
Client Technology Services Italy
RTS 24 - Requirements
5 October 2017 London Stock Exchange Group Page 38
bull Client Identification code Identifier of the Client (Local Person Identifier or
Legal Entity Identifier) for client orders only
bull Investment Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the investment decision
bull Execution Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the execution decision
Long Code ndash Short Code mapping
5 October 2017 London Stock Exchange Group Page 39
Long Code Short Code
Market messages Client ID Investment Decision Maker Executing Trader
Short Codes ndash Reserved values
5 October 2017 London Stock Exchange Group Page 40
bull 0 None Valid for Client ID and Investment Decision ID
bull 1 AGGR where several orders are submitted to the trading venue together as
an aggregated Valid for Client ID only
bull 2 PNAL where a trading participant allocates an order to its client following
submission of the order to the trading venue and has not yet allocated the
order to its client at the time of the submission of the order Valid for Client ID
only
bull 3 CLIENT valid for Execution Decision ID only
Uploading ndash Three options
5 October 2017 London Stock Exchange Group Page 41
A trading firm will manage the short-long code mappings in a new section of the
Member Portal in the following ways
bull Manual insertion
bull Bulk upload through the Member Portal web interface
bull Bulk upload via SFTP server
Uploading ndash Manual insertion
5 October 2017 London Stock Exchange Group Page 42
bull Short Code numerical value between 4 and 232-1
bull Long Code alphanumerical string of 50 characters Expected values are ndash Local Person Identifier
ndash Legal Entity Identifier
ndash Algorithm
bull Identifier Code Type ndash Natural Person
ndash Client LEI
ndash Algorithm
Uploading ndash Bulk upload (12)
5 October 2017 London Stock Exchange Group Page 43
Field Name
Mandatory
Description
Short Code
Y
4 ndash 4294967295
Long Code
Y
50 alphanumeric chars
Identifier Code Type
Y
L Client LEI
N Natural Person
A Algorithm
Notes
N
Free text field
Operation Type
Y
0 New
1 Update
2 Delete
Uploading ndash Bulk upload (22)
5 October 2017 London Stock Exchange Group Page 44
A new record reporting information on the outcome of the upload is displayed
bull Status ndash In Progress Published Published with errors Not Published
bull UserFile the userrsquos original csv
bull ResultFile a txt file containing the number of records added updated deleted
bull ErrorFile a csv file listing the records containing errors An Error Description field
is added to instruct the user of the error
Uploading ndash SFTP server
5 October 2017 London Stock Exchange Group Page 45
bull The csv file has the same layout as the one used to upload through the
member portal web interface
bull The only difference is that the file must have a specific naming convention
- Venue_ShortLongCodes_YYYYMMDD_NNcsv
bull The root folder of the sFTP server is the Firm ID which in turn contains an IN
and an OUT folder with respectively read-write and read only access
bull The IN folder will contain the bulk upload csv file while the OUT folder will
store Results File and Errors File (if one or more records are rejected)
Upload by difference or laquofrom scratchraquo
5 October 2017 London Stock Exchange Group Page 46
When uploading the file the user can choose to
bull insert modify and delete the existing set of short-long codes hence working by
difference
bull replace the whole list of existing short-long codes with the ones included in the
file hence working from scratch Operation Type can only be populated with 0
Constraints
5 October 2017 London Stock Exchange Group Page 47
bull Two different records can not have the same pair ltShort Code Identifier Code
Typegt
bull Local Person Identifier and Legal Identity Identifiers have to be used
respectively to identify a Natural Person and a LEI
bull Following a cancellation the upload of a new record with the same pair ltShort
Code Identifier Code Typegt will be rejected
When uploading mappings
5 October 2017 London Stock Exchange Group Page 48
bull Short CodeLong Code mappings must be uploaded within the market close
(time limit to be defined) of the same day as they are used as part of the
layout of market messages sent to the exchange
bull Trading participants failing to report the records at day T will be notified and
must download the Missing Short Codes report to find out the discrepancies
to be corrected
bull The Missing Short Code report for the day T is available at T+1 and it lists
the discrepancies of the last five working days
Additional Enhancements
5 October 2017 London Stock Exchange Group Page 49
bull Trader IDs
bull Risk Management users for pre-trade validation functionalities (PTV)
bull Self Execution Prevention
bull Market Making Strategies
bull Mass Cancellation
bull Back Office SELECT
bull Position Report as required by RTS 21 - Application of position limits to
commodity derivatives
Go live
5 October 2017 London Stock Exchange Group Page 50
bull The new Member Portal will go-live on November 2017
bull Trading participant will have a one month window to test the upload of
mappings on the Member Portal before the actual MIFID II go live on
January the 3rd
bull No validations on how short codes are used in the layout of market
messages will be performed except for formal integrity checks
bull The User Manual is already available online on both Borsa Italiana and
EuroTLX websites
5 October 2017 London Stock Exchange Group Page 51
TRADEcho
Roberto Fumagalli
Technical Account Manager
Client Technology Services Italy
POST TRADE TRANSPARENCY OBLIGATION
5 October 2017 London Stock Exchange Group Page 52
MiFID I requires customers to publish OTC trades done on equity instruments listed on European regulated markets Consob extended this obligation to all instruments listed on regulated market (including MOT SeDeX ETFPlus and MTS) MiFID II extends the reporting obligation to all instruments (equity and non equity) listed on European regulated markets MTF and OTF The service offered by Borsa Italiana (PTTS service) to fulfill this obligation will close on 27th November 2017 (release of MIT Platform MiFID II version compliant) LSEG will offer Post Trade Transparency facility for OTC trades via TRADEcho
5 October 2017 London Stock Exchange Group Page 53
TRADEcho
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
MiFID II Deployment Guide
5 October 2017 London Stock Exchange Group Page 7
bull The MiFID II Deployment Guide has been issued on July 24th 2017
bull The Guide outlines
ndash the detailed plan of the application of all MiFID II related changes
ndash the guidelines to follow between the technical go-live on November 27th and the application of the MiFID II regulation on January 3rd 2017
ndash MiFID II activities have been split in 3 key dates
bull November 27th 2017 (Technical go-live)
bull January 2nd 2018
bull January 3rd 2018 (MiFID II come into force)
bull In the following slides a summary of the guide is presented
Protocol Changes
5 October 2017 London Stock Exchange Group Page 8
bull The new Protocols for Trading and Market Data applications
that will go-live on November 27th 2017 are not backward
compatible
ndash therefore all Trading and Market Data applications will have to be updated
to the new version
bull Timestamps will be disseminated with microseconds granularity
starting from November 27th 2017
Client Investment amp Exec IDs Algo amp DEA Flag
5 October 2017 London Stock Exchange Group Page 9
bull On November 27th a set of new fields will be required in order and quote entry messages (and sent back to client applications via Execution and Trade Capture Reports)
ndash Client ID
ndash Investment ID
ndash Execution ID
ndash Algo Flag
ndash DEA Flag
bull Although present in the protocol the content of the above fields will not be subject to any formal validation or cross check only basic technical validations outlined in platform specs will be applied
bull On January 3rd clients will be have the regulatory obligation to correctly fill in the above fields
ndash Guidelines document will be provided shortly
Waiver Indicators amp Post Trade Flags
5 October 2017 London Stock Exchange Group Page 10
bull Starting from November 27th 2017 a set of new fields will be added to
Execution Reports andor Trade Capture Reports sent to customers
ndash Waiver Indicators
ndash Post Trade Flags
bull The content of the above fields should not be considered as significant by
market participants until MiFID II legally enter into force on January 3rd 2018
Request for Quote (1)
5 October 2017 London Stock Exchange Group Page 11
bull With MiFID II RFQ can be
ndash No pre-trade transparency (NPT as it currently is on our markets)
ndash Partial pre-trade transparency (PPT)
ndash Full pre-trade transparency (FPT)
Request for Quote (2)
5 October 2017 London Stock Exchange Group Page 12
bull For PPT RFQs indicative Bid and Ask Prices of Quotes (average of Quotes Bid and Ask Prices sent by Market Makers active at execution) will be published via GTP (FDI channels only) and MITCH when (and if) the RFQ becomes executable and the RFQ trade is generated
bull For FPT RFQs all Market Makers Quotes (active at execution) will be published via GTP (FDI channels only) and MITCH when (and if) the RFQ becomes executable and the RFQ trade is generated
bull PPT and FTP models will be introduced on January 2nd 2018 (one day before MiFID II introduction)
Tick Table Policy (1)
5 October 2017 London Stock Exchange Group Page 13
bull Change of Tick Table policy (live on November 27th)
ndash from min boundary lt price lt= max boundary
ndash to min boundary lt= price lt max boundary
bull Introduction of new Tick Tables on MTA market (live on
January 3rd)
ndash Borsa Italiana will introduce 6 new tick size tables according to the
requirements defined by RTS 11 on January 3rd 2018
Tick Table Policy (2)
5 October 2017 London Stock Exchange Group Page 14
bull Introduction of new Tick Tables on ETF+ market
ndash the tick size table defined by RTS 11 corresponding to the highest average daily number of
transaction will be applied to ETFs with equity underlying (also for RFQ)
ndash for other ETFs and ETCsETNs a dedicated tick table will be introduced
bull RFQs on these instruments will use a fixed tick size equal to 00001 euro
ndash The above changes will go live on November 27th 2017
New ATF Trades Publication Model (1)
5 October 2017 London Stock Exchange Group Page 15
bull Trades on ATF instruments (ATF is a segment of ETF+) will be published via
Market Data services with the price (1euro as per convention) marked as Pending
bull Once NAV is received
ndash trades are rectified (price is set to the NAV)
ndash Market Data Services will publish the modification of Trades
bull Two messages will be sent via market Data Services (GTP and MITCH) one cancelling
the trade and one for re-publishing the trade with indication that an amendment has been
made
New ATF Trades Publication Model (2)
5 October 2017 London Stock Exchange Group Page 16
bull An ack of the modification of the trades will be sent to customers via a Trade
Capture Report sent by the Post Trade Gateway
bull GTP statistics for ATF will be calculated on the amended price (published
at T+1) and not on the pending one (published at T)
bull Changes to ATF Trades Publication Model will go live on November 27th
2017
Cross Orders on MIT
5 October 2017 London Stock Exchange Group Page 17
Instrument Type November 27th 2017 January 2nd 2018 January 3rd 2018
Shares bull Switch to volume-weighted spread price validation
bull For Liquid Shares Reject of Cross Orders when volume-weighted spread is not available
Liquid ETFs Reject of Cross Orders when volume-weighted spread is not available
Liquid ETCs ETNs Fixed Income
Cross Orders disabled
SeDeX Cross Orders disabled
Negotiated Transactions
5 October 2017 London Stock Exchange Group Page 18
bull New statistics calculation for Cross Orders (no updates to Last Trade Price
LowHigh Price) for both MIT and SOLA platforms starting from January 2nd 2018
ndash Stop or Stop Limit Orders will no longer be triggered by Cross Orders
ndash Prices of Cross Orders will not influence circuit breaker validations for the following trade
bull Switch from quantity to value-based control for the minimum size of a Block Trade
on MIT markets on November 27th 2017
bull Reject execution of negotiated transactions below the pre-trade LIS threshold for
liquid products on IDEM market on January 2nd 2018
New trading Capacities
5 October 2017 London Stock Exchange Group Page 19
bull on January 3rd 2018
ndash the new Matched Principal Trading Capacity will be added (according to membership
trading authorizations) to existing ones on both the Borsa Italiana MIT and the SOLA
markets
ndash The two new Matched Principal and Un-Matched Principal Trading Capacities will be
enabled on EuroTLX
bull dedicated Comp IDs must be requested by Brokers authorized to use Matched
Principal andor Unmatched Principal Trading Capacities
bull it will be possible to use Matched Principal andor Unmatched Principal Trading
Capacities only via the dedicated Comp IDs described above
Other Changes (1)
5 October 2017 London Stock Exchange Group Page 20
bull on November 27th 2017
ndash Introduction of new pre-trade controls on maximum order value on MIT platform and on maximum order notional value on SOLA platform
ndash Iceberg orders
bull Introduction of a control on the minimum value of iceberg orders on the MIT platform
bull switch from quantity to value-based control for the minimum peak size
bull Introduction of a control on minimum notional value on SOLA platform
ndash Changes to EMS and EMS multiplier parameters for the ETF+ market
bull on January 2nd 2018
ndash Changes to EMS and EMS multiplier parameters for the SeDeX market
Other Changes (2)
5 October 2017 London Stock Exchange Group Page 21
bull On November 27th 2017 the classification of lsquoliquidrsquo vs lsquonot liquidrsquo will be included in reference
data
ndash Shares according to current MiFID classification
ndash Fixed income instruments ETFs ETCs and ETNs all classified as lsquoilliquidrsquo pending ESMArsquos
classification
ndash SeDeX will be set as Liquid according to ESMArsquos MiFID II classification
ndash IDEM according to ESMArsquos MiFID II classification
bull On November 27th 2017 the CPP (Closing Price Publication) session will be removed
Closing Prices will be disseminated
ndash At the beginning of the Post Close session for segments that do not have a Closing Auction
ndash At the end of the Closing Auction session for segments that do have a Closing Auction
Market MakingLiquidity Provision (1)
5 October 2017 London Stock Exchange Group Page 22
bull on MIT Market MakersLiquidity Providers are and will be given one or more
dedicated Comp ID(s) in order to segregate Market MakingLiquidity Provision
activity
bull on SOLA Market MakersLiquidity Providers are and will be given one or more
dedicated Trader ID(s) in order to segregate Market MakingLiquidity Provision
activity
bull a dedicated Naming Convention is applied to Comp IDs and Trader IDs used
for Market MakingLiquidity Provision activity
Market MakingLiquidity Provision (2)
5 October 2017 London Stock Exchange Group Page 23
bull Market MakersLiquidity Providers send (single or dual side) quotes most of the time but under certain circumstances (depending on the type of activity) may send orders
ndash operators have to restrict the use of the dedicated Comp IDTrader ID to the liquidity provision activity using quotes or orders according to what is requested by the Market Making programs in place independently from the fact that no technical restrictions will be put in place
bull For existing Market Making programs
ndash We are restricting MIT Specialist Comp IDs to send orders only on the subset of instruments they are associated for Specialist activity (work in progress migration based on individual client migration plan)
ndash We will restrict SOLA Market Making Trader IDs to send orders only on the subset of instruments they are associated for Market Making activity starting from November 27th 2017
Market MakingLiquidity Provision (3)
5 October 2017 London Stock Exchange Group Page 24
bull New MiFID II Market Making SchemeAgreements (starting from January 3rd
2018)
ndash Member Firms that will subscribe for the new SchemeAgreements will be given dedicated
Comp IDs (for MIT markets) and Trader IDs
ndash Member Firms will decide whether to perform this activity via quotes and orders or via
orders only
bull On SeDeX Member Firms that will subscribe for the new SchemeAgreements will be
allowed to use orders only
Stressed Market Conditions
5 October 2017 London Stock Exchange Group Page 25
bull Stressed Market Conditions will be defined at rulebook level
bull Notification to customers of ldquoStressed Market Conditionsrdquo
ndash No specific market changes will be introduced for notifying customers when ldquoStressed Market
Conditionsrdquo occur
ndash on MIT
bull ldquoStressed Market Conditionsrdquo will be derived from ldquocircuit breakerrdquo period plus ldquonrdquo seconds after
bull Announcement messages will be disseminated in order to announce ldquoStressed Market
Conditionsrdquo
ndash on SOLA Bulletin messages will be disseminated in order to announce ldquoStressed Market
Conditionsrdquo
Legacy CDS
5 October 2017 London Stock Exchange Group Page 26
bull In order to facilitate the testing of software applications and customer
algorithms a new test environment will be provided in parallel to the existing
one starting from Q1 2018
ndash a Legacy CDS will be provided for all the Trading and Market Data services of the Grouprsquos
Trading Venues
ndash the new environment will be continuously aligned with production in terms of Software
Version of Trading and Market Data Systems and Reference Data
Borsa Italiana Post Trade Transparency Service
5 October 2017 London Stock Exchange Group Page 27
bull The existing Borsa Italianarsquos Post Trade Transparency
Service will be discontinued with MiFID II
bull For technical reasons together with the MiFID II technical go-
live (November 27th 2017) it will not be possible to keep
providing the Post Trade Transparency Service
bull LSEG will offer Post Trade Transparency facility for OTC
trades via TRADEcho (see following presentation)
Transaction Reporting (1)
5 October 2017 London Stock Exchange Group Page 28
bull RTS 22 and other RTS do not specify constraints on the
format of the Trading Venue Trade Identification Code
(TVTIC) used by Trading venues apart from
ndash Trade ID should be unique
ndash Trade ID should be an alphanumerical string of maximum 52
characters
bull The MiFID II Transaction Reporting Validation Rules
published by ESMA state that TVTIC must be made of capital
letters and numbers
Transaction Reporting (2)
5 October 2017 London Stock Exchange Group Page 29
bull On MIT Trade ID is unique per Market and is
ndash a 8 bytes number on the NTG interface and on MITCH and GTP
ndash ldquoTrdquo concatenated to an alphanumerical string corresponding to the
above ID base 62 encoded on FIX (Trading Drop Copy and Post
Trade Gateways)
ndash The alphanumerical identifier described above
bull is sent to downstream systems (Post Trading Clearing Settlement)
bull is published in reconciliation reports
bull is currently used for Transaction reporting purposes
bull is a case sensitive alphanumerical string
Transaction Reporting (3)
5 October 2017 London Stock Exchange Group Page 30
bull On SOLA
ndash the currently used Trade ID is a progressive number unique per
instrument
ndash In order to have a unique ID it has been decided to use the above
Trade ID concatenated with the SICO Code (Group ID + Instrument ID)
for Transaction Reporting purposes
ndash The SICO Code is case sensitive therefore the ID made of the
platformrsquos Trade ID concatenated with the SICO Code is a case
sensitive alphanumerical string
Transaction Reporting (4)
5 October 2017 London Stock Exchange Group Page 31
bull We will rely on different TVTICs for Transaction Reporting
purposes using
ndash on MIT the 8 bytes number used on the NTG interface and on MITCH
and GTP asking FIX clients to apply the already documented base 62
decoding algorithm
ndash on SOLA the base 62 decoded version of the identifier described in
the previous slide
bull TVTIC will be provided on Reconciliation Files
Borsa Italiana Transaction Reporting Service
5 October 2017 London Stock Exchange Group Page 32
bull The existing Borsa Italianarsquos Transaction Reporting
Service will close together with the go-live of MiFID II
bull The Transaction Reporting Service will be active until the
introduction of MiFID II on January 3rd 2018
bull LSEG will offer Transaction Reporting facility via UnaVista
another company of LSEG that will apply as ARM (Approved
Reporting Mechanism)
5 October 2017 London Stock Exchange Group Page 33
IDEM Key Information Documents
Enrico Pellizzoni
Head of Italy Equity Markets and Derivatives Products
PRIIPs Regulation (IDEM) (1)
5 October 2017 London Stock Exchange Group Page 34
bull BIt will to produce KIDs (Key Information Documents) for IDEM contracts
bull Borsa Italiana will follow an lsquoaggregated approachrsquo as allowed from recent ESMArsquos QampA 14 KIDs will be produced to describe existing IDEM contracts
bull a KID will identify ISINs sharing the same contract specifications expected payoff and fee structure
ndash call options vs put options on the same contract ndash 2 different KIDs
ndash single name derivatives will have a single aggregated KID for each product category (not for each individual underlying)
ndash weekly expiries are not identified by a separate KID
bull Description of costs will include fees that BIt is charging to its market participants Brokers must inform retail clients about their own costs
PRIIPs Regulation (IDEM) (2)
5 October 2017 London Stock Exchange Group Page 35
1 Futures on FTSE MIB
2 Mini futures on FTSE MIB
3 Futures on FTSE MIB dividend
4 Call options on FTSE MIB
5 Put options on FTSE MIB
6 Stock futures
7 Stock dividend futures
8 Single stock call options
9 Single stock put options
10Baseload Italian power futures
11Peakload Italian power futures
12Baseload German power futures
13Peakload German power futures
14Durum wheat futures
PRIIPs Regulation (IDEM) (3)
5 October 2017 London Stock Exchange Group Page 36
bull Available as pdf files free of charge in a dedicated webpage
wwwborsaitalianaitderivatikidskidsenhtm
bull File names with a dedicated convention linked to reference data and downloadable also as
wwwborsaitalianaitderivatikids[filename]pdf
bull Available for download via ftp server (MIT 702)
bull Reviewed at least yearly (or in case of changes to contract specs expected payoff fee structure)
bull Available in Italian English Spanish German and French Additional translations will be evaluated in due course
5 October 2017 London Stock Exchange Group Page 37
Member Portal
Antonello Greco
Technical Account Manager
Client Technology Services Italy
RTS 24 - Requirements
5 October 2017 London Stock Exchange Group Page 38
bull Client Identification code Identifier of the Client (Local Person Identifier or
Legal Entity Identifier) for client orders only
bull Investment Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the investment decision
bull Execution Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the execution decision
Long Code ndash Short Code mapping
5 October 2017 London Stock Exchange Group Page 39
Long Code Short Code
Market messages Client ID Investment Decision Maker Executing Trader
Short Codes ndash Reserved values
5 October 2017 London Stock Exchange Group Page 40
bull 0 None Valid for Client ID and Investment Decision ID
bull 1 AGGR where several orders are submitted to the trading venue together as
an aggregated Valid for Client ID only
bull 2 PNAL where a trading participant allocates an order to its client following
submission of the order to the trading venue and has not yet allocated the
order to its client at the time of the submission of the order Valid for Client ID
only
bull 3 CLIENT valid for Execution Decision ID only
Uploading ndash Three options
5 October 2017 London Stock Exchange Group Page 41
A trading firm will manage the short-long code mappings in a new section of the
Member Portal in the following ways
bull Manual insertion
bull Bulk upload through the Member Portal web interface
bull Bulk upload via SFTP server
Uploading ndash Manual insertion
5 October 2017 London Stock Exchange Group Page 42
bull Short Code numerical value between 4 and 232-1
bull Long Code alphanumerical string of 50 characters Expected values are ndash Local Person Identifier
ndash Legal Entity Identifier
ndash Algorithm
bull Identifier Code Type ndash Natural Person
ndash Client LEI
ndash Algorithm
Uploading ndash Bulk upload (12)
5 October 2017 London Stock Exchange Group Page 43
Field Name
Mandatory
Description
Short Code
Y
4 ndash 4294967295
Long Code
Y
50 alphanumeric chars
Identifier Code Type
Y
L Client LEI
N Natural Person
A Algorithm
Notes
N
Free text field
Operation Type
Y
0 New
1 Update
2 Delete
Uploading ndash Bulk upload (22)
5 October 2017 London Stock Exchange Group Page 44
A new record reporting information on the outcome of the upload is displayed
bull Status ndash In Progress Published Published with errors Not Published
bull UserFile the userrsquos original csv
bull ResultFile a txt file containing the number of records added updated deleted
bull ErrorFile a csv file listing the records containing errors An Error Description field
is added to instruct the user of the error
Uploading ndash SFTP server
5 October 2017 London Stock Exchange Group Page 45
bull The csv file has the same layout as the one used to upload through the
member portal web interface
bull The only difference is that the file must have a specific naming convention
- Venue_ShortLongCodes_YYYYMMDD_NNcsv
bull The root folder of the sFTP server is the Firm ID which in turn contains an IN
and an OUT folder with respectively read-write and read only access
bull The IN folder will contain the bulk upload csv file while the OUT folder will
store Results File and Errors File (if one or more records are rejected)
Upload by difference or laquofrom scratchraquo
5 October 2017 London Stock Exchange Group Page 46
When uploading the file the user can choose to
bull insert modify and delete the existing set of short-long codes hence working by
difference
bull replace the whole list of existing short-long codes with the ones included in the
file hence working from scratch Operation Type can only be populated with 0
Constraints
5 October 2017 London Stock Exchange Group Page 47
bull Two different records can not have the same pair ltShort Code Identifier Code
Typegt
bull Local Person Identifier and Legal Identity Identifiers have to be used
respectively to identify a Natural Person and a LEI
bull Following a cancellation the upload of a new record with the same pair ltShort
Code Identifier Code Typegt will be rejected
When uploading mappings
5 October 2017 London Stock Exchange Group Page 48
bull Short CodeLong Code mappings must be uploaded within the market close
(time limit to be defined) of the same day as they are used as part of the
layout of market messages sent to the exchange
bull Trading participants failing to report the records at day T will be notified and
must download the Missing Short Codes report to find out the discrepancies
to be corrected
bull The Missing Short Code report for the day T is available at T+1 and it lists
the discrepancies of the last five working days
Additional Enhancements
5 October 2017 London Stock Exchange Group Page 49
bull Trader IDs
bull Risk Management users for pre-trade validation functionalities (PTV)
bull Self Execution Prevention
bull Market Making Strategies
bull Mass Cancellation
bull Back Office SELECT
bull Position Report as required by RTS 21 - Application of position limits to
commodity derivatives
Go live
5 October 2017 London Stock Exchange Group Page 50
bull The new Member Portal will go-live on November 2017
bull Trading participant will have a one month window to test the upload of
mappings on the Member Portal before the actual MIFID II go live on
January the 3rd
bull No validations on how short codes are used in the layout of market
messages will be performed except for formal integrity checks
bull The User Manual is already available online on both Borsa Italiana and
EuroTLX websites
5 October 2017 London Stock Exchange Group Page 51
TRADEcho
Roberto Fumagalli
Technical Account Manager
Client Technology Services Italy
POST TRADE TRANSPARENCY OBLIGATION
5 October 2017 London Stock Exchange Group Page 52
MiFID I requires customers to publish OTC trades done on equity instruments listed on European regulated markets Consob extended this obligation to all instruments listed on regulated market (including MOT SeDeX ETFPlus and MTS) MiFID II extends the reporting obligation to all instruments (equity and non equity) listed on European regulated markets MTF and OTF The service offered by Borsa Italiana (PTTS service) to fulfill this obligation will close on 27th November 2017 (release of MIT Platform MiFID II version compliant) LSEG will offer Post Trade Transparency facility for OTC trades via TRADEcho
5 October 2017 London Stock Exchange Group Page 53
TRADEcho
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
Protocol Changes
5 October 2017 London Stock Exchange Group Page 8
bull The new Protocols for Trading and Market Data applications
that will go-live on November 27th 2017 are not backward
compatible
ndash therefore all Trading and Market Data applications will have to be updated
to the new version
bull Timestamps will be disseminated with microseconds granularity
starting from November 27th 2017
Client Investment amp Exec IDs Algo amp DEA Flag
5 October 2017 London Stock Exchange Group Page 9
bull On November 27th a set of new fields will be required in order and quote entry messages (and sent back to client applications via Execution and Trade Capture Reports)
ndash Client ID
ndash Investment ID
ndash Execution ID
ndash Algo Flag
ndash DEA Flag
bull Although present in the protocol the content of the above fields will not be subject to any formal validation or cross check only basic technical validations outlined in platform specs will be applied
bull On January 3rd clients will be have the regulatory obligation to correctly fill in the above fields
ndash Guidelines document will be provided shortly
Waiver Indicators amp Post Trade Flags
5 October 2017 London Stock Exchange Group Page 10
bull Starting from November 27th 2017 a set of new fields will be added to
Execution Reports andor Trade Capture Reports sent to customers
ndash Waiver Indicators
ndash Post Trade Flags
bull The content of the above fields should not be considered as significant by
market participants until MiFID II legally enter into force on January 3rd 2018
Request for Quote (1)
5 October 2017 London Stock Exchange Group Page 11
bull With MiFID II RFQ can be
ndash No pre-trade transparency (NPT as it currently is on our markets)
ndash Partial pre-trade transparency (PPT)
ndash Full pre-trade transparency (FPT)
Request for Quote (2)
5 October 2017 London Stock Exchange Group Page 12
bull For PPT RFQs indicative Bid and Ask Prices of Quotes (average of Quotes Bid and Ask Prices sent by Market Makers active at execution) will be published via GTP (FDI channels only) and MITCH when (and if) the RFQ becomes executable and the RFQ trade is generated
bull For FPT RFQs all Market Makers Quotes (active at execution) will be published via GTP (FDI channels only) and MITCH when (and if) the RFQ becomes executable and the RFQ trade is generated
bull PPT and FTP models will be introduced on January 2nd 2018 (one day before MiFID II introduction)
Tick Table Policy (1)
5 October 2017 London Stock Exchange Group Page 13
bull Change of Tick Table policy (live on November 27th)
ndash from min boundary lt price lt= max boundary
ndash to min boundary lt= price lt max boundary
bull Introduction of new Tick Tables on MTA market (live on
January 3rd)
ndash Borsa Italiana will introduce 6 new tick size tables according to the
requirements defined by RTS 11 on January 3rd 2018
Tick Table Policy (2)
5 October 2017 London Stock Exchange Group Page 14
bull Introduction of new Tick Tables on ETF+ market
ndash the tick size table defined by RTS 11 corresponding to the highest average daily number of
transaction will be applied to ETFs with equity underlying (also for RFQ)
ndash for other ETFs and ETCsETNs a dedicated tick table will be introduced
bull RFQs on these instruments will use a fixed tick size equal to 00001 euro
ndash The above changes will go live on November 27th 2017
New ATF Trades Publication Model (1)
5 October 2017 London Stock Exchange Group Page 15
bull Trades on ATF instruments (ATF is a segment of ETF+) will be published via
Market Data services with the price (1euro as per convention) marked as Pending
bull Once NAV is received
ndash trades are rectified (price is set to the NAV)
ndash Market Data Services will publish the modification of Trades
bull Two messages will be sent via market Data Services (GTP and MITCH) one cancelling
the trade and one for re-publishing the trade with indication that an amendment has been
made
New ATF Trades Publication Model (2)
5 October 2017 London Stock Exchange Group Page 16
bull An ack of the modification of the trades will be sent to customers via a Trade
Capture Report sent by the Post Trade Gateway
bull GTP statistics for ATF will be calculated on the amended price (published
at T+1) and not on the pending one (published at T)
bull Changes to ATF Trades Publication Model will go live on November 27th
2017
Cross Orders on MIT
5 October 2017 London Stock Exchange Group Page 17
Instrument Type November 27th 2017 January 2nd 2018 January 3rd 2018
Shares bull Switch to volume-weighted spread price validation
bull For Liquid Shares Reject of Cross Orders when volume-weighted spread is not available
Liquid ETFs Reject of Cross Orders when volume-weighted spread is not available
Liquid ETCs ETNs Fixed Income
Cross Orders disabled
SeDeX Cross Orders disabled
Negotiated Transactions
5 October 2017 London Stock Exchange Group Page 18
bull New statistics calculation for Cross Orders (no updates to Last Trade Price
LowHigh Price) for both MIT and SOLA platforms starting from January 2nd 2018
ndash Stop or Stop Limit Orders will no longer be triggered by Cross Orders
ndash Prices of Cross Orders will not influence circuit breaker validations for the following trade
bull Switch from quantity to value-based control for the minimum size of a Block Trade
on MIT markets on November 27th 2017
bull Reject execution of negotiated transactions below the pre-trade LIS threshold for
liquid products on IDEM market on January 2nd 2018
New trading Capacities
5 October 2017 London Stock Exchange Group Page 19
bull on January 3rd 2018
ndash the new Matched Principal Trading Capacity will be added (according to membership
trading authorizations) to existing ones on both the Borsa Italiana MIT and the SOLA
markets
ndash The two new Matched Principal and Un-Matched Principal Trading Capacities will be
enabled on EuroTLX
bull dedicated Comp IDs must be requested by Brokers authorized to use Matched
Principal andor Unmatched Principal Trading Capacities
bull it will be possible to use Matched Principal andor Unmatched Principal Trading
Capacities only via the dedicated Comp IDs described above
Other Changes (1)
5 October 2017 London Stock Exchange Group Page 20
bull on November 27th 2017
ndash Introduction of new pre-trade controls on maximum order value on MIT platform and on maximum order notional value on SOLA platform
ndash Iceberg orders
bull Introduction of a control on the minimum value of iceberg orders on the MIT platform
bull switch from quantity to value-based control for the minimum peak size
bull Introduction of a control on minimum notional value on SOLA platform
ndash Changes to EMS and EMS multiplier parameters for the ETF+ market
bull on January 2nd 2018
ndash Changes to EMS and EMS multiplier parameters for the SeDeX market
Other Changes (2)
5 October 2017 London Stock Exchange Group Page 21
bull On November 27th 2017 the classification of lsquoliquidrsquo vs lsquonot liquidrsquo will be included in reference
data
ndash Shares according to current MiFID classification
ndash Fixed income instruments ETFs ETCs and ETNs all classified as lsquoilliquidrsquo pending ESMArsquos
classification
ndash SeDeX will be set as Liquid according to ESMArsquos MiFID II classification
ndash IDEM according to ESMArsquos MiFID II classification
bull On November 27th 2017 the CPP (Closing Price Publication) session will be removed
Closing Prices will be disseminated
ndash At the beginning of the Post Close session for segments that do not have a Closing Auction
ndash At the end of the Closing Auction session for segments that do have a Closing Auction
Market MakingLiquidity Provision (1)
5 October 2017 London Stock Exchange Group Page 22
bull on MIT Market MakersLiquidity Providers are and will be given one or more
dedicated Comp ID(s) in order to segregate Market MakingLiquidity Provision
activity
bull on SOLA Market MakersLiquidity Providers are and will be given one or more
dedicated Trader ID(s) in order to segregate Market MakingLiquidity Provision
activity
bull a dedicated Naming Convention is applied to Comp IDs and Trader IDs used
for Market MakingLiquidity Provision activity
Market MakingLiquidity Provision (2)
5 October 2017 London Stock Exchange Group Page 23
bull Market MakersLiquidity Providers send (single or dual side) quotes most of the time but under certain circumstances (depending on the type of activity) may send orders
ndash operators have to restrict the use of the dedicated Comp IDTrader ID to the liquidity provision activity using quotes or orders according to what is requested by the Market Making programs in place independently from the fact that no technical restrictions will be put in place
bull For existing Market Making programs
ndash We are restricting MIT Specialist Comp IDs to send orders only on the subset of instruments they are associated for Specialist activity (work in progress migration based on individual client migration plan)
ndash We will restrict SOLA Market Making Trader IDs to send orders only on the subset of instruments they are associated for Market Making activity starting from November 27th 2017
Market MakingLiquidity Provision (3)
5 October 2017 London Stock Exchange Group Page 24
bull New MiFID II Market Making SchemeAgreements (starting from January 3rd
2018)
ndash Member Firms that will subscribe for the new SchemeAgreements will be given dedicated
Comp IDs (for MIT markets) and Trader IDs
ndash Member Firms will decide whether to perform this activity via quotes and orders or via
orders only
bull On SeDeX Member Firms that will subscribe for the new SchemeAgreements will be
allowed to use orders only
Stressed Market Conditions
5 October 2017 London Stock Exchange Group Page 25
bull Stressed Market Conditions will be defined at rulebook level
bull Notification to customers of ldquoStressed Market Conditionsrdquo
ndash No specific market changes will be introduced for notifying customers when ldquoStressed Market
Conditionsrdquo occur
ndash on MIT
bull ldquoStressed Market Conditionsrdquo will be derived from ldquocircuit breakerrdquo period plus ldquonrdquo seconds after
bull Announcement messages will be disseminated in order to announce ldquoStressed Market
Conditionsrdquo
ndash on SOLA Bulletin messages will be disseminated in order to announce ldquoStressed Market
Conditionsrdquo
Legacy CDS
5 October 2017 London Stock Exchange Group Page 26
bull In order to facilitate the testing of software applications and customer
algorithms a new test environment will be provided in parallel to the existing
one starting from Q1 2018
ndash a Legacy CDS will be provided for all the Trading and Market Data services of the Grouprsquos
Trading Venues
ndash the new environment will be continuously aligned with production in terms of Software
Version of Trading and Market Data Systems and Reference Data
Borsa Italiana Post Trade Transparency Service
5 October 2017 London Stock Exchange Group Page 27
bull The existing Borsa Italianarsquos Post Trade Transparency
Service will be discontinued with MiFID II
bull For technical reasons together with the MiFID II technical go-
live (November 27th 2017) it will not be possible to keep
providing the Post Trade Transparency Service
bull LSEG will offer Post Trade Transparency facility for OTC
trades via TRADEcho (see following presentation)
Transaction Reporting (1)
5 October 2017 London Stock Exchange Group Page 28
bull RTS 22 and other RTS do not specify constraints on the
format of the Trading Venue Trade Identification Code
(TVTIC) used by Trading venues apart from
ndash Trade ID should be unique
ndash Trade ID should be an alphanumerical string of maximum 52
characters
bull The MiFID II Transaction Reporting Validation Rules
published by ESMA state that TVTIC must be made of capital
letters and numbers
Transaction Reporting (2)
5 October 2017 London Stock Exchange Group Page 29
bull On MIT Trade ID is unique per Market and is
ndash a 8 bytes number on the NTG interface and on MITCH and GTP
ndash ldquoTrdquo concatenated to an alphanumerical string corresponding to the
above ID base 62 encoded on FIX (Trading Drop Copy and Post
Trade Gateways)
ndash The alphanumerical identifier described above
bull is sent to downstream systems (Post Trading Clearing Settlement)
bull is published in reconciliation reports
bull is currently used for Transaction reporting purposes
bull is a case sensitive alphanumerical string
Transaction Reporting (3)
5 October 2017 London Stock Exchange Group Page 30
bull On SOLA
ndash the currently used Trade ID is a progressive number unique per
instrument
ndash In order to have a unique ID it has been decided to use the above
Trade ID concatenated with the SICO Code (Group ID + Instrument ID)
for Transaction Reporting purposes
ndash The SICO Code is case sensitive therefore the ID made of the
platformrsquos Trade ID concatenated with the SICO Code is a case
sensitive alphanumerical string
Transaction Reporting (4)
5 October 2017 London Stock Exchange Group Page 31
bull We will rely on different TVTICs for Transaction Reporting
purposes using
ndash on MIT the 8 bytes number used on the NTG interface and on MITCH
and GTP asking FIX clients to apply the already documented base 62
decoding algorithm
ndash on SOLA the base 62 decoded version of the identifier described in
the previous slide
bull TVTIC will be provided on Reconciliation Files
Borsa Italiana Transaction Reporting Service
5 October 2017 London Stock Exchange Group Page 32
bull The existing Borsa Italianarsquos Transaction Reporting
Service will close together with the go-live of MiFID II
bull The Transaction Reporting Service will be active until the
introduction of MiFID II on January 3rd 2018
bull LSEG will offer Transaction Reporting facility via UnaVista
another company of LSEG that will apply as ARM (Approved
Reporting Mechanism)
5 October 2017 London Stock Exchange Group Page 33
IDEM Key Information Documents
Enrico Pellizzoni
Head of Italy Equity Markets and Derivatives Products
PRIIPs Regulation (IDEM) (1)
5 October 2017 London Stock Exchange Group Page 34
bull BIt will to produce KIDs (Key Information Documents) for IDEM contracts
bull Borsa Italiana will follow an lsquoaggregated approachrsquo as allowed from recent ESMArsquos QampA 14 KIDs will be produced to describe existing IDEM contracts
bull a KID will identify ISINs sharing the same contract specifications expected payoff and fee structure
ndash call options vs put options on the same contract ndash 2 different KIDs
ndash single name derivatives will have a single aggregated KID for each product category (not for each individual underlying)
ndash weekly expiries are not identified by a separate KID
bull Description of costs will include fees that BIt is charging to its market participants Brokers must inform retail clients about their own costs
PRIIPs Regulation (IDEM) (2)
5 October 2017 London Stock Exchange Group Page 35
1 Futures on FTSE MIB
2 Mini futures on FTSE MIB
3 Futures on FTSE MIB dividend
4 Call options on FTSE MIB
5 Put options on FTSE MIB
6 Stock futures
7 Stock dividend futures
8 Single stock call options
9 Single stock put options
10Baseload Italian power futures
11Peakload Italian power futures
12Baseload German power futures
13Peakload German power futures
14Durum wheat futures
PRIIPs Regulation (IDEM) (3)
5 October 2017 London Stock Exchange Group Page 36
bull Available as pdf files free of charge in a dedicated webpage
wwwborsaitalianaitderivatikidskidsenhtm
bull File names with a dedicated convention linked to reference data and downloadable also as
wwwborsaitalianaitderivatikids[filename]pdf
bull Available for download via ftp server (MIT 702)
bull Reviewed at least yearly (or in case of changes to contract specs expected payoff fee structure)
bull Available in Italian English Spanish German and French Additional translations will be evaluated in due course
5 October 2017 London Stock Exchange Group Page 37
Member Portal
Antonello Greco
Technical Account Manager
Client Technology Services Italy
RTS 24 - Requirements
5 October 2017 London Stock Exchange Group Page 38
bull Client Identification code Identifier of the Client (Local Person Identifier or
Legal Entity Identifier) for client orders only
bull Investment Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the investment decision
bull Execution Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the execution decision
Long Code ndash Short Code mapping
5 October 2017 London Stock Exchange Group Page 39
Long Code Short Code
Market messages Client ID Investment Decision Maker Executing Trader
Short Codes ndash Reserved values
5 October 2017 London Stock Exchange Group Page 40
bull 0 None Valid for Client ID and Investment Decision ID
bull 1 AGGR where several orders are submitted to the trading venue together as
an aggregated Valid for Client ID only
bull 2 PNAL where a trading participant allocates an order to its client following
submission of the order to the trading venue and has not yet allocated the
order to its client at the time of the submission of the order Valid for Client ID
only
bull 3 CLIENT valid for Execution Decision ID only
Uploading ndash Three options
5 October 2017 London Stock Exchange Group Page 41
A trading firm will manage the short-long code mappings in a new section of the
Member Portal in the following ways
bull Manual insertion
bull Bulk upload through the Member Portal web interface
bull Bulk upload via SFTP server
Uploading ndash Manual insertion
5 October 2017 London Stock Exchange Group Page 42
bull Short Code numerical value between 4 and 232-1
bull Long Code alphanumerical string of 50 characters Expected values are ndash Local Person Identifier
ndash Legal Entity Identifier
ndash Algorithm
bull Identifier Code Type ndash Natural Person
ndash Client LEI
ndash Algorithm
Uploading ndash Bulk upload (12)
5 October 2017 London Stock Exchange Group Page 43
Field Name
Mandatory
Description
Short Code
Y
4 ndash 4294967295
Long Code
Y
50 alphanumeric chars
Identifier Code Type
Y
L Client LEI
N Natural Person
A Algorithm
Notes
N
Free text field
Operation Type
Y
0 New
1 Update
2 Delete
Uploading ndash Bulk upload (22)
5 October 2017 London Stock Exchange Group Page 44
A new record reporting information on the outcome of the upload is displayed
bull Status ndash In Progress Published Published with errors Not Published
bull UserFile the userrsquos original csv
bull ResultFile a txt file containing the number of records added updated deleted
bull ErrorFile a csv file listing the records containing errors An Error Description field
is added to instruct the user of the error
Uploading ndash SFTP server
5 October 2017 London Stock Exchange Group Page 45
bull The csv file has the same layout as the one used to upload through the
member portal web interface
bull The only difference is that the file must have a specific naming convention
- Venue_ShortLongCodes_YYYYMMDD_NNcsv
bull The root folder of the sFTP server is the Firm ID which in turn contains an IN
and an OUT folder with respectively read-write and read only access
bull The IN folder will contain the bulk upload csv file while the OUT folder will
store Results File and Errors File (if one or more records are rejected)
Upload by difference or laquofrom scratchraquo
5 October 2017 London Stock Exchange Group Page 46
When uploading the file the user can choose to
bull insert modify and delete the existing set of short-long codes hence working by
difference
bull replace the whole list of existing short-long codes with the ones included in the
file hence working from scratch Operation Type can only be populated with 0
Constraints
5 October 2017 London Stock Exchange Group Page 47
bull Two different records can not have the same pair ltShort Code Identifier Code
Typegt
bull Local Person Identifier and Legal Identity Identifiers have to be used
respectively to identify a Natural Person and a LEI
bull Following a cancellation the upload of a new record with the same pair ltShort
Code Identifier Code Typegt will be rejected
When uploading mappings
5 October 2017 London Stock Exchange Group Page 48
bull Short CodeLong Code mappings must be uploaded within the market close
(time limit to be defined) of the same day as they are used as part of the
layout of market messages sent to the exchange
bull Trading participants failing to report the records at day T will be notified and
must download the Missing Short Codes report to find out the discrepancies
to be corrected
bull The Missing Short Code report for the day T is available at T+1 and it lists
the discrepancies of the last five working days
Additional Enhancements
5 October 2017 London Stock Exchange Group Page 49
bull Trader IDs
bull Risk Management users for pre-trade validation functionalities (PTV)
bull Self Execution Prevention
bull Market Making Strategies
bull Mass Cancellation
bull Back Office SELECT
bull Position Report as required by RTS 21 - Application of position limits to
commodity derivatives
Go live
5 October 2017 London Stock Exchange Group Page 50
bull The new Member Portal will go-live on November 2017
bull Trading participant will have a one month window to test the upload of
mappings on the Member Portal before the actual MIFID II go live on
January the 3rd
bull No validations on how short codes are used in the layout of market
messages will be performed except for formal integrity checks
bull The User Manual is already available online on both Borsa Italiana and
EuroTLX websites
5 October 2017 London Stock Exchange Group Page 51
TRADEcho
Roberto Fumagalli
Technical Account Manager
Client Technology Services Italy
POST TRADE TRANSPARENCY OBLIGATION
5 October 2017 London Stock Exchange Group Page 52
MiFID I requires customers to publish OTC trades done on equity instruments listed on European regulated markets Consob extended this obligation to all instruments listed on regulated market (including MOT SeDeX ETFPlus and MTS) MiFID II extends the reporting obligation to all instruments (equity and non equity) listed on European regulated markets MTF and OTF The service offered by Borsa Italiana (PTTS service) to fulfill this obligation will close on 27th November 2017 (release of MIT Platform MiFID II version compliant) LSEG will offer Post Trade Transparency facility for OTC trades via TRADEcho
5 October 2017 London Stock Exchange Group Page 53
TRADEcho
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
Client Investment amp Exec IDs Algo amp DEA Flag
5 October 2017 London Stock Exchange Group Page 9
bull On November 27th a set of new fields will be required in order and quote entry messages (and sent back to client applications via Execution and Trade Capture Reports)
ndash Client ID
ndash Investment ID
ndash Execution ID
ndash Algo Flag
ndash DEA Flag
bull Although present in the protocol the content of the above fields will not be subject to any formal validation or cross check only basic technical validations outlined in platform specs will be applied
bull On January 3rd clients will be have the regulatory obligation to correctly fill in the above fields
ndash Guidelines document will be provided shortly
Waiver Indicators amp Post Trade Flags
5 October 2017 London Stock Exchange Group Page 10
bull Starting from November 27th 2017 a set of new fields will be added to
Execution Reports andor Trade Capture Reports sent to customers
ndash Waiver Indicators
ndash Post Trade Flags
bull The content of the above fields should not be considered as significant by
market participants until MiFID II legally enter into force on January 3rd 2018
Request for Quote (1)
5 October 2017 London Stock Exchange Group Page 11
bull With MiFID II RFQ can be
ndash No pre-trade transparency (NPT as it currently is on our markets)
ndash Partial pre-trade transparency (PPT)
ndash Full pre-trade transparency (FPT)
Request for Quote (2)
5 October 2017 London Stock Exchange Group Page 12
bull For PPT RFQs indicative Bid and Ask Prices of Quotes (average of Quotes Bid and Ask Prices sent by Market Makers active at execution) will be published via GTP (FDI channels only) and MITCH when (and if) the RFQ becomes executable and the RFQ trade is generated
bull For FPT RFQs all Market Makers Quotes (active at execution) will be published via GTP (FDI channels only) and MITCH when (and if) the RFQ becomes executable and the RFQ trade is generated
bull PPT and FTP models will be introduced on January 2nd 2018 (one day before MiFID II introduction)
Tick Table Policy (1)
5 October 2017 London Stock Exchange Group Page 13
bull Change of Tick Table policy (live on November 27th)
ndash from min boundary lt price lt= max boundary
ndash to min boundary lt= price lt max boundary
bull Introduction of new Tick Tables on MTA market (live on
January 3rd)
ndash Borsa Italiana will introduce 6 new tick size tables according to the
requirements defined by RTS 11 on January 3rd 2018
Tick Table Policy (2)
5 October 2017 London Stock Exchange Group Page 14
bull Introduction of new Tick Tables on ETF+ market
ndash the tick size table defined by RTS 11 corresponding to the highest average daily number of
transaction will be applied to ETFs with equity underlying (also for RFQ)
ndash for other ETFs and ETCsETNs a dedicated tick table will be introduced
bull RFQs on these instruments will use a fixed tick size equal to 00001 euro
ndash The above changes will go live on November 27th 2017
New ATF Trades Publication Model (1)
5 October 2017 London Stock Exchange Group Page 15
bull Trades on ATF instruments (ATF is a segment of ETF+) will be published via
Market Data services with the price (1euro as per convention) marked as Pending
bull Once NAV is received
ndash trades are rectified (price is set to the NAV)
ndash Market Data Services will publish the modification of Trades
bull Two messages will be sent via market Data Services (GTP and MITCH) one cancelling
the trade and one for re-publishing the trade with indication that an amendment has been
made
New ATF Trades Publication Model (2)
5 October 2017 London Stock Exchange Group Page 16
bull An ack of the modification of the trades will be sent to customers via a Trade
Capture Report sent by the Post Trade Gateway
bull GTP statistics for ATF will be calculated on the amended price (published
at T+1) and not on the pending one (published at T)
bull Changes to ATF Trades Publication Model will go live on November 27th
2017
Cross Orders on MIT
5 October 2017 London Stock Exchange Group Page 17
Instrument Type November 27th 2017 January 2nd 2018 January 3rd 2018
Shares bull Switch to volume-weighted spread price validation
bull For Liquid Shares Reject of Cross Orders when volume-weighted spread is not available
Liquid ETFs Reject of Cross Orders when volume-weighted spread is not available
Liquid ETCs ETNs Fixed Income
Cross Orders disabled
SeDeX Cross Orders disabled
Negotiated Transactions
5 October 2017 London Stock Exchange Group Page 18
bull New statistics calculation for Cross Orders (no updates to Last Trade Price
LowHigh Price) for both MIT and SOLA platforms starting from January 2nd 2018
ndash Stop or Stop Limit Orders will no longer be triggered by Cross Orders
ndash Prices of Cross Orders will not influence circuit breaker validations for the following trade
bull Switch from quantity to value-based control for the minimum size of a Block Trade
on MIT markets on November 27th 2017
bull Reject execution of negotiated transactions below the pre-trade LIS threshold for
liquid products on IDEM market on January 2nd 2018
New trading Capacities
5 October 2017 London Stock Exchange Group Page 19
bull on January 3rd 2018
ndash the new Matched Principal Trading Capacity will be added (according to membership
trading authorizations) to existing ones on both the Borsa Italiana MIT and the SOLA
markets
ndash The two new Matched Principal and Un-Matched Principal Trading Capacities will be
enabled on EuroTLX
bull dedicated Comp IDs must be requested by Brokers authorized to use Matched
Principal andor Unmatched Principal Trading Capacities
bull it will be possible to use Matched Principal andor Unmatched Principal Trading
Capacities only via the dedicated Comp IDs described above
Other Changes (1)
5 October 2017 London Stock Exchange Group Page 20
bull on November 27th 2017
ndash Introduction of new pre-trade controls on maximum order value on MIT platform and on maximum order notional value on SOLA platform
ndash Iceberg orders
bull Introduction of a control on the minimum value of iceberg orders on the MIT platform
bull switch from quantity to value-based control for the minimum peak size
bull Introduction of a control on minimum notional value on SOLA platform
ndash Changes to EMS and EMS multiplier parameters for the ETF+ market
bull on January 2nd 2018
ndash Changes to EMS and EMS multiplier parameters for the SeDeX market
Other Changes (2)
5 October 2017 London Stock Exchange Group Page 21
bull On November 27th 2017 the classification of lsquoliquidrsquo vs lsquonot liquidrsquo will be included in reference
data
ndash Shares according to current MiFID classification
ndash Fixed income instruments ETFs ETCs and ETNs all classified as lsquoilliquidrsquo pending ESMArsquos
classification
ndash SeDeX will be set as Liquid according to ESMArsquos MiFID II classification
ndash IDEM according to ESMArsquos MiFID II classification
bull On November 27th 2017 the CPP (Closing Price Publication) session will be removed
Closing Prices will be disseminated
ndash At the beginning of the Post Close session for segments that do not have a Closing Auction
ndash At the end of the Closing Auction session for segments that do have a Closing Auction
Market MakingLiquidity Provision (1)
5 October 2017 London Stock Exchange Group Page 22
bull on MIT Market MakersLiquidity Providers are and will be given one or more
dedicated Comp ID(s) in order to segregate Market MakingLiquidity Provision
activity
bull on SOLA Market MakersLiquidity Providers are and will be given one or more
dedicated Trader ID(s) in order to segregate Market MakingLiquidity Provision
activity
bull a dedicated Naming Convention is applied to Comp IDs and Trader IDs used
for Market MakingLiquidity Provision activity
Market MakingLiquidity Provision (2)
5 October 2017 London Stock Exchange Group Page 23
bull Market MakersLiquidity Providers send (single or dual side) quotes most of the time but under certain circumstances (depending on the type of activity) may send orders
ndash operators have to restrict the use of the dedicated Comp IDTrader ID to the liquidity provision activity using quotes or orders according to what is requested by the Market Making programs in place independently from the fact that no technical restrictions will be put in place
bull For existing Market Making programs
ndash We are restricting MIT Specialist Comp IDs to send orders only on the subset of instruments they are associated for Specialist activity (work in progress migration based on individual client migration plan)
ndash We will restrict SOLA Market Making Trader IDs to send orders only on the subset of instruments they are associated for Market Making activity starting from November 27th 2017
Market MakingLiquidity Provision (3)
5 October 2017 London Stock Exchange Group Page 24
bull New MiFID II Market Making SchemeAgreements (starting from January 3rd
2018)
ndash Member Firms that will subscribe for the new SchemeAgreements will be given dedicated
Comp IDs (for MIT markets) and Trader IDs
ndash Member Firms will decide whether to perform this activity via quotes and orders or via
orders only
bull On SeDeX Member Firms that will subscribe for the new SchemeAgreements will be
allowed to use orders only
Stressed Market Conditions
5 October 2017 London Stock Exchange Group Page 25
bull Stressed Market Conditions will be defined at rulebook level
bull Notification to customers of ldquoStressed Market Conditionsrdquo
ndash No specific market changes will be introduced for notifying customers when ldquoStressed Market
Conditionsrdquo occur
ndash on MIT
bull ldquoStressed Market Conditionsrdquo will be derived from ldquocircuit breakerrdquo period plus ldquonrdquo seconds after
bull Announcement messages will be disseminated in order to announce ldquoStressed Market
Conditionsrdquo
ndash on SOLA Bulletin messages will be disseminated in order to announce ldquoStressed Market
Conditionsrdquo
Legacy CDS
5 October 2017 London Stock Exchange Group Page 26
bull In order to facilitate the testing of software applications and customer
algorithms a new test environment will be provided in parallel to the existing
one starting from Q1 2018
ndash a Legacy CDS will be provided for all the Trading and Market Data services of the Grouprsquos
Trading Venues
ndash the new environment will be continuously aligned with production in terms of Software
Version of Trading and Market Data Systems and Reference Data
Borsa Italiana Post Trade Transparency Service
5 October 2017 London Stock Exchange Group Page 27
bull The existing Borsa Italianarsquos Post Trade Transparency
Service will be discontinued with MiFID II
bull For technical reasons together with the MiFID II technical go-
live (November 27th 2017) it will not be possible to keep
providing the Post Trade Transparency Service
bull LSEG will offer Post Trade Transparency facility for OTC
trades via TRADEcho (see following presentation)
Transaction Reporting (1)
5 October 2017 London Stock Exchange Group Page 28
bull RTS 22 and other RTS do not specify constraints on the
format of the Trading Venue Trade Identification Code
(TVTIC) used by Trading venues apart from
ndash Trade ID should be unique
ndash Trade ID should be an alphanumerical string of maximum 52
characters
bull The MiFID II Transaction Reporting Validation Rules
published by ESMA state that TVTIC must be made of capital
letters and numbers
Transaction Reporting (2)
5 October 2017 London Stock Exchange Group Page 29
bull On MIT Trade ID is unique per Market and is
ndash a 8 bytes number on the NTG interface and on MITCH and GTP
ndash ldquoTrdquo concatenated to an alphanumerical string corresponding to the
above ID base 62 encoded on FIX (Trading Drop Copy and Post
Trade Gateways)
ndash The alphanumerical identifier described above
bull is sent to downstream systems (Post Trading Clearing Settlement)
bull is published in reconciliation reports
bull is currently used for Transaction reporting purposes
bull is a case sensitive alphanumerical string
Transaction Reporting (3)
5 October 2017 London Stock Exchange Group Page 30
bull On SOLA
ndash the currently used Trade ID is a progressive number unique per
instrument
ndash In order to have a unique ID it has been decided to use the above
Trade ID concatenated with the SICO Code (Group ID + Instrument ID)
for Transaction Reporting purposes
ndash The SICO Code is case sensitive therefore the ID made of the
platformrsquos Trade ID concatenated with the SICO Code is a case
sensitive alphanumerical string
Transaction Reporting (4)
5 October 2017 London Stock Exchange Group Page 31
bull We will rely on different TVTICs for Transaction Reporting
purposes using
ndash on MIT the 8 bytes number used on the NTG interface and on MITCH
and GTP asking FIX clients to apply the already documented base 62
decoding algorithm
ndash on SOLA the base 62 decoded version of the identifier described in
the previous slide
bull TVTIC will be provided on Reconciliation Files
Borsa Italiana Transaction Reporting Service
5 October 2017 London Stock Exchange Group Page 32
bull The existing Borsa Italianarsquos Transaction Reporting
Service will close together with the go-live of MiFID II
bull The Transaction Reporting Service will be active until the
introduction of MiFID II on January 3rd 2018
bull LSEG will offer Transaction Reporting facility via UnaVista
another company of LSEG that will apply as ARM (Approved
Reporting Mechanism)
5 October 2017 London Stock Exchange Group Page 33
IDEM Key Information Documents
Enrico Pellizzoni
Head of Italy Equity Markets and Derivatives Products
PRIIPs Regulation (IDEM) (1)
5 October 2017 London Stock Exchange Group Page 34
bull BIt will to produce KIDs (Key Information Documents) for IDEM contracts
bull Borsa Italiana will follow an lsquoaggregated approachrsquo as allowed from recent ESMArsquos QampA 14 KIDs will be produced to describe existing IDEM contracts
bull a KID will identify ISINs sharing the same contract specifications expected payoff and fee structure
ndash call options vs put options on the same contract ndash 2 different KIDs
ndash single name derivatives will have a single aggregated KID for each product category (not for each individual underlying)
ndash weekly expiries are not identified by a separate KID
bull Description of costs will include fees that BIt is charging to its market participants Brokers must inform retail clients about their own costs
PRIIPs Regulation (IDEM) (2)
5 October 2017 London Stock Exchange Group Page 35
1 Futures on FTSE MIB
2 Mini futures on FTSE MIB
3 Futures on FTSE MIB dividend
4 Call options on FTSE MIB
5 Put options on FTSE MIB
6 Stock futures
7 Stock dividend futures
8 Single stock call options
9 Single stock put options
10Baseload Italian power futures
11Peakload Italian power futures
12Baseload German power futures
13Peakload German power futures
14Durum wheat futures
PRIIPs Regulation (IDEM) (3)
5 October 2017 London Stock Exchange Group Page 36
bull Available as pdf files free of charge in a dedicated webpage
wwwborsaitalianaitderivatikidskidsenhtm
bull File names with a dedicated convention linked to reference data and downloadable also as
wwwborsaitalianaitderivatikids[filename]pdf
bull Available for download via ftp server (MIT 702)
bull Reviewed at least yearly (or in case of changes to contract specs expected payoff fee structure)
bull Available in Italian English Spanish German and French Additional translations will be evaluated in due course
5 October 2017 London Stock Exchange Group Page 37
Member Portal
Antonello Greco
Technical Account Manager
Client Technology Services Italy
RTS 24 - Requirements
5 October 2017 London Stock Exchange Group Page 38
bull Client Identification code Identifier of the Client (Local Person Identifier or
Legal Entity Identifier) for client orders only
bull Investment Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the investment decision
bull Execution Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the execution decision
Long Code ndash Short Code mapping
5 October 2017 London Stock Exchange Group Page 39
Long Code Short Code
Market messages Client ID Investment Decision Maker Executing Trader
Short Codes ndash Reserved values
5 October 2017 London Stock Exchange Group Page 40
bull 0 None Valid for Client ID and Investment Decision ID
bull 1 AGGR where several orders are submitted to the trading venue together as
an aggregated Valid for Client ID only
bull 2 PNAL where a trading participant allocates an order to its client following
submission of the order to the trading venue and has not yet allocated the
order to its client at the time of the submission of the order Valid for Client ID
only
bull 3 CLIENT valid for Execution Decision ID only
Uploading ndash Three options
5 October 2017 London Stock Exchange Group Page 41
A trading firm will manage the short-long code mappings in a new section of the
Member Portal in the following ways
bull Manual insertion
bull Bulk upload through the Member Portal web interface
bull Bulk upload via SFTP server
Uploading ndash Manual insertion
5 October 2017 London Stock Exchange Group Page 42
bull Short Code numerical value between 4 and 232-1
bull Long Code alphanumerical string of 50 characters Expected values are ndash Local Person Identifier
ndash Legal Entity Identifier
ndash Algorithm
bull Identifier Code Type ndash Natural Person
ndash Client LEI
ndash Algorithm
Uploading ndash Bulk upload (12)
5 October 2017 London Stock Exchange Group Page 43
Field Name
Mandatory
Description
Short Code
Y
4 ndash 4294967295
Long Code
Y
50 alphanumeric chars
Identifier Code Type
Y
L Client LEI
N Natural Person
A Algorithm
Notes
N
Free text field
Operation Type
Y
0 New
1 Update
2 Delete
Uploading ndash Bulk upload (22)
5 October 2017 London Stock Exchange Group Page 44
A new record reporting information on the outcome of the upload is displayed
bull Status ndash In Progress Published Published with errors Not Published
bull UserFile the userrsquos original csv
bull ResultFile a txt file containing the number of records added updated deleted
bull ErrorFile a csv file listing the records containing errors An Error Description field
is added to instruct the user of the error
Uploading ndash SFTP server
5 October 2017 London Stock Exchange Group Page 45
bull The csv file has the same layout as the one used to upload through the
member portal web interface
bull The only difference is that the file must have a specific naming convention
- Venue_ShortLongCodes_YYYYMMDD_NNcsv
bull The root folder of the sFTP server is the Firm ID which in turn contains an IN
and an OUT folder with respectively read-write and read only access
bull The IN folder will contain the bulk upload csv file while the OUT folder will
store Results File and Errors File (if one or more records are rejected)
Upload by difference or laquofrom scratchraquo
5 October 2017 London Stock Exchange Group Page 46
When uploading the file the user can choose to
bull insert modify and delete the existing set of short-long codes hence working by
difference
bull replace the whole list of existing short-long codes with the ones included in the
file hence working from scratch Operation Type can only be populated with 0
Constraints
5 October 2017 London Stock Exchange Group Page 47
bull Two different records can not have the same pair ltShort Code Identifier Code
Typegt
bull Local Person Identifier and Legal Identity Identifiers have to be used
respectively to identify a Natural Person and a LEI
bull Following a cancellation the upload of a new record with the same pair ltShort
Code Identifier Code Typegt will be rejected
When uploading mappings
5 October 2017 London Stock Exchange Group Page 48
bull Short CodeLong Code mappings must be uploaded within the market close
(time limit to be defined) of the same day as they are used as part of the
layout of market messages sent to the exchange
bull Trading participants failing to report the records at day T will be notified and
must download the Missing Short Codes report to find out the discrepancies
to be corrected
bull The Missing Short Code report for the day T is available at T+1 and it lists
the discrepancies of the last five working days
Additional Enhancements
5 October 2017 London Stock Exchange Group Page 49
bull Trader IDs
bull Risk Management users for pre-trade validation functionalities (PTV)
bull Self Execution Prevention
bull Market Making Strategies
bull Mass Cancellation
bull Back Office SELECT
bull Position Report as required by RTS 21 - Application of position limits to
commodity derivatives
Go live
5 October 2017 London Stock Exchange Group Page 50
bull The new Member Portal will go-live on November 2017
bull Trading participant will have a one month window to test the upload of
mappings on the Member Portal before the actual MIFID II go live on
January the 3rd
bull No validations on how short codes are used in the layout of market
messages will be performed except for formal integrity checks
bull The User Manual is already available online on both Borsa Italiana and
EuroTLX websites
5 October 2017 London Stock Exchange Group Page 51
TRADEcho
Roberto Fumagalli
Technical Account Manager
Client Technology Services Italy
POST TRADE TRANSPARENCY OBLIGATION
5 October 2017 London Stock Exchange Group Page 52
MiFID I requires customers to publish OTC trades done on equity instruments listed on European regulated markets Consob extended this obligation to all instruments listed on regulated market (including MOT SeDeX ETFPlus and MTS) MiFID II extends the reporting obligation to all instruments (equity and non equity) listed on European regulated markets MTF and OTF The service offered by Borsa Italiana (PTTS service) to fulfill this obligation will close on 27th November 2017 (release of MIT Platform MiFID II version compliant) LSEG will offer Post Trade Transparency facility for OTC trades via TRADEcho
5 October 2017 London Stock Exchange Group Page 53
TRADEcho
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
Waiver Indicators amp Post Trade Flags
5 October 2017 London Stock Exchange Group Page 10
bull Starting from November 27th 2017 a set of new fields will be added to
Execution Reports andor Trade Capture Reports sent to customers
ndash Waiver Indicators
ndash Post Trade Flags
bull The content of the above fields should not be considered as significant by
market participants until MiFID II legally enter into force on January 3rd 2018
Request for Quote (1)
5 October 2017 London Stock Exchange Group Page 11
bull With MiFID II RFQ can be
ndash No pre-trade transparency (NPT as it currently is on our markets)
ndash Partial pre-trade transparency (PPT)
ndash Full pre-trade transparency (FPT)
Request for Quote (2)
5 October 2017 London Stock Exchange Group Page 12
bull For PPT RFQs indicative Bid and Ask Prices of Quotes (average of Quotes Bid and Ask Prices sent by Market Makers active at execution) will be published via GTP (FDI channels only) and MITCH when (and if) the RFQ becomes executable and the RFQ trade is generated
bull For FPT RFQs all Market Makers Quotes (active at execution) will be published via GTP (FDI channels only) and MITCH when (and if) the RFQ becomes executable and the RFQ trade is generated
bull PPT and FTP models will be introduced on January 2nd 2018 (one day before MiFID II introduction)
Tick Table Policy (1)
5 October 2017 London Stock Exchange Group Page 13
bull Change of Tick Table policy (live on November 27th)
ndash from min boundary lt price lt= max boundary
ndash to min boundary lt= price lt max boundary
bull Introduction of new Tick Tables on MTA market (live on
January 3rd)
ndash Borsa Italiana will introduce 6 new tick size tables according to the
requirements defined by RTS 11 on January 3rd 2018
Tick Table Policy (2)
5 October 2017 London Stock Exchange Group Page 14
bull Introduction of new Tick Tables on ETF+ market
ndash the tick size table defined by RTS 11 corresponding to the highest average daily number of
transaction will be applied to ETFs with equity underlying (also for RFQ)
ndash for other ETFs and ETCsETNs a dedicated tick table will be introduced
bull RFQs on these instruments will use a fixed tick size equal to 00001 euro
ndash The above changes will go live on November 27th 2017
New ATF Trades Publication Model (1)
5 October 2017 London Stock Exchange Group Page 15
bull Trades on ATF instruments (ATF is a segment of ETF+) will be published via
Market Data services with the price (1euro as per convention) marked as Pending
bull Once NAV is received
ndash trades are rectified (price is set to the NAV)
ndash Market Data Services will publish the modification of Trades
bull Two messages will be sent via market Data Services (GTP and MITCH) one cancelling
the trade and one for re-publishing the trade with indication that an amendment has been
made
New ATF Trades Publication Model (2)
5 October 2017 London Stock Exchange Group Page 16
bull An ack of the modification of the trades will be sent to customers via a Trade
Capture Report sent by the Post Trade Gateway
bull GTP statistics for ATF will be calculated on the amended price (published
at T+1) and not on the pending one (published at T)
bull Changes to ATF Trades Publication Model will go live on November 27th
2017
Cross Orders on MIT
5 October 2017 London Stock Exchange Group Page 17
Instrument Type November 27th 2017 January 2nd 2018 January 3rd 2018
Shares bull Switch to volume-weighted spread price validation
bull For Liquid Shares Reject of Cross Orders when volume-weighted spread is not available
Liquid ETFs Reject of Cross Orders when volume-weighted spread is not available
Liquid ETCs ETNs Fixed Income
Cross Orders disabled
SeDeX Cross Orders disabled
Negotiated Transactions
5 October 2017 London Stock Exchange Group Page 18
bull New statistics calculation for Cross Orders (no updates to Last Trade Price
LowHigh Price) for both MIT and SOLA platforms starting from January 2nd 2018
ndash Stop or Stop Limit Orders will no longer be triggered by Cross Orders
ndash Prices of Cross Orders will not influence circuit breaker validations for the following trade
bull Switch from quantity to value-based control for the minimum size of a Block Trade
on MIT markets on November 27th 2017
bull Reject execution of negotiated transactions below the pre-trade LIS threshold for
liquid products on IDEM market on January 2nd 2018
New trading Capacities
5 October 2017 London Stock Exchange Group Page 19
bull on January 3rd 2018
ndash the new Matched Principal Trading Capacity will be added (according to membership
trading authorizations) to existing ones on both the Borsa Italiana MIT and the SOLA
markets
ndash The two new Matched Principal and Un-Matched Principal Trading Capacities will be
enabled on EuroTLX
bull dedicated Comp IDs must be requested by Brokers authorized to use Matched
Principal andor Unmatched Principal Trading Capacities
bull it will be possible to use Matched Principal andor Unmatched Principal Trading
Capacities only via the dedicated Comp IDs described above
Other Changes (1)
5 October 2017 London Stock Exchange Group Page 20
bull on November 27th 2017
ndash Introduction of new pre-trade controls on maximum order value on MIT platform and on maximum order notional value on SOLA platform
ndash Iceberg orders
bull Introduction of a control on the minimum value of iceberg orders on the MIT platform
bull switch from quantity to value-based control for the minimum peak size
bull Introduction of a control on minimum notional value on SOLA platform
ndash Changes to EMS and EMS multiplier parameters for the ETF+ market
bull on January 2nd 2018
ndash Changes to EMS and EMS multiplier parameters for the SeDeX market
Other Changes (2)
5 October 2017 London Stock Exchange Group Page 21
bull On November 27th 2017 the classification of lsquoliquidrsquo vs lsquonot liquidrsquo will be included in reference
data
ndash Shares according to current MiFID classification
ndash Fixed income instruments ETFs ETCs and ETNs all classified as lsquoilliquidrsquo pending ESMArsquos
classification
ndash SeDeX will be set as Liquid according to ESMArsquos MiFID II classification
ndash IDEM according to ESMArsquos MiFID II classification
bull On November 27th 2017 the CPP (Closing Price Publication) session will be removed
Closing Prices will be disseminated
ndash At the beginning of the Post Close session for segments that do not have a Closing Auction
ndash At the end of the Closing Auction session for segments that do have a Closing Auction
Market MakingLiquidity Provision (1)
5 October 2017 London Stock Exchange Group Page 22
bull on MIT Market MakersLiquidity Providers are and will be given one or more
dedicated Comp ID(s) in order to segregate Market MakingLiquidity Provision
activity
bull on SOLA Market MakersLiquidity Providers are and will be given one or more
dedicated Trader ID(s) in order to segregate Market MakingLiquidity Provision
activity
bull a dedicated Naming Convention is applied to Comp IDs and Trader IDs used
for Market MakingLiquidity Provision activity
Market MakingLiquidity Provision (2)
5 October 2017 London Stock Exchange Group Page 23
bull Market MakersLiquidity Providers send (single or dual side) quotes most of the time but under certain circumstances (depending on the type of activity) may send orders
ndash operators have to restrict the use of the dedicated Comp IDTrader ID to the liquidity provision activity using quotes or orders according to what is requested by the Market Making programs in place independently from the fact that no technical restrictions will be put in place
bull For existing Market Making programs
ndash We are restricting MIT Specialist Comp IDs to send orders only on the subset of instruments they are associated for Specialist activity (work in progress migration based on individual client migration plan)
ndash We will restrict SOLA Market Making Trader IDs to send orders only on the subset of instruments they are associated for Market Making activity starting from November 27th 2017
Market MakingLiquidity Provision (3)
5 October 2017 London Stock Exchange Group Page 24
bull New MiFID II Market Making SchemeAgreements (starting from January 3rd
2018)
ndash Member Firms that will subscribe for the new SchemeAgreements will be given dedicated
Comp IDs (for MIT markets) and Trader IDs
ndash Member Firms will decide whether to perform this activity via quotes and orders or via
orders only
bull On SeDeX Member Firms that will subscribe for the new SchemeAgreements will be
allowed to use orders only
Stressed Market Conditions
5 October 2017 London Stock Exchange Group Page 25
bull Stressed Market Conditions will be defined at rulebook level
bull Notification to customers of ldquoStressed Market Conditionsrdquo
ndash No specific market changes will be introduced for notifying customers when ldquoStressed Market
Conditionsrdquo occur
ndash on MIT
bull ldquoStressed Market Conditionsrdquo will be derived from ldquocircuit breakerrdquo period plus ldquonrdquo seconds after
bull Announcement messages will be disseminated in order to announce ldquoStressed Market
Conditionsrdquo
ndash on SOLA Bulletin messages will be disseminated in order to announce ldquoStressed Market
Conditionsrdquo
Legacy CDS
5 October 2017 London Stock Exchange Group Page 26
bull In order to facilitate the testing of software applications and customer
algorithms a new test environment will be provided in parallel to the existing
one starting from Q1 2018
ndash a Legacy CDS will be provided for all the Trading and Market Data services of the Grouprsquos
Trading Venues
ndash the new environment will be continuously aligned with production in terms of Software
Version of Trading and Market Data Systems and Reference Data
Borsa Italiana Post Trade Transparency Service
5 October 2017 London Stock Exchange Group Page 27
bull The existing Borsa Italianarsquos Post Trade Transparency
Service will be discontinued with MiFID II
bull For technical reasons together with the MiFID II technical go-
live (November 27th 2017) it will not be possible to keep
providing the Post Trade Transparency Service
bull LSEG will offer Post Trade Transparency facility for OTC
trades via TRADEcho (see following presentation)
Transaction Reporting (1)
5 October 2017 London Stock Exchange Group Page 28
bull RTS 22 and other RTS do not specify constraints on the
format of the Trading Venue Trade Identification Code
(TVTIC) used by Trading venues apart from
ndash Trade ID should be unique
ndash Trade ID should be an alphanumerical string of maximum 52
characters
bull The MiFID II Transaction Reporting Validation Rules
published by ESMA state that TVTIC must be made of capital
letters and numbers
Transaction Reporting (2)
5 October 2017 London Stock Exchange Group Page 29
bull On MIT Trade ID is unique per Market and is
ndash a 8 bytes number on the NTG interface and on MITCH and GTP
ndash ldquoTrdquo concatenated to an alphanumerical string corresponding to the
above ID base 62 encoded on FIX (Trading Drop Copy and Post
Trade Gateways)
ndash The alphanumerical identifier described above
bull is sent to downstream systems (Post Trading Clearing Settlement)
bull is published in reconciliation reports
bull is currently used for Transaction reporting purposes
bull is a case sensitive alphanumerical string
Transaction Reporting (3)
5 October 2017 London Stock Exchange Group Page 30
bull On SOLA
ndash the currently used Trade ID is a progressive number unique per
instrument
ndash In order to have a unique ID it has been decided to use the above
Trade ID concatenated with the SICO Code (Group ID + Instrument ID)
for Transaction Reporting purposes
ndash The SICO Code is case sensitive therefore the ID made of the
platformrsquos Trade ID concatenated with the SICO Code is a case
sensitive alphanumerical string
Transaction Reporting (4)
5 October 2017 London Stock Exchange Group Page 31
bull We will rely on different TVTICs for Transaction Reporting
purposes using
ndash on MIT the 8 bytes number used on the NTG interface and on MITCH
and GTP asking FIX clients to apply the already documented base 62
decoding algorithm
ndash on SOLA the base 62 decoded version of the identifier described in
the previous slide
bull TVTIC will be provided on Reconciliation Files
Borsa Italiana Transaction Reporting Service
5 October 2017 London Stock Exchange Group Page 32
bull The existing Borsa Italianarsquos Transaction Reporting
Service will close together with the go-live of MiFID II
bull The Transaction Reporting Service will be active until the
introduction of MiFID II on January 3rd 2018
bull LSEG will offer Transaction Reporting facility via UnaVista
another company of LSEG that will apply as ARM (Approved
Reporting Mechanism)
5 October 2017 London Stock Exchange Group Page 33
IDEM Key Information Documents
Enrico Pellizzoni
Head of Italy Equity Markets and Derivatives Products
PRIIPs Regulation (IDEM) (1)
5 October 2017 London Stock Exchange Group Page 34
bull BIt will to produce KIDs (Key Information Documents) for IDEM contracts
bull Borsa Italiana will follow an lsquoaggregated approachrsquo as allowed from recent ESMArsquos QampA 14 KIDs will be produced to describe existing IDEM contracts
bull a KID will identify ISINs sharing the same contract specifications expected payoff and fee structure
ndash call options vs put options on the same contract ndash 2 different KIDs
ndash single name derivatives will have a single aggregated KID for each product category (not for each individual underlying)
ndash weekly expiries are not identified by a separate KID
bull Description of costs will include fees that BIt is charging to its market participants Brokers must inform retail clients about their own costs
PRIIPs Regulation (IDEM) (2)
5 October 2017 London Stock Exchange Group Page 35
1 Futures on FTSE MIB
2 Mini futures on FTSE MIB
3 Futures on FTSE MIB dividend
4 Call options on FTSE MIB
5 Put options on FTSE MIB
6 Stock futures
7 Stock dividend futures
8 Single stock call options
9 Single stock put options
10Baseload Italian power futures
11Peakload Italian power futures
12Baseload German power futures
13Peakload German power futures
14Durum wheat futures
PRIIPs Regulation (IDEM) (3)
5 October 2017 London Stock Exchange Group Page 36
bull Available as pdf files free of charge in a dedicated webpage
wwwborsaitalianaitderivatikidskidsenhtm
bull File names with a dedicated convention linked to reference data and downloadable also as
wwwborsaitalianaitderivatikids[filename]pdf
bull Available for download via ftp server (MIT 702)
bull Reviewed at least yearly (or in case of changes to contract specs expected payoff fee structure)
bull Available in Italian English Spanish German and French Additional translations will be evaluated in due course
5 October 2017 London Stock Exchange Group Page 37
Member Portal
Antonello Greco
Technical Account Manager
Client Technology Services Italy
RTS 24 - Requirements
5 October 2017 London Stock Exchange Group Page 38
bull Client Identification code Identifier of the Client (Local Person Identifier or
Legal Entity Identifier) for client orders only
bull Investment Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the investment decision
bull Execution Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the execution decision
Long Code ndash Short Code mapping
5 October 2017 London Stock Exchange Group Page 39
Long Code Short Code
Market messages Client ID Investment Decision Maker Executing Trader
Short Codes ndash Reserved values
5 October 2017 London Stock Exchange Group Page 40
bull 0 None Valid for Client ID and Investment Decision ID
bull 1 AGGR where several orders are submitted to the trading venue together as
an aggregated Valid for Client ID only
bull 2 PNAL where a trading participant allocates an order to its client following
submission of the order to the trading venue and has not yet allocated the
order to its client at the time of the submission of the order Valid for Client ID
only
bull 3 CLIENT valid for Execution Decision ID only
Uploading ndash Three options
5 October 2017 London Stock Exchange Group Page 41
A trading firm will manage the short-long code mappings in a new section of the
Member Portal in the following ways
bull Manual insertion
bull Bulk upload through the Member Portal web interface
bull Bulk upload via SFTP server
Uploading ndash Manual insertion
5 October 2017 London Stock Exchange Group Page 42
bull Short Code numerical value between 4 and 232-1
bull Long Code alphanumerical string of 50 characters Expected values are ndash Local Person Identifier
ndash Legal Entity Identifier
ndash Algorithm
bull Identifier Code Type ndash Natural Person
ndash Client LEI
ndash Algorithm
Uploading ndash Bulk upload (12)
5 October 2017 London Stock Exchange Group Page 43
Field Name
Mandatory
Description
Short Code
Y
4 ndash 4294967295
Long Code
Y
50 alphanumeric chars
Identifier Code Type
Y
L Client LEI
N Natural Person
A Algorithm
Notes
N
Free text field
Operation Type
Y
0 New
1 Update
2 Delete
Uploading ndash Bulk upload (22)
5 October 2017 London Stock Exchange Group Page 44
A new record reporting information on the outcome of the upload is displayed
bull Status ndash In Progress Published Published with errors Not Published
bull UserFile the userrsquos original csv
bull ResultFile a txt file containing the number of records added updated deleted
bull ErrorFile a csv file listing the records containing errors An Error Description field
is added to instruct the user of the error
Uploading ndash SFTP server
5 October 2017 London Stock Exchange Group Page 45
bull The csv file has the same layout as the one used to upload through the
member portal web interface
bull The only difference is that the file must have a specific naming convention
- Venue_ShortLongCodes_YYYYMMDD_NNcsv
bull The root folder of the sFTP server is the Firm ID which in turn contains an IN
and an OUT folder with respectively read-write and read only access
bull The IN folder will contain the bulk upload csv file while the OUT folder will
store Results File and Errors File (if one or more records are rejected)
Upload by difference or laquofrom scratchraquo
5 October 2017 London Stock Exchange Group Page 46
When uploading the file the user can choose to
bull insert modify and delete the existing set of short-long codes hence working by
difference
bull replace the whole list of existing short-long codes with the ones included in the
file hence working from scratch Operation Type can only be populated with 0
Constraints
5 October 2017 London Stock Exchange Group Page 47
bull Two different records can not have the same pair ltShort Code Identifier Code
Typegt
bull Local Person Identifier and Legal Identity Identifiers have to be used
respectively to identify a Natural Person and a LEI
bull Following a cancellation the upload of a new record with the same pair ltShort
Code Identifier Code Typegt will be rejected
When uploading mappings
5 October 2017 London Stock Exchange Group Page 48
bull Short CodeLong Code mappings must be uploaded within the market close
(time limit to be defined) of the same day as they are used as part of the
layout of market messages sent to the exchange
bull Trading participants failing to report the records at day T will be notified and
must download the Missing Short Codes report to find out the discrepancies
to be corrected
bull The Missing Short Code report for the day T is available at T+1 and it lists
the discrepancies of the last five working days
Additional Enhancements
5 October 2017 London Stock Exchange Group Page 49
bull Trader IDs
bull Risk Management users for pre-trade validation functionalities (PTV)
bull Self Execution Prevention
bull Market Making Strategies
bull Mass Cancellation
bull Back Office SELECT
bull Position Report as required by RTS 21 - Application of position limits to
commodity derivatives
Go live
5 October 2017 London Stock Exchange Group Page 50
bull The new Member Portal will go-live on November 2017
bull Trading participant will have a one month window to test the upload of
mappings on the Member Portal before the actual MIFID II go live on
January the 3rd
bull No validations on how short codes are used in the layout of market
messages will be performed except for formal integrity checks
bull The User Manual is already available online on both Borsa Italiana and
EuroTLX websites
5 October 2017 London Stock Exchange Group Page 51
TRADEcho
Roberto Fumagalli
Technical Account Manager
Client Technology Services Italy
POST TRADE TRANSPARENCY OBLIGATION
5 October 2017 London Stock Exchange Group Page 52
MiFID I requires customers to publish OTC trades done on equity instruments listed on European regulated markets Consob extended this obligation to all instruments listed on regulated market (including MOT SeDeX ETFPlus and MTS) MiFID II extends the reporting obligation to all instruments (equity and non equity) listed on European regulated markets MTF and OTF The service offered by Borsa Italiana (PTTS service) to fulfill this obligation will close on 27th November 2017 (release of MIT Platform MiFID II version compliant) LSEG will offer Post Trade Transparency facility for OTC trades via TRADEcho
5 October 2017 London Stock Exchange Group Page 53
TRADEcho
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
Request for Quote (1)
5 October 2017 London Stock Exchange Group Page 11
bull With MiFID II RFQ can be
ndash No pre-trade transparency (NPT as it currently is on our markets)
ndash Partial pre-trade transparency (PPT)
ndash Full pre-trade transparency (FPT)
Request for Quote (2)
5 October 2017 London Stock Exchange Group Page 12
bull For PPT RFQs indicative Bid and Ask Prices of Quotes (average of Quotes Bid and Ask Prices sent by Market Makers active at execution) will be published via GTP (FDI channels only) and MITCH when (and if) the RFQ becomes executable and the RFQ trade is generated
bull For FPT RFQs all Market Makers Quotes (active at execution) will be published via GTP (FDI channels only) and MITCH when (and if) the RFQ becomes executable and the RFQ trade is generated
bull PPT and FTP models will be introduced on January 2nd 2018 (one day before MiFID II introduction)
Tick Table Policy (1)
5 October 2017 London Stock Exchange Group Page 13
bull Change of Tick Table policy (live on November 27th)
ndash from min boundary lt price lt= max boundary
ndash to min boundary lt= price lt max boundary
bull Introduction of new Tick Tables on MTA market (live on
January 3rd)
ndash Borsa Italiana will introduce 6 new tick size tables according to the
requirements defined by RTS 11 on January 3rd 2018
Tick Table Policy (2)
5 October 2017 London Stock Exchange Group Page 14
bull Introduction of new Tick Tables on ETF+ market
ndash the tick size table defined by RTS 11 corresponding to the highest average daily number of
transaction will be applied to ETFs with equity underlying (also for RFQ)
ndash for other ETFs and ETCsETNs a dedicated tick table will be introduced
bull RFQs on these instruments will use a fixed tick size equal to 00001 euro
ndash The above changes will go live on November 27th 2017
New ATF Trades Publication Model (1)
5 October 2017 London Stock Exchange Group Page 15
bull Trades on ATF instruments (ATF is a segment of ETF+) will be published via
Market Data services with the price (1euro as per convention) marked as Pending
bull Once NAV is received
ndash trades are rectified (price is set to the NAV)
ndash Market Data Services will publish the modification of Trades
bull Two messages will be sent via market Data Services (GTP and MITCH) one cancelling
the trade and one for re-publishing the trade with indication that an amendment has been
made
New ATF Trades Publication Model (2)
5 October 2017 London Stock Exchange Group Page 16
bull An ack of the modification of the trades will be sent to customers via a Trade
Capture Report sent by the Post Trade Gateway
bull GTP statistics for ATF will be calculated on the amended price (published
at T+1) and not on the pending one (published at T)
bull Changes to ATF Trades Publication Model will go live on November 27th
2017
Cross Orders on MIT
5 October 2017 London Stock Exchange Group Page 17
Instrument Type November 27th 2017 January 2nd 2018 January 3rd 2018
Shares bull Switch to volume-weighted spread price validation
bull For Liquid Shares Reject of Cross Orders when volume-weighted spread is not available
Liquid ETFs Reject of Cross Orders when volume-weighted spread is not available
Liquid ETCs ETNs Fixed Income
Cross Orders disabled
SeDeX Cross Orders disabled
Negotiated Transactions
5 October 2017 London Stock Exchange Group Page 18
bull New statistics calculation for Cross Orders (no updates to Last Trade Price
LowHigh Price) for both MIT and SOLA platforms starting from January 2nd 2018
ndash Stop or Stop Limit Orders will no longer be triggered by Cross Orders
ndash Prices of Cross Orders will not influence circuit breaker validations for the following trade
bull Switch from quantity to value-based control for the minimum size of a Block Trade
on MIT markets on November 27th 2017
bull Reject execution of negotiated transactions below the pre-trade LIS threshold for
liquid products on IDEM market on January 2nd 2018
New trading Capacities
5 October 2017 London Stock Exchange Group Page 19
bull on January 3rd 2018
ndash the new Matched Principal Trading Capacity will be added (according to membership
trading authorizations) to existing ones on both the Borsa Italiana MIT and the SOLA
markets
ndash The two new Matched Principal and Un-Matched Principal Trading Capacities will be
enabled on EuroTLX
bull dedicated Comp IDs must be requested by Brokers authorized to use Matched
Principal andor Unmatched Principal Trading Capacities
bull it will be possible to use Matched Principal andor Unmatched Principal Trading
Capacities only via the dedicated Comp IDs described above
Other Changes (1)
5 October 2017 London Stock Exchange Group Page 20
bull on November 27th 2017
ndash Introduction of new pre-trade controls on maximum order value on MIT platform and on maximum order notional value on SOLA platform
ndash Iceberg orders
bull Introduction of a control on the minimum value of iceberg orders on the MIT platform
bull switch from quantity to value-based control for the minimum peak size
bull Introduction of a control on minimum notional value on SOLA platform
ndash Changes to EMS and EMS multiplier parameters for the ETF+ market
bull on January 2nd 2018
ndash Changes to EMS and EMS multiplier parameters for the SeDeX market
Other Changes (2)
5 October 2017 London Stock Exchange Group Page 21
bull On November 27th 2017 the classification of lsquoliquidrsquo vs lsquonot liquidrsquo will be included in reference
data
ndash Shares according to current MiFID classification
ndash Fixed income instruments ETFs ETCs and ETNs all classified as lsquoilliquidrsquo pending ESMArsquos
classification
ndash SeDeX will be set as Liquid according to ESMArsquos MiFID II classification
ndash IDEM according to ESMArsquos MiFID II classification
bull On November 27th 2017 the CPP (Closing Price Publication) session will be removed
Closing Prices will be disseminated
ndash At the beginning of the Post Close session for segments that do not have a Closing Auction
ndash At the end of the Closing Auction session for segments that do have a Closing Auction
Market MakingLiquidity Provision (1)
5 October 2017 London Stock Exchange Group Page 22
bull on MIT Market MakersLiquidity Providers are and will be given one or more
dedicated Comp ID(s) in order to segregate Market MakingLiquidity Provision
activity
bull on SOLA Market MakersLiquidity Providers are and will be given one or more
dedicated Trader ID(s) in order to segregate Market MakingLiquidity Provision
activity
bull a dedicated Naming Convention is applied to Comp IDs and Trader IDs used
for Market MakingLiquidity Provision activity
Market MakingLiquidity Provision (2)
5 October 2017 London Stock Exchange Group Page 23
bull Market MakersLiquidity Providers send (single or dual side) quotes most of the time but under certain circumstances (depending on the type of activity) may send orders
ndash operators have to restrict the use of the dedicated Comp IDTrader ID to the liquidity provision activity using quotes or orders according to what is requested by the Market Making programs in place independently from the fact that no technical restrictions will be put in place
bull For existing Market Making programs
ndash We are restricting MIT Specialist Comp IDs to send orders only on the subset of instruments they are associated for Specialist activity (work in progress migration based on individual client migration plan)
ndash We will restrict SOLA Market Making Trader IDs to send orders only on the subset of instruments they are associated for Market Making activity starting from November 27th 2017
Market MakingLiquidity Provision (3)
5 October 2017 London Stock Exchange Group Page 24
bull New MiFID II Market Making SchemeAgreements (starting from January 3rd
2018)
ndash Member Firms that will subscribe for the new SchemeAgreements will be given dedicated
Comp IDs (for MIT markets) and Trader IDs
ndash Member Firms will decide whether to perform this activity via quotes and orders or via
orders only
bull On SeDeX Member Firms that will subscribe for the new SchemeAgreements will be
allowed to use orders only
Stressed Market Conditions
5 October 2017 London Stock Exchange Group Page 25
bull Stressed Market Conditions will be defined at rulebook level
bull Notification to customers of ldquoStressed Market Conditionsrdquo
ndash No specific market changes will be introduced for notifying customers when ldquoStressed Market
Conditionsrdquo occur
ndash on MIT
bull ldquoStressed Market Conditionsrdquo will be derived from ldquocircuit breakerrdquo period plus ldquonrdquo seconds after
bull Announcement messages will be disseminated in order to announce ldquoStressed Market
Conditionsrdquo
ndash on SOLA Bulletin messages will be disseminated in order to announce ldquoStressed Market
Conditionsrdquo
Legacy CDS
5 October 2017 London Stock Exchange Group Page 26
bull In order to facilitate the testing of software applications and customer
algorithms a new test environment will be provided in parallel to the existing
one starting from Q1 2018
ndash a Legacy CDS will be provided for all the Trading and Market Data services of the Grouprsquos
Trading Venues
ndash the new environment will be continuously aligned with production in terms of Software
Version of Trading and Market Data Systems and Reference Data
Borsa Italiana Post Trade Transparency Service
5 October 2017 London Stock Exchange Group Page 27
bull The existing Borsa Italianarsquos Post Trade Transparency
Service will be discontinued with MiFID II
bull For technical reasons together with the MiFID II technical go-
live (November 27th 2017) it will not be possible to keep
providing the Post Trade Transparency Service
bull LSEG will offer Post Trade Transparency facility for OTC
trades via TRADEcho (see following presentation)
Transaction Reporting (1)
5 October 2017 London Stock Exchange Group Page 28
bull RTS 22 and other RTS do not specify constraints on the
format of the Trading Venue Trade Identification Code
(TVTIC) used by Trading venues apart from
ndash Trade ID should be unique
ndash Trade ID should be an alphanumerical string of maximum 52
characters
bull The MiFID II Transaction Reporting Validation Rules
published by ESMA state that TVTIC must be made of capital
letters and numbers
Transaction Reporting (2)
5 October 2017 London Stock Exchange Group Page 29
bull On MIT Trade ID is unique per Market and is
ndash a 8 bytes number on the NTG interface and on MITCH and GTP
ndash ldquoTrdquo concatenated to an alphanumerical string corresponding to the
above ID base 62 encoded on FIX (Trading Drop Copy and Post
Trade Gateways)
ndash The alphanumerical identifier described above
bull is sent to downstream systems (Post Trading Clearing Settlement)
bull is published in reconciliation reports
bull is currently used for Transaction reporting purposes
bull is a case sensitive alphanumerical string
Transaction Reporting (3)
5 October 2017 London Stock Exchange Group Page 30
bull On SOLA
ndash the currently used Trade ID is a progressive number unique per
instrument
ndash In order to have a unique ID it has been decided to use the above
Trade ID concatenated with the SICO Code (Group ID + Instrument ID)
for Transaction Reporting purposes
ndash The SICO Code is case sensitive therefore the ID made of the
platformrsquos Trade ID concatenated with the SICO Code is a case
sensitive alphanumerical string
Transaction Reporting (4)
5 October 2017 London Stock Exchange Group Page 31
bull We will rely on different TVTICs for Transaction Reporting
purposes using
ndash on MIT the 8 bytes number used on the NTG interface and on MITCH
and GTP asking FIX clients to apply the already documented base 62
decoding algorithm
ndash on SOLA the base 62 decoded version of the identifier described in
the previous slide
bull TVTIC will be provided on Reconciliation Files
Borsa Italiana Transaction Reporting Service
5 October 2017 London Stock Exchange Group Page 32
bull The existing Borsa Italianarsquos Transaction Reporting
Service will close together with the go-live of MiFID II
bull The Transaction Reporting Service will be active until the
introduction of MiFID II on January 3rd 2018
bull LSEG will offer Transaction Reporting facility via UnaVista
another company of LSEG that will apply as ARM (Approved
Reporting Mechanism)
5 October 2017 London Stock Exchange Group Page 33
IDEM Key Information Documents
Enrico Pellizzoni
Head of Italy Equity Markets and Derivatives Products
PRIIPs Regulation (IDEM) (1)
5 October 2017 London Stock Exchange Group Page 34
bull BIt will to produce KIDs (Key Information Documents) for IDEM contracts
bull Borsa Italiana will follow an lsquoaggregated approachrsquo as allowed from recent ESMArsquos QampA 14 KIDs will be produced to describe existing IDEM contracts
bull a KID will identify ISINs sharing the same contract specifications expected payoff and fee structure
ndash call options vs put options on the same contract ndash 2 different KIDs
ndash single name derivatives will have a single aggregated KID for each product category (not for each individual underlying)
ndash weekly expiries are not identified by a separate KID
bull Description of costs will include fees that BIt is charging to its market participants Brokers must inform retail clients about their own costs
PRIIPs Regulation (IDEM) (2)
5 October 2017 London Stock Exchange Group Page 35
1 Futures on FTSE MIB
2 Mini futures on FTSE MIB
3 Futures on FTSE MIB dividend
4 Call options on FTSE MIB
5 Put options on FTSE MIB
6 Stock futures
7 Stock dividend futures
8 Single stock call options
9 Single stock put options
10Baseload Italian power futures
11Peakload Italian power futures
12Baseload German power futures
13Peakload German power futures
14Durum wheat futures
PRIIPs Regulation (IDEM) (3)
5 October 2017 London Stock Exchange Group Page 36
bull Available as pdf files free of charge in a dedicated webpage
wwwborsaitalianaitderivatikidskidsenhtm
bull File names with a dedicated convention linked to reference data and downloadable also as
wwwborsaitalianaitderivatikids[filename]pdf
bull Available for download via ftp server (MIT 702)
bull Reviewed at least yearly (or in case of changes to contract specs expected payoff fee structure)
bull Available in Italian English Spanish German and French Additional translations will be evaluated in due course
5 October 2017 London Stock Exchange Group Page 37
Member Portal
Antonello Greco
Technical Account Manager
Client Technology Services Italy
RTS 24 - Requirements
5 October 2017 London Stock Exchange Group Page 38
bull Client Identification code Identifier of the Client (Local Person Identifier or
Legal Entity Identifier) for client orders only
bull Investment Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the investment decision
bull Execution Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the execution decision
Long Code ndash Short Code mapping
5 October 2017 London Stock Exchange Group Page 39
Long Code Short Code
Market messages Client ID Investment Decision Maker Executing Trader
Short Codes ndash Reserved values
5 October 2017 London Stock Exchange Group Page 40
bull 0 None Valid for Client ID and Investment Decision ID
bull 1 AGGR where several orders are submitted to the trading venue together as
an aggregated Valid for Client ID only
bull 2 PNAL where a trading participant allocates an order to its client following
submission of the order to the trading venue and has not yet allocated the
order to its client at the time of the submission of the order Valid for Client ID
only
bull 3 CLIENT valid for Execution Decision ID only
Uploading ndash Three options
5 October 2017 London Stock Exchange Group Page 41
A trading firm will manage the short-long code mappings in a new section of the
Member Portal in the following ways
bull Manual insertion
bull Bulk upload through the Member Portal web interface
bull Bulk upload via SFTP server
Uploading ndash Manual insertion
5 October 2017 London Stock Exchange Group Page 42
bull Short Code numerical value between 4 and 232-1
bull Long Code alphanumerical string of 50 characters Expected values are ndash Local Person Identifier
ndash Legal Entity Identifier
ndash Algorithm
bull Identifier Code Type ndash Natural Person
ndash Client LEI
ndash Algorithm
Uploading ndash Bulk upload (12)
5 October 2017 London Stock Exchange Group Page 43
Field Name
Mandatory
Description
Short Code
Y
4 ndash 4294967295
Long Code
Y
50 alphanumeric chars
Identifier Code Type
Y
L Client LEI
N Natural Person
A Algorithm
Notes
N
Free text field
Operation Type
Y
0 New
1 Update
2 Delete
Uploading ndash Bulk upload (22)
5 October 2017 London Stock Exchange Group Page 44
A new record reporting information on the outcome of the upload is displayed
bull Status ndash In Progress Published Published with errors Not Published
bull UserFile the userrsquos original csv
bull ResultFile a txt file containing the number of records added updated deleted
bull ErrorFile a csv file listing the records containing errors An Error Description field
is added to instruct the user of the error
Uploading ndash SFTP server
5 October 2017 London Stock Exchange Group Page 45
bull The csv file has the same layout as the one used to upload through the
member portal web interface
bull The only difference is that the file must have a specific naming convention
- Venue_ShortLongCodes_YYYYMMDD_NNcsv
bull The root folder of the sFTP server is the Firm ID which in turn contains an IN
and an OUT folder with respectively read-write and read only access
bull The IN folder will contain the bulk upload csv file while the OUT folder will
store Results File and Errors File (if one or more records are rejected)
Upload by difference or laquofrom scratchraquo
5 October 2017 London Stock Exchange Group Page 46
When uploading the file the user can choose to
bull insert modify and delete the existing set of short-long codes hence working by
difference
bull replace the whole list of existing short-long codes with the ones included in the
file hence working from scratch Operation Type can only be populated with 0
Constraints
5 October 2017 London Stock Exchange Group Page 47
bull Two different records can not have the same pair ltShort Code Identifier Code
Typegt
bull Local Person Identifier and Legal Identity Identifiers have to be used
respectively to identify a Natural Person and a LEI
bull Following a cancellation the upload of a new record with the same pair ltShort
Code Identifier Code Typegt will be rejected
When uploading mappings
5 October 2017 London Stock Exchange Group Page 48
bull Short CodeLong Code mappings must be uploaded within the market close
(time limit to be defined) of the same day as they are used as part of the
layout of market messages sent to the exchange
bull Trading participants failing to report the records at day T will be notified and
must download the Missing Short Codes report to find out the discrepancies
to be corrected
bull The Missing Short Code report for the day T is available at T+1 and it lists
the discrepancies of the last five working days
Additional Enhancements
5 October 2017 London Stock Exchange Group Page 49
bull Trader IDs
bull Risk Management users for pre-trade validation functionalities (PTV)
bull Self Execution Prevention
bull Market Making Strategies
bull Mass Cancellation
bull Back Office SELECT
bull Position Report as required by RTS 21 - Application of position limits to
commodity derivatives
Go live
5 October 2017 London Stock Exchange Group Page 50
bull The new Member Portal will go-live on November 2017
bull Trading participant will have a one month window to test the upload of
mappings on the Member Portal before the actual MIFID II go live on
January the 3rd
bull No validations on how short codes are used in the layout of market
messages will be performed except for formal integrity checks
bull The User Manual is already available online on both Borsa Italiana and
EuroTLX websites
5 October 2017 London Stock Exchange Group Page 51
TRADEcho
Roberto Fumagalli
Technical Account Manager
Client Technology Services Italy
POST TRADE TRANSPARENCY OBLIGATION
5 October 2017 London Stock Exchange Group Page 52
MiFID I requires customers to publish OTC trades done on equity instruments listed on European regulated markets Consob extended this obligation to all instruments listed on regulated market (including MOT SeDeX ETFPlus and MTS) MiFID II extends the reporting obligation to all instruments (equity and non equity) listed on European regulated markets MTF and OTF The service offered by Borsa Italiana (PTTS service) to fulfill this obligation will close on 27th November 2017 (release of MIT Platform MiFID II version compliant) LSEG will offer Post Trade Transparency facility for OTC trades via TRADEcho
5 October 2017 London Stock Exchange Group Page 53
TRADEcho
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
Request for Quote (2)
5 October 2017 London Stock Exchange Group Page 12
bull For PPT RFQs indicative Bid and Ask Prices of Quotes (average of Quotes Bid and Ask Prices sent by Market Makers active at execution) will be published via GTP (FDI channels only) and MITCH when (and if) the RFQ becomes executable and the RFQ trade is generated
bull For FPT RFQs all Market Makers Quotes (active at execution) will be published via GTP (FDI channels only) and MITCH when (and if) the RFQ becomes executable and the RFQ trade is generated
bull PPT and FTP models will be introduced on January 2nd 2018 (one day before MiFID II introduction)
Tick Table Policy (1)
5 October 2017 London Stock Exchange Group Page 13
bull Change of Tick Table policy (live on November 27th)
ndash from min boundary lt price lt= max boundary
ndash to min boundary lt= price lt max boundary
bull Introduction of new Tick Tables on MTA market (live on
January 3rd)
ndash Borsa Italiana will introduce 6 new tick size tables according to the
requirements defined by RTS 11 on January 3rd 2018
Tick Table Policy (2)
5 October 2017 London Stock Exchange Group Page 14
bull Introduction of new Tick Tables on ETF+ market
ndash the tick size table defined by RTS 11 corresponding to the highest average daily number of
transaction will be applied to ETFs with equity underlying (also for RFQ)
ndash for other ETFs and ETCsETNs a dedicated tick table will be introduced
bull RFQs on these instruments will use a fixed tick size equal to 00001 euro
ndash The above changes will go live on November 27th 2017
New ATF Trades Publication Model (1)
5 October 2017 London Stock Exchange Group Page 15
bull Trades on ATF instruments (ATF is a segment of ETF+) will be published via
Market Data services with the price (1euro as per convention) marked as Pending
bull Once NAV is received
ndash trades are rectified (price is set to the NAV)
ndash Market Data Services will publish the modification of Trades
bull Two messages will be sent via market Data Services (GTP and MITCH) one cancelling
the trade and one for re-publishing the trade with indication that an amendment has been
made
New ATF Trades Publication Model (2)
5 October 2017 London Stock Exchange Group Page 16
bull An ack of the modification of the trades will be sent to customers via a Trade
Capture Report sent by the Post Trade Gateway
bull GTP statistics for ATF will be calculated on the amended price (published
at T+1) and not on the pending one (published at T)
bull Changes to ATF Trades Publication Model will go live on November 27th
2017
Cross Orders on MIT
5 October 2017 London Stock Exchange Group Page 17
Instrument Type November 27th 2017 January 2nd 2018 January 3rd 2018
Shares bull Switch to volume-weighted spread price validation
bull For Liquid Shares Reject of Cross Orders when volume-weighted spread is not available
Liquid ETFs Reject of Cross Orders when volume-weighted spread is not available
Liquid ETCs ETNs Fixed Income
Cross Orders disabled
SeDeX Cross Orders disabled
Negotiated Transactions
5 October 2017 London Stock Exchange Group Page 18
bull New statistics calculation for Cross Orders (no updates to Last Trade Price
LowHigh Price) for both MIT and SOLA platforms starting from January 2nd 2018
ndash Stop or Stop Limit Orders will no longer be triggered by Cross Orders
ndash Prices of Cross Orders will not influence circuit breaker validations for the following trade
bull Switch from quantity to value-based control for the minimum size of a Block Trade
on MIT markets on November 27th 2017
bull Reject execution of negotiated transactions below the pre-trade LIS threshold for
liquid products on IDEM market on January 2nd 2018
New trading Capacities
5 October 2017 London Stock Exchange Group Page 19
bull on January 3rd 2018
ndash the new Matched Principal Trading Capacity will be added (according to membership
trading authorizations) to existing ones on both the Borsa Italiana MIT and the SOLA
markets
ndash The two new Matched Principal and Un-Matched Principal Trading Capacities will be
enabled on EuroTLX
bull dedicated Comp IDs must be requested by Brokers authorized to use Matched
Principal andor Unmatched Principal Trading Capacities
bull it will be possible to use Matched Principal andor Unmatched Principal Trading
Capacities only via the dedicated Comp IDs described above
Other Changes (1)
5 October 2017 London Stock Exchange Group Page 20
bull on November 27th 2017
ndash Introduction of new pre-trade controls on maximum order value on MIT platform and on maximum order notional value on SOLA platform
ndash Iceberg orders
bull Introduction of a control on the minimum value of iceberg orders on the MIT platform
bull switch from quantity to value-based control for the minimum peak size
bull Introduction of a control on minimum notional value on SOLA platform
ndash Changes to EMS and EMS multiplier parameters for the ETF+ market
bull on January 2nd 2018
ndash Changes to EMS and EMS multiplier parameters for the SeDeX market
Other Changes (2)
5 October 2017 London Stock Exchange Group Page 21
bull On November 27th 2017 the classification of lsquoliquidrsquo vs lsquonot liquidrsquo will be included in reference
data
ndash Shares according to current MiFID classification
ndash Fixed income instruments ETFs ETCs and ETNs all classified as lsquoilliquidrsquo pending ESMArsquos
classification
ndash SeDeX will be set as Liquid according to ESMArsquos MiFID II classification
ndash IDEM according to ESMArsquos MiFID II classification
bull On November 27th 2017 the CPP (Closing Price Publication) session will be removed
Closing Prices will be disseminated
ndash At the beginning of the Post Close session for segments that do not have a Closing Auction
ndash At the end of the Closing Auction session for segments that do have a Closing Auction
Market MakingLiquidity Provision (1)
5 October 2017 London Stock Exchange Group Page 22
bull on MIT Market MakersLiquidity Providers are and will be given one or more
dedicated Comp ID(s) in order to segregate Market MakingLiquidity Provision
activity
bull on SOLA Market MakersLiquidity Providers are and will be given one or more
dedicated Trader ID(s) in order to segregate Market MakingLiquidity Provision
activity
bull a dedicated Naming Convention is applied to Comp IDs and Trader IDs used
for Market MakingLiquidity Provision activity
Market MakingLiquidity Provision (2)
5 October 2017 London Stock Exchange Group Page 23
bull Market MakersLiquidity Providers send (single or dual side) quotes most of the time but under certain circumstances (depending on the type of activity) may send orders
ndash operators have to restrict the use of the dedicated Comp IDTrader ID to the liquidity provision activity using quotes or orders according to what is requested by the Market Making programs in place independently from the fact that no technical restrictions will be put in place
bull For existing Market Making programs
ndash We are restricting MIT Specialist Comp IDs to send orders only on the subset of instruments they are associated for Specialist activity (work in progress migration based on individual client migration plan)
ndash We will restrict SOLA Market Making Trader IDs to send orders only on the subset of instruments they are associated for Market Making activity starting from November 27th 2017
Market MakingLiquidity Provision (3)
5 October 2017 London Stock Exchange Group Page 24
bull New MiFID II Market Making SchemeAgreements (starting from January 3rd
2018)
ndash Member Firms that will subscribe for the new SchemeAgreements will be given dedicated
Comp IDs (for MIT markets) and Trader IDs
ndash Member Firms will decide whether to perform this activity via quotes and orders or via
orders only
bull On SeDeX Member Firms that will subscribe for the new SchemeAgreements will be
allowed to use orders only
Stressed Market Conditions
5 October 2017 London Stock Exchange Group Page 25
bull Stressed Market Conditions will be defined at rulebook level
bull Notification to customers of ldquoStressed Market Conditionsrdquo
ndash No specific market changes will be introduced for notifying customers when ldquoStressed Market
Conditionsrdquo occur
ndash on MIT
bull ldquoStressed Market Conditionsrdquo will be derived from ldquocircuit breakerrdquo period plus ldquonrdquo seconds after
bull Announcement messages will be disseminated in order to announce ldquoStressed Market
Conditionsrdquo
ndash on SOLA Bulletin messages will be disseminated in order to announce ldquoStressed Market
Conditionsrdquo
Legacy CDS
5 October 2017 London Stock Exchange Group Page 26
bull In order to facilitate the testing of software applications and customer
algorithms a new test environment will be provided in parallel to the existing
one starting from Q1 2018
ndash a Legacy CDS will be provided for all the Trading and Market Data services of the Grouprsquos
Trading Venues
ndash the new environment will be continuously aligned with production in terms of Software
Version of Trading and Market Data Systems and Reference Data
Borsa Italiana Post Trade Transparency Service
5 October 2017 London Stock Exchange Group Page 27
bull The existing Borsa Italianarsquos Post Trade Transparency
Service will be discontinued with MiFID II
bull For technical reasons together with the MiFID II technical go-
live (November 27th 2017) it will not be possible to keep
providing the Post Trade Transparency Service
bull LSEG will offer Post Trade Transparency facility for OTC
trades via TRADEcho (see following presentation)
Transaction Reporting (1)
5 October 2017 London Stock Exchange Group Page 28
bull RTS 22 and other RTS do not specify constraints on the
format of the Trading Venue Trade Identification Code
(TVTIC) used by Trading venues apart from
ndash Trade ID should be unique
ndash Trade ID should be an alphanumerical string of maximum 52
characters
bull The MiFID II Transaction Reporting Validation Rules
published by ESMA state that TVTIC must be made of capital
letters and numbers
Transaction Reporting (2)
5 October 2017 London Stock Exchange Group Page 29
bull On MIT Trade ID is unique per Market and is
ndash a 8 bytes number on the NTG interface and on MITCH and GTP
ndash ldquoTrdquo concatenated to an alphanumerical string corresponding to the
above ID base 62 encoded on FIX (Trading Drop Copy and Post
Trade Gateways)
ndash The alphanumerical identifier described above
bull is sent to downstream systems (Post Trading Clearing Settlement)
bull is published in reconciliation reports
bull is currently used for Transaction reporting purposes
bull is a case sensitive alphanumerical string
Transaction Reporting (3)
5 October 2017 London Stock Exchange Group Page 30
bull On SOLA
ndash the currently used Trade ID is a progressive number unique per
instrument
ndash In order to have a unique ID it has been decided to use the above
Trade ID concatenated with the SICO Code (Group ID + Instrument ID)
for Transaction Reporting purposes
ndash The SICO Code is case sensitive therefore the ID made of the
platformrsquos Trade ID concatenated with the SICO Code is a case
sensitive alphanumerical string
Transaction Reporting (4)
5 October 2017 London Stock Exchange Group Page 31
bull We will rely on different TVTICs for Transaction Reporting
purposes using
ndash on MIT the 8 bytes number used on the NTG interface and on MITCH
and GTP asking FIX clients to apply the already documented base 62
decoding algorithm
ndash on SOLA the base 62 decoded version of the identifier described in
the previous slide
bull TVTIC will be provided on Reconciliation Files
Borsa Italiana Transaction Reporting Service
5 October 2017 London Stock Exchange Group Page 32
bull The existing Borsa Italianarsquos Transaction Reporting
Service will close together with the go-live of MiFID II
bull The Transaction Reporting Service will be active until the
introduction of MiFID II on January 3rd 2018
bull LSEG will offer Transaction Reporting facility via UnaVista
another company of LSEG that will apply as ARM (Approved
Reporting Mechanism)
5 October 2017 London Stock Exchange Group Page 33
IDEM Key Information Documents
Enrico Pellizzoni
Head of Italy Equity Markets and Derivatives Products
PRIIPs Regulation (IDEM) (1)
5 October 2017 London Stock Exchange Group Page 34
bull BIt will to produce KIDs (Key Information Documents) for IDEM contracts
bull Borsa Italiana will follow an lsquoaggregated approachrsquo as allowed from recent ESMArsquos QampA 14 KIDs will be produced to describe existing IDEM contracts
bull a KID will identify ISINs sharing the same contract specifications expected payoff and fee structure
ndash call options vs put options on the same contract ndash 2 different KIDs
ndash single name derivatives will have a single aggregated KID for each product category (not for each individual underlying)
ndash weekly expiries are not identified by a separate KID
bull Description of costs will include fees that BIt is charging to its market participants Brokers must inform retail clients about their own costs
PRIIPs Regulation (IDEM) (2)
5 October 2017 London Stock Exchange Group Page 35
1 Futures on FTSE MIB
2 Mini futures on FTSE MIB
3 Futures on FTSE MIB dividend
4 Call options on FTSE MIB
5 Put options on FTSE MIB
6 Stock futures
7 Stock dividend futures
8 Single stock call options
9 Single stock put options
10Baseload Italian power futures
11Peakload Italian power futures
12Baseload German power futures
13Peakload German power futures
14Durum wheat futures
PRIIPs Regulation (IDEM) (3)
5 October 2017 London Stock Exchange Group Page 36
bull Available as pdf files free of charge in a dedicated webpage
wwwborsaitalianaitderivatikidskidsenhtm
bull File names with a dedicated convention linked to reference data and downloadable also as
wwwborsaitalianaitderivatikids[filename]pdf
bull Available for download via ftp server (MIT 702)
bull Reviewed at least yearly (or in case of changes to contract specs expected payoff fee structure)
bull Available in Italian English Spanish German and French Additional translations will be evaluated in due course
5 October 2017 London Stock Exchange Group Page 37
Member Portal
Antonello Greco
Technical Account Manager
Client Technology Services Italy
RTS 24 - Requirements
5 October 2017 London Stock Exchange Group Page 38
bull Client Identification code Identifier of the Client (Local Person Identifier or
Legal Entity Identifier) for client orders only
bull Investment Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the investment decision
bull Execution Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the execution decision
Long Code ndash Short Code mapping
5 October 2017 London Stock Exchange Group Page 39
Long Code Short Code
Market messages Client ID Investment Decision Maker Executing Trader
Short Codes ndash Reserved values
5 October 2017 London Stock Exchange Group Page 40
bull 0 None Valid for Client ID and Investment Decision ID
bull 1 AGGR where several orders are submitted to the trading venue together as
an aggregated Valid for Client ID only
bull 2 PNAL where a trading participant allocates an order to its client following
submission of the order to the trading venue and has not yet allocated the
order to its client at the time of the submission of the order Valid for Client ID
only
bull 3 CLIENT valid for Execution Decision ID only
Uploading ndash Three options
5 October 2017 London Stock Exchange Group Page 41
A trading firm will manage the short-long code mappings in a new section of the
Member Portal in the following ways
bull Manual insertion
bull Bulk upload through the Member Portal web interface
bull Bulk upload via SFTP server
Uploading ndash Manual insertion
5 October 2017 London Stock Exchange Group Page 42
bull Short Code numerical value between 4 and 232-1
bull Long Code alphanumerical string of 50 characters Expected values are ndash Local Person Identifier
ndash Legal Entity Identifier
ndash Algorithm
bull Identifier Code Type ndash Natural Person
ndash Client LEI
ndash Algorithm
Uploading ndash Bulk upload (12)
5 October 2017 London Stock Exchange Group Page 43
Field Name
Mandatory
Description
Short Code
Y
4 ndash 4294967295
Long Code
Y
50 alphanumeric chars
Identifier Code Type
Y
L Client LEI
N Natural Person
A Algorithm
Notes
N
Free text field
Operation Type
Y
0 New
1 Update
2 Delete
Uploading ndash Bulk upload (22)
5 October 2017 London Stock Exchange Group Page 44
A new record reporting information on the outcome of the upload is displayed
bull Status ndash In Progress Published Published with errors Not Published
bull UserFile the userrsquos original csv
bull ResultFile a txt file containing the number of records added updated deleted
bull ErrorFile a csv file listing the records containing errors An Error Description field
is added to instruct the user of the error
Uploading ndash SFTP server
5 October 2017 London Stock Exchange Group Page 45
bull The csv file has the same layout as the one used to upload through the
member portal web interface
bull The only difference is that the file must have a specific naming convention
- Venue_ShortLongCodes_YYYYMMDD_NNcsv
bull The root folder of the sFTP server is the Firm ID which in turn contains an IN
and an OUT folder with respectively read-write and read only access
bull The IN folder will contain the bulk upload csv file while the OUT folder will
store Results File and Errors File (if one or more records are rejected)
Upload by difference or laquofrom scratchraquo
5 October 2017 London Stock Exchange Group Page 46
When uploading the file the user can choose to
bull insert modify and delete the existing set of short-long codes hence working by
difference
bull replace the whole list of existing short-long codes with the ones included in the
file hence working from scratch Operation Type can only be populated with 0
Constraints
5 October 2017 London Stock Exchange Group Page 47
bull Two different records can not have the same pair ltShort Code Identifier Code
Typegt
bull Local Person Identifier and Legal Identity Identifiers have to be used
respectively to identify a Natural Person and a LEI
bull Following a cancellation the upload of a new record with the same pair ltShort
Code Identifier Code Typegt will be rejected
When uploading mappings
5 October 2017 London Stock Exchange Group Page 48
bull Short CodeLong Code mappings must be uploaded within the market close
(time limit to be defined) of the same day as they are used as part of the
layout of market messages sent to the exchange
bull Trading participants failing to report the records at day T will be notified and
must download the Missing Short Codes report to find out the discrepancies
to be corrected
bull The Missing Short Code report for the day T is available at T+1 and it lists
the discrepancies of the last five working days
Additional Enhancements
5 October 2017 London Stock Exchange Group Page 49
bull Trader IDs
bull Risk Management users for pre-trade validation functionalities (PTV)
bull Self Execution Prevention
bull Market Making Strategies
bull Mass Cancellation
bull Back Office SELECT
bull Position Report as required by RTS 21 - Application of position limits to
commodity derivatives
Go live
5 October 2017 London Stock Exchange Group Page 50
bull The new Member Portal will go-live on November 2017
bull Trading participant will have a one month window to test the upload of
mappings on the Member Portal before the actual MIFID II go live on
January the 3rd
bull No validations on how short codes are used in the layout of market
messages will be performed except for formal integrity checks
bull The User Manual is already available online on both Borsa Italiana and
EuroTLX websites
5 October 2017 London Stock Exchange Group Page 51
TRADEcho
Roberto Fumagalli
Technical Account Manager
Client Technology Services Italy
POST TRADE TRANSPARENCY OBLIGATION
5 October 2017 London Stock Exchange Group Page 52
MiFID I requires customers to publish OTC trades done on equity instruments listed on European regulated markets Consob extended this obligation to all instruments listed on regulated market (including MOT SeDeX ETFPlus and MTS) MiFID II extends the reporting obligation to all instruments (equity and non equity) listed on European regulated markets MTF and OTF The service offered by Borsa Italiana (PTTS service) to fulfill this obligation will close on 27th November 2017 (release of MIT Platform MiFID II version compliant) LSEG will offer Post Trade Transparency facility for OTC trades via TRADEcho
5 October 2017 London Stock Exchange Group Page 53
TRADEcho
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
Tick Table Policy (1)
5 October 2017 London Stock Exchange Group Page 13
bull Change of Tick Table policy (live on November 27th)
ndash from min boundary lt price lt= max boundary
ndash to min boundary lt= price lt max boundary
bull Introduction of new Tick Tables on MTA market (live on
January 3rd)
ndash Borsa Italiana will introduce 6 new tick size tables according to the
requirements defined by RTS 11 on January 3rd 2018
Tick Table Policy (2)
5 October 2017 London Stock Exchange Group Page 14
bull Introduction of new Tick Tables on ETF+ market
ndash the tick size table defined by RTS 11 corresponding to the highest average daily number of
transaction will be applied to ETFs with equity underlying (also for RFQ)
ndash for other ETFs and ETCsETNs a dedicated tick table will be introduced
bull RFQs on these instruments will use a fixed tick size equal to 00001 euro
ndash The above changes will go live on November 27th 2017
New ATF Trades Publication Model (1)
5 October 2017 London Stock Exchange Group Page 15
bull Trades on ATF instruments (ATF is a segment of ETF+) will be published via
Market Data services with the price (1euro as per convention) marked as Pending
bull Once NAV is received
ndash trades are rectified (price is set to the NAV)
ndash Market Data Services will publish the modification of Trades
bull Two messages will be sent via market Data Services (GTP and MITCH) one cancelling
the trade and one for re-publishing the trade with indication that an amendment has been
made
New ATF Trades Publication Model (2)
5 October 2017 London Stock Exchange Group Page 16
bull An ack of the modification of the trades will be sent to customers via a Trade
Capture Report sent by the Post Trade Gateway
bull GTP statistics for ATF will be calculated on the amended price (published
at T+1) and not on the pending one (published at T)
bull Changes to ATF Trades Publication Model will go live on November 27th
2017
Cross Orders on MIT
5 October 2017 London Stock Exchange Group Page 17
Instrument Type November 27th 2017 January 2nd 2018 January 3rd 2018
Shares bull Switch to volume-weighted spread price validation
bull For Liquid Shares Reject of Cross Orders when volume-weighted spread is not available
Liquid ETFs Reject of Cross Orders when volume-weighted spread is not available
Liquid ETCs ETNs Fixed Income
Cross Orders disabled
SeDeX Cross Orders disabled
Negotiated Transactions
5 October 2017 London Stock Exchange Group Page 18
bull New statistics calculation for Cross Orders (no updates to Last Trade Price
LowHigh Price) for both MIT and SOLA platforms starting from January 2nd 2018
ndash Stop or Stop Limit Orders will no longer be triggered by Cross Orders
ndash Prices of Cross Orders will not influence circuit breaker validations for the following trade
bull Switch from quantity to value-based control for the minimum size of a Block Trade
on MIT markets on November 27th 2017
bull Reject execution of negotiated transactions below the pre-trade LIS threshold for
liquid products on IDEM market on January 2nd 2018
New trading Capacities
5 October 2017 London Stock Exchange Group Page 19
bull on January 3rd 2018
ndash the new Matched Principal Trading Capacity will be added (according to membership
trading authorizations) to existing ones on both the Borsa Italiana MIT and the SOLA
markets
ndash The two new Matched Principal and Un-Matched Principal Trading Capacities will be
enabled on EuroTLX
bull dedicated Comp IDs must be requested by Brokers authorized to use Matched
Principal andor Unmatched Principal Trading Capacities
bull it will be possible to use Matched Principal andor Unmatched Principal Trading
Capacities only via the dedicated Comp IDs described above
Other Changes (1)
5 October 2017 London Stock Exchange Group Page 20
bull on November 27th 2017
ndash Introduction of new pre-trade controls on maximum order value on MIT platform and on maximum order notional value on SOLA platform
ndash Iceberg orders
bull Introduction of a control on the minimum value of iceberg orders on the MIT platform
bull switch from quantity to value-based control for the minimum peak size
bull Introduction of a control on minimum notional value on SOLA platform
ndash Changes to EMS and EMS multiplier parameters for the ETF+ market
bull on January 2nd 2018
ndash Changes to EMS and EMS multiplier parameters for the SeDeX market
Other Changes (2)
5 October 2017 London Stock Exchange Group Page 21
bull On November 27th 2017 the classification of lsquoliquidrsquo vs lsquonot liquidrsquo will be included in reference
data
ndash Shares according to current MiFID classification
ndash Fixed income instruments ETFs ETCs and ETNs all classified as lsquoilliquidrsquo pending ESMArsquos
classification
ndash SeDeX will be set as Liquid according to ESMArsquos MiFID II classification
ndash IDEM according to ESMArsquos MiFID II classification
bull On November 27th 2017 the CPP (Closing Price Publication) session will be removed
Closing Prices will be disseminated
ndash At the beginning of the Post Close session for segments that do not have a Closing Auction
ndash At the end of the Closing Auction session for segments that do have a Closing Auction
Market MakingLiquidity Provision (1)
5 October 2017 London Stock Exchange Group Page 22
bull on MIT Market MakersLiquidity Providers are and will be given one or more
dedicated Comp ID(s) in order to segregate Market MakingLiquidity Provision
activity
bull on SOLA Market MakersLiquidity Providers are and will be given one or more
dedicated Trader ID(s) in order to segregate Market MakingLiquidity Provision
activity
bull a dedicated Naming Convention is applied to Comp IDs and Trader IDs used
for Market MakingLiquidity Provision activity
Market MakingLiquidity Provision (2)
5 October 2017 London Stock Exchange Group Page 23
bull Market MakersLiquidity Providers send (single or dual side) quotes most of the time but under certain circumstances (depending on the type of activity) may send orders
ndash operators have to restrict the use of the dedicated Comp IDTrader ID to the liquidity provision activity using quotes or orders according to what is requested by the Market Making programs in place independently from the fact that no technical restrictions will be put in place
bull For existing Market Making programs
ndash We are restricting MIT Specialist Comp IDs to send orders only on the subset of instruments they are associated for Specialist activity (work in progress migration based on individual client migration plan)
ndash We will restrict SOLA Market Making Trader IDs to send orders only on the subset of instruments they are associated for Market Making activity starting from November 27th 2017
Market MakingLiquidity Provision (3)
5 October 2017 London Stock Exchange Group Page 24
bull New MiFID II Market Making SchemeAgreements (starting from January 3rd
2018)
ndash Member Firms that will subscribe for the new SchemeAgreements will be given dedicated
Comp IDs (for MIT markets) and Trader IDs
ndash Member Firms will decide whether to perform this activity via quotes and orders or via
orders only
bull On SeDeX Member Firms that will subscribe for the new SchemeAgreements will be
allowed to use orders only
Stressed Market Conditions
5 October 2017 London Stock Exchange Group Page 25
bull Stressed Market Conditions will be defined at rulebook level
bull Notification to customers of ldquoStressed Market Conditionsrdquo
ndash No specific market changes will be introduced for notifying customers when ldquoStressed Market
Conditionsrdquo occur
ndash on MIT
bull ldquoStressed Market Conditionsrdquo will be derived from ldquocircuit breakerrdquo period plus ldquonrdquo seconds after
bull Announcement messages will be disseminated in order to announce ldquoStressed Market
Conditionsrdquo
ndash on SOLA Bulletin messages will be disseminated in order to announce ldquoStressed Market
Conditionsrdquo
Legacy CDS
5 October 2017 London Stock Exchange Group Page 26
bull In order to facilitate the testing of software applications and customer
algorithms a new test environment will be provided in parallel to the existing
one starting from Q1 2018
ndash a Legacy CDS will be provided for all the Trading and Market Data services of the Grouprsquos
Trading Venues
ndash the new environment will be continuously aligned with production in terms of Software
Version of Trading and Market Data Systems and Reference Data
Borsa Italiana Post Trade Transparency Service
5 October 2017 London Stock Exchange Group Page 27
bull The existing Borsa Italianarsquos Post Trade Transparency
Service will be discontinued with MiFID II
bull For technical reasons together with the MiFID II technical go-
live (November 27th 2017) it will not be possible to keep
providing the Post Trade Transparency Service
bull LSEG will offer Post Trade Transparency facility for OTC
trades via TRADEcho (see following presentation)
Transaction Reporting (1)
5 October 2017 London Stock Exchange Group Page 28
bull RTS 22 and other RTS do not specify constraints on the
format of the Trading Venue Trade Identification Code
(TVTIC) used by Trading venues apart from
ndash Trade ID should be unique
ndash Trade ID should be an alphanumerical string of maximum 52
characters
bull The MiFID II Transaction Reporting Validation Rules
published by ESMA state that TVTIC must be made of capital
letters and numbers
Transaction Reporting (2)
5 October 2017 London Stock Exchange Group Page 29
bull On MIT Trade ID is unique per Market and is
ndash a 8 bytes number on the NTG interface and on MITCH and GTP
ndash ldquoTrdquo concatenated to an alphanumerical string corresponding to the
above ID base 62 encoded on FIX (Trading Drop Copy and Post
Trade Gateways)
ndash The alphanumerical identifier described above
bull is sent to downstream systems (Post Trading Clearing Settlement)
bull is published in reconciliation reports
bull is currently used for Transaction reporting purposes
bull is a case sensitive alphanumerical string
Transaction Reporting (3)
5 October 2017 London Stock Exchange Group Page 30
bull On SOLA
ndash the currently used Trade ID is a progressive number unique per
instrument
ndash In order to have a unique ID it has been decided to use the above
Trade ID concatenated with the SICO Code (Group ID + Instrument ID)
for Transaction Reporting purposes
ndash The SICO Code is case sensitive therefore the ID made of the
platformrsquos Trade ID concatenated with the SICO Code is a case
sensitive alphanumerical string
Transaction Reporting (4)
5 October 2017 London Stock Exchange Group Page 31
bull We will rely on different TVTICs for Transaction Reporting
purposes using
ndash on MIT the 8 bytes number used on the NTG interface and on MITCH
and GTP asking FIX clients to apply the already documented base 62
decoding algorithm
ndash on SOLA the base 62 decoded version of the identifier described in
the previous slide
bull TVTIC will be provided on Reconciliation Files
Borsa Italiana Transaction Reporting Service
5 October 2017 London Stock Exchange Group Page 32
bull The existing Borsa Italianarsquos Transaction Reporting
Service will close together with the go-live of MiFID II
bull The Transaction Reporting Service will be active until the
introduction of MiFID II on January 3rd 2018
bull LSEG will offer Transaction Reporting facility via UnaVista
another company of LSEG that will apply as ARM (Approved
Reporting Mechanism)
5 October 2017 London Stock Exchange Group Page 33
IDEM Key Information Documents
Enrico Pellizzoni
Head of Italy Equity Markets and Derivatives Products
PRIIPs Regulation (IDEM) (1)
5 October 2017 London Stock Exchange Group Page 34
bull BIt will to produce KIDs (Key Information Documents) for IDEM contracts
bull Borsa Italiana will follow an lsquoaggregated approachrsquo as allowed from recent ESMArsquos QampA 14 KIDs will be produced to describe existing IDEM contracts
bull a KID will identify ISINs sharing the same contract specifications expected payoff and fee structure
ndash call options vs put options on the same contract ndash 2 different KIDs
ndash single name derivatives will have a single aggregated KID for each product category (not for each individual underlying)
ndash weekly expiries are not identified by a separate KID
bull Description of costs will include fees that BIt is charging to its market participants Brokers must inform retail clients about their own costs
PRIIPs Regulation (IDEM) (2)
5 October 2017 London Stock Exchange Group Page 35
1 Futures on FTSE MIB
2 Mini futures on FTSE MIB
3 Futures on FTSE MIB dividend
4 Call options on FTSE MIB
5 Put options on FTSE MIB
6 Stock futures
7 Stock dividend futures
8 Single stock call options
9 Single stock put options
10Baseload Italian power futures
11Peakload Italian power futures
12Baseload German power futures
13Peakload German power futures
14Durum wheat futures
PRIIPs Regulation (IDEM) (3)
5 October 2017 London Stock Exchange Group Page 36
bull Available as pdf files free of charge in a dedicated webpage
wwwborsaitalianaitderivatikidskidsenhtm
bull File names with a dedicated convention linked to reference data and downloadable also as
wwwborsaitalianaitderivatikids[filename]pdf
bull Available for download via ftp server (MIT 702)
bull Reviewed at least yearly (or in case of changes to contract specs expected payoff fee structure)
bull Available in Italian English Spanish German and French Additional translations will be evaluated in due course
5 October 2017 London Stock Exchange Group Page 37
Member Portal
Antonello Greco
Technical Account Manager
Client Technology Services Italy
RTS 24 - Requirements
5 October 2017 London Stock Exchange Group Page 38
bull Client Identification code Identifier of the Client (Local Person Identifier or
Legal Entity Identifier) for client orders only
bull Investment Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the investment decision
bull Execution Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the execution decision
Long Code ndash Short Code mapping
5 October 2017 London Stock Exchange Group Page 39
Long Code Short Code
Market messages Client ID Investment Decision Maker Executing Trader
Short Codes ndash Reserved values
5 October 2017 London Stock Exchange Group Page 40
bull 0 None Valid for Client ID and Investment Decision ID
bull 1 AGGR where several orders are submitted to the trading venue together as
an aggregated Valid for Client ID only
bull 2 PNAL where a trading participant allocates an order to its client following
submission of the order to the trading venue and has not yet allocated the
order to its client at the time of the submission of the order Valid for Client ID
only
bull 3 CLIENT valid for Execution Decision ID only
Uploading ndash Three options
5 October 2017 London Stock Exchange Group Page 41
A trading firm will manage the short-long code mappings in a new section of the
Member Portal in the following ways
bull Manual insertion
bull Bulk upload through the Member Portal web interface
bull Bulk upload via SFTP server
Uploading ndash Manual insertion
5 October 2017 London Stock Exchange Group Page 42
bull Short Code numerical value between 4 and 232-1
bull Long Code alphanumerical string of 50 characters Expected values are ndash Local Person Identifier
ndash Legal Entity Identifier
ndash Algorithm
bull Identifier Code Type ndash Natural Person
ndash Client LEI
ndash Algorithm
Uploading ndash Bulk upload (12)
5 October 2017 London Stock Exchange Group Page 43
Field Name
Mandatory
Description
Short Code
Y
4 ndash 4294967295
Long Code
Y
50 alphanumeric chars
Identifier Code Type
Y
L Client LEI
N Natural Person
A Algorithm
Notes
N
Free text field
Operation Type
Y
0 New
1 Update
2 Delete
Uploading ndash Bulk upload (22)
5 October 2017 London Stock Exchange Group Page 44
A new record reporting information on the outcome of the upload is displayed
bull Status ndash In Progress Published Published with errors Not Published
bull UserFile the userrsquos original csv
bull ResultFile a txt file containing the number of records added updated deleted
bull ErrorFile a csv file listing the records containing errors An Error Description field
is added to instruct the user of the error
Uploading ndash SFTP server
5 October 2017 London Stock Exchange Group Page 45
bull The csv file has the same layout as the one used to upload through the
member portal web interface
bull The only difference is that the file must have a specific naming convention
- Venue_ShortLongCodes_YYYYMMDD_NNcsv
bull The root folder of the sFTP server is the Firm ID which in turn contains an IN
and an OUT folder with respectively read-write and read only access
bull The IN folder will contain the bulk upload csv file while the OUT folder will
store Results File and Errors File (if one or more records are rejected)
Upload by difference or laquofrom scratchraquo
5 October 2017 London Stock Exchange Group Page 46
When uploading the file the user can choose to
bull insert modify and delete the existing set of short-long codes hence working by
difference
bull replace the whole list of existing short-long codes with the ones included in the
file hence working from scratch Operation Type can only be populated with 0
Constraints
5 October 2017 London Stock Exchange Group Page 47
bull Two different records can not have the same pair ltShort Code Identifier Code
Typegt
bull Local Person Identifier and Legal Identity Identifiers have to be used
respectively to identify a Natural Person and a LEI
bull Following a cancellation the upload of a new record with the same pair ltShort
Code Identifier Code Typegt will be rejected
When uploading mappings
5 October 2017 London Stock Exchange Group Page 48
bull Short CodeLong Code mappings must be uploaded within the market close
(time limit to be defined) of the same day as they are used as part of the
layout of market messages sent to the exchange
bull Trading participants failing to report the records at day T will be notified and
must download the Missing Short Codes report to find out the discrepancies
to be corrected
bull The Missing Short Code report for the day T is available at T+1 and it lists
the discrepancies of the last five working days
Additional Enhancements
5 October 2017 London Stock Exchange Group Page 49
bull Trader IDs
bull Risk Management users for pre-trade validation functionalities (PTV)
bull Self Execution Prevention
bull Market Making Strategies
bull Mass Cancellation
bull Back Office SELECT
bull Position Report as required by RTS 21 - Application of position limits to
commodity derivatives
Go live
5 October 2017 London Stock Exchange Group Page 50
bull The new Member Portal will go-live on November 2017
bull Trading participant will have a one month window to test the upload of
mappings on the Member Portal before the actual MIFID II go live on
January the 3rd
bull No validations on how short codes are used in the layout of market
messages will be performed except for formal integrity checks
bull The User Manual is already available online on both Borsa Italiana and
EuroTLX websites
5 October 2017 London Stock Exchange Group Page 51
TRADEcho
Roberto Fumagalli
Technical Account Manager
Client Technology Services Italy
POST TRADE TRANSPARENCY OBLIGATION
5 October 2017 London Stock Exchange Group Page 52
MiFID I requires customers to publish OTC trades done on equity instruments listed on European regulated markets Consob extended this obligation to all instruments listed on regulated market (including MOT SeDeX ETFPlus and MTS) MiFID II extends the reporting obligation to all instruments (equity and non equity) listed on European regulated markets MTF and OTF The service offered by Borsa Italiana (PTTS service) to fulfill this obligation will close on 27th November 2017 (release of MIT Platform MiFID II version compliant) LSEG will offer Post Trade Transparency facility for OTC trades via TRADEcho
5 October 2017 London Stock Exchange Group Page 53
TRADEcho
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
Tick Table Policy (2)
5 October 2017 London Stock Exchange Group Page 14
bull Introduction of new Tick Tables on ETF+ market
ndash the tick size table defined by RTS 11 corresponding to the highest average daily number of
transaction will be applied to ETFs with equity underlying (also for RFQ)
ndash for other ETFs and ETCsETNs a dedicated tick table will be introduced
bull RFQs on these instruments will use a fixed tick size equal to 00001 euro
ndash The above changes will go live on November 27th 2017
New ATF Trades Publication Model (1)
5 October 2017 London Stock Exchange Group Page 15
bull Trades on ATF instruments (ATF is a segment of ETF+) will be published via
Market Data services with the price (1euro as per convention) marked as Pending
bull Once NAV is received
ndash trades are rectified (price is set to the NAV)
ndash Market Data Services will publish the modification of Trades
bull Two messages will be sent via market Data Services (GTP and MITCH) one cancelling
the trade and one for re-publishing the trade with indication that an amendment has been
made
New ATF Trades Publication Model (2)
5 October 2017 London Stock Exchange Group Page 16
bull An ack of the modification of the trades will be sent to customers via a Trade
Capture Report sent by the Post Trade Gateway
bull GTP statistics for ATF will be calculated on the amended price (published
at T+1) and not on the pending one (published at T)
bull Changes to ATF Trades Publication Model will go live on November 27th
2017
Cross Orders on MIT
5 October 2017 London Stock Exchange Group Page 17
Instrument Type November 27th 2017 January 2nd 2018 January 3rd 2018
Shares bull Switch to volume-weighted spread price validation
bull For Liquid Shares Reject of Cross Orders when volume-weighted spread is not available
Liquid ETFs Reject of Cross Orders when volume-weighted spread is not available
Liquid ETCs ETNs Fixed Income
Cross Orders disabled
SeDeX Cross Orders disabled
Negotiated Transactions
5 October 2017 London Stock Exchange Group Page 18
bull New statistics calculation for Cross Orders (no updates to Last Trade Price
LowHigh Price) for both MIT and SOLA platforms starting from January 2nd 2018
ndash Stop or Stop Limit Orders will no longer be triggered by Cross Orders
ndash Prices of Cross Orders will not influence circuit breaker validations for the following trade
bull Switch from quantity to value-based control for the minimum size of a Block Trade
on MIT markets on November 27th 2017
bull Reject execution of negotiated transactions below the pre-trade LIS threshold for
liquid products on IDEM market on January 2nd 2018
New trading Capacities
5 October 2017 London Stock Exchange Group Page 19
bull on January 3rd 2018
ndash the new Matched Principal Trading Capacity will be added (according to membership
trading authorizations) to existing ones on both the Borsa Italiana MIT and the SOLA
markets
ndash The two new Matched Principal and Un-Matched Principal Trading Capacities will be
enabled on EuroTLX
bull dedicated Comp IDs must be requested by Brokers authorized to use Matched
Principal andor Unmatched Principal Trading Capacities
bull it will be possible to use Matched Principal andor Unmatched Principal Trading
Capacities only via the dedicated Comp IDs described above
Other Changes (1)
5 October 2017 London Stock Exchange Group Page 20
bull on November 27th 2017
ndash Introduction of new pre-trade controls on maximum order value on MIT platform and on maximum order notional value on SOLA platform
ndash Iceberg orders
bull Introduction of a control on the minimum value of iceberg orders on the MIT platform
bull switch from quantity to value-based control for the minimum peak size
bull Introduction of a control on minimum notional value on SOLA platform
ndash Changes to EMS and EMS multiplier parameters for the ETF+ market
bull on January 2nd 2018
ndash Changes to EMS and EMS multiplier parameters for the SeDeX market
Other Changes (2)
5 October 2017 London Stock Exchange Group Page 21
bull On November 27th 2017 the classification of lsquoliquidrsquo vs lsquonot liquidrsquo will be included in reference
data
ndash Shares according to current MiFID classification
ndash Fixed income instruments ETFs ETCs and ETNs all classified as lsquoilliquidrsquo pending ESMArsquos
classification
ndash SeDeX will be set as Liquid according to ESMArsquos MiFID II classification
ndash IDEM according to ESMArsquos MiFID II classification
bull On November 27th 2017 the CPP (Closing Price Publication) session will be removed
Closing Prices will be disseminated
ndash At the beginning of the Post Close session for segments that do not have a Closing Auction
ndash At the end of the Closing Auction session for segments that do have a Closing Auction
Market MakingLiquidity Provision (1)
5 October 2017 London Stock Exchange Group Page 22
bull on MIT Market MakersLiquidity Providers are and will be given one or more
dedicated Comp ID(s) in order to segregate Market MakingLiquidity Provision
activity
bull on SOLA Market MakersLiquidity Providers are and will be given one or more
dedicated Trader ID(s) in order to segregate Market MakingLiquidity Provision
activity
bull a dedicated Naming Convention is applied to Comp IDs and Trader IDs used
for Market MakingLiquidity Provision activity
Market MakingLiquidity Provision (2)
5 October 2017 London Stock Exchange Group Page 23
bull Market MakersLiquidity Providers send (single or dual side) quotes most of the time but under certain circumstances (depending on the type of activity) may send orders
ndash operators have to restrict the use of the dedicated Comp IDTrader ID to the liquidity provision activity using quotes or orders according to what is requested by the Market Making programs in place independently from the fact that no technical restrictions will be put in place
bull For existing Market Making programs
ndash We are restricting MIT Specialist Comp IDs to send orders only on the subset of instruments they are associated for Specialist activity (work in progress migration based on individual client migration plan)
ndash We will restrict SOLA Market Making Trader IDs to send orders only on the subset of instruments they are associated for Market Making activity starting from November 27th 2017
Market MakingLiquidity Provision (3)
5 October 2017 London Stock Exchange Group Page 24
bull New MiFID II Market Making SchemeAgreements (starting from January 3rd
2018)
ndash Member Firms that will subscribe for the new SchemeAgreements will be given dedicated
Comp IDs (for MIT markets) and Trader IDs
ndash Member Firms will decide whether to perform this activity via quotes and orders or via
orders only
bull On SeDeX Member Firms that will subscribe for the new SchemeAgreements will be
allowed to use orders only
Stressed Market Conditions
5 October 2017 London Stock Exchange Group Page 25
bull Stressed Market Conditions will be defined at rulebook level
bull Notification to customers of ldquoStressed Market Conditionsrdquo
ndash No specific market changes will be introduced for notifying customers when ldquoStressed Market
Conditionsrdquo occur
ndash on MIT
bull ldquoStressed Market Conditionsrdquo will be derived from ldquocircuit breakerrdquo period plus ldquonrdquo seconds after
bull Announcement messages will be disseminated in order to announce ldquoStressed Market
Conditionsrdquo
ndash on SOLA Bulletin messages will be disseminated in order to announce ldquoStressed Market
Conditionsrdquo
Legacy CDS
5 October 2017 London Stock Exchange Group Page 26
bull In order to facilitate the testing of software applications and customer
algorithms a new test environment will be provided in parallel to the existing
one starting from Q1 2018
ndash a Legacy CDS will be provided for all the Trading and Market Data services of the Grouprsquos
Trading Venues
ndash the new environment will be continuously aligned with production in terms of Software
Version of Trading and Market Data Systems and Reference Data
Borsa Italiana Post Trade Transparency Service
5 October 2017 London Stock Exchange Group Page 27
bull The existing Borsa Italianarsquos Post Trade Transparency
Service will be discontinued with MiFID II
bull For technical reasons together with the MiFID II technical go-
live (November 27th 2017) it will not be possible to keep
providing the Post Trade Transparency Service
bull LSEG will offer Post Trade Transparency facility for OTC
trades via TRADEcho (see following presentation)
Transaction Reporting (1)
5 October 2017 London Stock Exchange Group Page 28
bull RTS 22 and other RTS do not specify constraints on the
format of the Trading Venue Trade Identification Code
(TVTIC) used by Trading venues apart from
ndash Trade ID should be unique
ndash Trade ID should be an alphanumerical string of maximum 52
characters
bull The MiFID II Transaction Reporting Validation Rules
published by ESMA state that TVTIC must be made of capital
letters and numbers
Transaction Reporting (2)
5 October 2017 London Stock Exchange Group Page 29
bull On MIT Trade ID is unique per Market and is
ndash a 8 bytes number on the NTG interface and on MITCH and GTP
ndash ldquoTrdquo concatenated to an alphanumerical string corresponding to the
above ID base 62 encoded on FIX (Trading Drop Copy and Post
Trade Gateways)
ndash The alphanumerical identifier described above
bull is sent to downstream systems (Post Trading Clearing Settlement)
bull is published in reconciliation reports
bull is currently used for Transaction reporting purposes
bull is a case sensitive alphanumerical string
Transaction Reporting (3)
5 October 2017 London Stock Exchange Group Page 30
bull On SOLA
ndash the currently used Trade ID is a progressive number unique per
instrument
ndash In order to have a unique ID it has been decided to use the above
Trade ID concatenated with the SICO Code (Group ID + Instrument ID)
for Transaction Reporting purposes
ndash The SICO Code is case sensitive therefore the ID made of the
platformrsquos Trade ID concatenated with the SICO Code is a case
sensitive alphanumerical string
Transaction Reporting (4)
5 October 2017 London Stock Exchange Group Page 31
bull We will rely on different TVTICs for Transaction Reporting
purposes using
ndash on MIT the 8 bytes number used on the NTG interface and on MITCH
and GTP asking FIX clients to apply the already documented base 62
decoding algorithm
ndash on SOLA the base 62 decoded version of the identifier described in
the previous slide
bull TVTIC will be provided on Reconciliation Files
Borsa Italiana Transaction Reporting Service
5 October 2017 London Stock Exchange Group Page 32
bull The existing Borsa Italianarsquos Transaction Reporting
Service will close together with the go-live of MiFID II
bull The Transaction Reporting Service will be active until the
introduction of MiFID II on January 3rd 2018
bull LSEG will offer Transaction Reporting facility via UnaVista
another company of LSEG that will apply as ARM (Approved
Reporting Mechanism)
5 October 2017 London Stock Exchange Group Page 33
IDEM Key Information Documents
Enrico Pellizzoni
Head of Italy Equity Markets and Derivatives Products
PRIIPs Regulation (IDEM) (1)
5 October 2017 London Stock Exchange Group Page 34
bull BIt will to produce KIDs (Key Information Documents) for IDEM contracts
bull Borsa Italiana will follow an lsquoaggregated approachrsquo as allowed from recent ESMArsquos QampA 14 KIDs will be produced to describe existing IDEM contracts
bull a KID will identify ISINs sharing the same contract specifications expected payoff and fee structure
ndash call options vs put options on the same contract ndash 2 different KIDs
ndash single name derivatives will have a single aggregated KID for each product category (not for each individual underlying)
ndash weekly expiries are not identified by a separate KID
bull Description of costs will include fees that BIt is charging to its market participants Brokers must inform retail clients about their own costs
PRIIPs Regulation (IDEM) (2)
5 October 2017 London Stock Exchange Group Page 35
1 Futures on FTSE MIB
2 Mini futures on FTSE MIB
3 Futures on FTSE MIB dividend
4 Call options on FTSE MIB
5 Put options on FTSE MIB
6 Stock futures
7 Stock dividend futures
8 Single stock call options
9 Single stock put options
10Baseload Italian power futures
11Peakload Italian power futures
12Baseload German power futures
13Peakload German power futures
14Durum wheat futures
PRIIPs Regulation (IDEM) (3)
5 October 2017 London Stock Exchange Group Page 36
bull Available as pdf files free of charge in a dedicated webpage
wwwborsaitalianaitderivatikidskidsenhtm
bull File names with a dedicated convention linked to reference data and downloadable also as
wwwborsaitalianaitderivatikids[filename]pdf
bull Available for download via ftp server (MIT 702)
bull Reviewed at least yearly (or in case of changes to contract specs expected payoff fee structure)
bull Available in Italian English Spanish German and French Additional translations will be evaluated in due course
5 October 2017 London Stock Exchange Group Page 37
Member Portal
Antonello Greco
Technical Account Manager
Client Technology Services Italy
RTS 24 - Requirements
5 October 2017 London Stock Exchange Group Page 38
bull Client Identification code Identifier of the Client (Local Person Identifier or
Legal Entity Identifier) for client orders only
bull Investment Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the investment decision
bull Execution Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the execution decision
Long Code ndash Short Code mapping
5 October 2017 London Stock Exchange Group Page 39
Long Code Short Code
Market messages Client ID Investment Decision Maker Executing Trader
Short Codes ndash Reserved values
5 October 2017 London Stock Exchange Group Page 40
bull 0 None Valid for Client ID and Investment Decision ID
bull 1 AGGR where several orders are submitted to the trading venue together as
an aggregated Valid for Client ID only
bull 2 PNAL where a trading participant allocates an order to its client following
submission of the order to the trading venue and has not yet allocated the
order to its client at the time of the submission of the order Valid for Client ID
only
bull 3 CLIENT valid for Execution Decision ID only
Uploading ndash Three options
5 October 2017 London Stock Exchange Group Page 41
A trading firm will manage the short-long code mappings in a new section of the
Member Portal in the following ways
bull Manual insertion
bull Bulk upload through the Member Portal web interface
bull Bulk upload via SFTP server
Uploading ndash Manual insertion
5 October 2017 London Stock Exchange Group Page 42
bull Short Code numerical value between 4 and 232-1
bull Long Code alphanumerical string of 50 characters Expected values are ndash Local Person Identifier
ndash Legal Entity Identifier
ndash Algorithm
bull Identifier Code Type ndash Natural Person
ndash Client LEI
ndash Algorithm
Uploading ndash Bulk upload (12)
5 October 2017 London Stock Exchange Group Page 43
Field Name
Mandatory
Description
Short Code
Y
4 ndash 4294967295
Long Code
Y
50 alphanumeric chars
Identifier Code Type
Y
L Client LEI
N Natural Person
A Algorithm
Notes
N
Free text field
Operation Type
Y
0 New
1 Update
2 Delete
Uploading ndash Bulk upload (22)
5 October 2017 London Stock Exchange Group Page 44
A new record reporting information on the outcome of the upload is displayed
bull Status ndash In Progress Published Published with errors Not Published
bull UserFile the userrsquos original csv
bull ResultFile a txt file containing the number of records added updated deleted
bull ErrorFile a csv file listing the records containing errors An Error Description field
is added to instruct the user of the error
Uploading ndash SFTP server
5 October 2017 London Stock Exchange Group Page 45
bull The csv file has the same layout as the one used to upload through the
member portal web interface
bull The only difference is that the file must have a specific naming convention
- Venue_ShortLongCodes_YYYYMMDD_NNcsv
bull The root folder of the sFTP server is the Firm ID which in turn contains an IN
and an OUT folder with respectively read-write and read only access
bull The IN folder will contain the bulk upload csv file while the OUT folder will
store Results File and Errors File (if one or more records are rejected)
Upload by difference or laquofrom scratchraquo
5 October 2017 London Stock Exchange Group Page 46
When uploading the file the user can choose to
bull insert modify and delete the existing set of short-long codes hence working by
difference
bull replace the whole list of existing short-long codes with the ones included in the
file hence working from scratch Operation Type can only be populated with 0
Constraints
5 October 2017 London Stock Exchange Group Page 47
bull Two different records can not have the same pair ltShort Code Identifier Code
Typegt
bull Local Person Identifier and Legal Identity Identifiers have to be used
respectively to identify a Natural Person and a LEI
bull Following a cancellation the upload of a new record with the same pair ltShort
Code Identifier Code Typegt will be rejected
When uploading mappings
5 October 2017 London Stock Exchange Group Page 48
bull Short CodeLong Code mappings must be uploaded within the market close
(time limit to be defined) of the same day as they are used as part of the
layout of market messages sent to the exchange
bull Trading participants failing to report the records at day T will be notified and
must download the Missing Short Codes report to find out the discrepancies
to be corrected
bull The Missing Short Code report for the day T is available at T+1 and it lists
the discrepancies of the last five working days
Additional Enhancements
5 October 2017 London Stock Exchange Group Page 49
bull Trader IDs
bull Risk Management users for pre-trade validation functionalities (PTV)
bull Self Execution Prevention
bull Market Making Strategies
bull Mass Cancellation
bull Back Office SELECT
bull Position Report as required by RTS 21 - Application of position limits to
commodity derivatives
Go live
5 October 2017 London Stock Exchange Group Page 50
bull The new Member Portal will go-live on November 2017
bull Trading participant will have a one month window to test the upload of
mappings on the Member Portal before the actual MIFID II go live on
January the 3rd
bull No validations on how short codes are used in the layout of market
messages will be performed except for formal integrity checks
bull The User Manual is already available online on both Borsa Italiana and
EuroTLX websites
5 October 2017 London Stock Exchange Group Page 51
TRADEcho
Roberto Fumagalli
Technical Account Manager
Client Technology Services Italy
POST TRADE TRANSPARENCY OBLIGATION
5 October 2017 London Stock Exchange Group Page 52
MiFID I requires customers to publish OTC trades done on equity instruments listed on European regulated markets Consob extended this obligation to all instruments listed on regulated market (including MOT SeDeX ETFPlus and MTS) MiFID II extends the reporting obligation to all instruments (equity and non equity) listed on European regulated markets MTF and OTF The service offered by Borsa Italiana (PTTS service) to fulfill this obligation will close on 27th November 2017 (release of MIT Platform MiFID II version compliant) LSEG will offer Post Trade Transparency facility for OTC trades via TRADEcho
5 October 2017 London Stock Exchange Group Page 53
TRADEcho
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
New ATF Trades Publication Model (1)
5 October 2017 London Stock Exchange Group Page 15
bull Trades on ATF instruments (ATF is a segment of ETF+) will be published via
Market Data services with the price (1euro as per convention) marked as Pending
bull Once NAV is received
ndash trades are rectified (price is set to the NAV)
ndash Market Data Services will publish the modification of Trades
bull Two messages will be sent via market Data Services (GTP and MITCH) one cancelling
the trade and one for re-publishing the trade with indication that an amendment has been
made
New ATF Trades Publication Model (2)
5 October 2017 London Stock Exchange Group Page 16
bull An ack of the modification of the trades will be sent to customers via a Trade
Capture Report sent by the Post Trade Gateway
bull GTP statistics for ATF will be calculated on the amended price (published
at T+1) and not on the pending one (published at T)
bull Changes to ATF Trades Publication Model will go live on November 27th
2017
Cross Orders on MIT
5 October 2017 London Stock Exchange Group Page 17
Instrument Type November 27th 2017 January 2nd 2018 January 3rd 2018
Shares bull Switch to volume-weighted spread price validation
bull For Liquid Shares Reject of Cross Orders when volume-weighted spread is not available
Liquid ETFs Reject of Cross Orders when volume-weighted spread is not available
Liquid ETCs ETNs Fixed Income
Cross Orders disabled
SeDeX Cross Orders disabled
Negotiated Transactions
5 October 2017 London Stock Exchange Group Page 18
bull New statistics calculation for Cross Orders (no updates to Last Trade Price
LowHigh Price) for both MIT and SOLA platforms starting from January 2nd 2018
ndash Stop or Stop Limit Orders will no longer be triggered by Cross Orders
ndash Prices of Cross Orders will not influence circuit breaker validations for the following trade
bull Switch from quantity to value-based control for the minimum size of a Block Trade
on MIT markets on November 27th 2017
bull Reject execution of negotiated transactions below the pre-trade LIS threshold for
liquid products on IDEM market on January 2nd 2018
New trading Capacities
5 October 2017 London Stock Exchange Group Page 19
bull on January 3rd 2018
ndash the new Matched Principal Trading Capacity will be added (according to membership
trading authorizations) to existing ones on both the Borsa Italiana MIT and the SOLA
markets
ndash The two new Matched Principal and Un-Matched Principal Trading Capacities will be
enabled on EuroTLX
bull dedicated Comp IDs must be requested by Brokers authorized to use Matched
Principal andor Unmatched Principal Trading Capacities
bull it will be possible to use Matched Principal andor Unmatched Principal Trading
Capacities only via the dedicated Comp IDs described above
Other Changes (1)
5 October 2017 London Stock Exchange Group Page 20
bull on November 27th 2017
ndash Introduction of new pre-trade controls on maximum order value on MIT platform and on maximum order notional value on SOLA platform
ndash Iceberg orders
bull Introduction of a control on the minimum value of iceberg orders on the MIT platform
bull switch from quantity to value-based control for the minimum peak size
bull Introduction of a control on minimum notional value on SOLA platform
ndash Changes to EMS and EMS multiplier parameters for the ETF+ market
bull on January 2nd 2018
ndash Changes to EMS and EMS multiplier parameters for the SeDeX market
Other Changes (2)
5 October 2017 London Stock Exchange Group Page 21
bull On November 27th 2017 the classification of lsquoliquidrsquo vs lsquonot liquidrsquo will be included in reference
data
ndash Shares according to current MiFID classification
ndash Fixed income instruments ETFs ETCs and ETNs all classified as lsquoilliquidrsquo pending ESMArsquos
classification
ndash SeDeX will be set as Liquid according to ESMArsquos MiFID II classification
ndash IDEM according to ESMArsquos MiFID II classification
bull On November 27th 2017 the CPP (Closing Price Publication) session will be removed
Closing Prices will be disseminated
ndash At the beginning of the Post Close session for segments that do not have a Closing Auction
ndash At the end of the Closing Auction session for segments that do have a Closing Auction
Market MakingLiquidity Provision (1)
5 October 2017 London Stock Exchange Group Page 22
bull on MIT Market MakersLiquidity Providers are and will be given one or more
dedicated Comp ID(s) in order to segregate Market MakingLiquidity Provision
activity
bull on SOLA Market MakersLiquidity Providers are and will be given one or more
dedicated Trader ID(s) in order to segregate Market MakingLiquidity Provision
activity
bull a dedicated Naming Convention is applied to Comp IDs and Trader IDs used
for Market MakingLiquidity Provision activity
Market MakingLiquidity Provision (2)
5 October 2017 London Stock Exchange Group Page 23
bull Market MakersLiquidity Providers send (single or dual side) quotes most of the time but under certain circumstances (depending on the type of activity) may send orders
ndash operators have to restrict the use of the dedicated Comp IDTrader ID to the liquidity provision activity using quotes or orders according to what is requested by the Market Making programs in place independently from the fact that no technical restrictions will be put in place
bull For existing Market Making programs
ndash We are restricting MIT Specialist Comp IDs to send orders only on the subset of instruments they are associated for Specialist activity (work in progress migration based on individual client migration plan)
ndash We will restrict SOLA Market Making Trader IDs to send orders only on the subset of instruments they are associated for Market Making activity starting from November 27th 2017
Market MakingLiquidity Provision (3)
5 October 2017 London Stock Exchange Group Page 24
bull New MiFID II Market Making SchemeAgreements (starting from January 3rd
2018)
ndash Member Firms that will subscribe for the new SchemeAgreements will be given dedicated
Comp IDs (for MIT markets) and Trader IDs
ndash Member Firms will decide whether to perform this activity via quotes and orders or via
orders only
bull On SeDeX Member Firms that will subscribe for the new SchemeAgreements will be
allowed to use orders only
Stressed Market Conditions
5 October 2017 London Stock Exchange Group Page 25
bull Stressed Market Conditions will be defined at rulebook level
bull Notification to customers of ldquoStressed Market Conditionsrdquo
ndash No specific market changes will be introduced for notifying customers when ldquoStressed Market
Conditionsrdquo occur
ndash on MIT
bull ldquoStressed Market Conditionsrdquo will be derived from ldquocircuit breakerrdquo period plus ldquonrdquo seconds after
bull Announcement messages will be disseminated in order to announce ldquoStressed Market
Conditionsrdquo
ndash on SOLA Bulletin messages will be disseminated in order to announce ldquoStressed Market
Conditionsrdquo
Legacy CDS
5 October 2017 London Stock Exchange Group Page 26
bull In order to facilitate the testing of software applications and customer
algorithms a new test environment will be provided in parallel to the existing
one starting from Q1 2018
ndash a Legacy CDS will be provided for all the Trading and Market Data services of the Grouprsquos
Trading Venues
ndash the new environment will be continuously aligned with production in terms of Software
Version of Trading and Market Data Systems and Reference Data
Borsa Italiana Post Trade Transparency Service
5 October 2017 London Stock Exchange Group Page 27
bull The existing Borsa Italianarsquos Post Trade Transparency
Service will be discontinued with MiFID II
bull For technical reasons together with the MiFID II technical go-
live (November 27th 2017) it will not be possible to keep
providing the Post Trade Transparency Service
bull LSEG will offer Post Trade Transparency facility for OTC
trades via TRADEcho (see following presentation)
Transaction Reporting (1)
5 October 2017 London Stock Exchange Group Page 28
bull RTS 22 and other RTS do not specify constraints on the
format of the Trading Venue Trade Identification Code
(TVTIC) used by Trading venues apart from
ndash Trade ID should be unique
ndash Trade ID should be an alphanumerical string of maximum 52
characters
bull The MiFID II Transaction Reporting Validation Rules
published by ESMA state that TVTIC must be made of capital
letters and numbers
Transaction Reporting (2)
5 October 2017 London Stock Exchange Group Page 29
bull On MIT Trade ID is unique per Market and is
ndash a 8 bytes number on the NTG interface and on MITCH and GTP
ndash ldquoTrdquo concatenated to an alphanumerical string corresponding to the
above ID base 62 encoded on FIX (Trading Drop Copy and Post
Trade Gateways)
ndash The alphanumerical identifier described above
bull is sent to downstream systems (Post Trading Clearing Settlement)
bull is published in reconciliation reports
bull is currently used for Transaction reporting purposes
bull is a case sensitive alphanumerical string
Transaction Reporting (3)
5 October 2017 London Stock Exchange Group Page 30
bull On SOLA
ndash the currently used Trade ID is a progressive number unique per
instrument
ndash In order to have a unique ID it has been decided to use the above
Trade ID concatenated with the SICO Code (Group ID + Instrument ID)
for Transaction Reporting purposes
ndash The SICO Code is case sensitive therefore the ID made of the
platformrsquos Trade ID concatenated with the SICO Code is a case
sensitive alphanumerical string
Transaction Reporting (4)
5 October 2017 London Stock Exchange Group Page 31
bull We will rely on different TVTICs for Transaction Reporting
purposes using
ndash on MIT the 8 bytes number used on the NTG interface and on MITCH
and GTP asking FIX clients to apply the already documented base 62
decoding algorithm
ndash on SOLA the base 62 decoded version of the identifier described in
the previous slide
bull TVTIC will be provided on Reconciliation Files
Borsa Italiana Transaction Reporting Service
5 October 2017 London Stock Exchange Group Page 32
bull The existing Borsa Italianarsquos Transaction Reporting
Service will close together with the go-live of MiFID II
bull The Transaction Reporting Service will be active until the
introduction of MiFID II on January 3rd 2018
bull LSEG will offer Transaction Reporting facility via UnaVista
another company of LSEG that will apply as ARM (Approved
Reporting Mechanism)
5 October 2017 London Stock Exchange Group Page 33
IDEM Key Information Documents
Enrico Pellizzoni
Head of Italy Equity Markets and Derivatives Products
PRIIPs Regulation (IDEM) (1)
5 October 2017 London Stock Exchange Group Page 34
bull BIt will to produce KIDs (Key Information Documents) for IDEM contracts
bull Borsa Italiana will follow an lsquoaggregated approachrsquo as allowed from recent ESMArsquos QampA 14 KIDs will be produced to describe existing IDEM contracts
bull a KID will identify ISINs sharing the same contract specifications expected payoff and fee structure
ndash call options vs put options on the same contract ndash 2 different KIDs
ndash single name derivatives will have a single aggregated KID for each product category (not for each individual underlying)
ndash weekly expiries are not identified by a separate KID
bull Description of costs will include fees that BIt is charging to its market participants Brokers must inform retail clients about their own costs
PRIIPs Regulation (IDEM) (2)
5 October 2017 London Stock Exchange Group Page 35
1 Futures on FTSE MIB
2 Mini futures on FTSE MIB
3 Futures on FTSE MIB dividend
4 Call options on FTSE MIB
5 Put options on FTSE MIB
6 Stock futures
7 Stock dividend futures
8 Single stock call options
9 Single stock put options
10Baseload Italian power futures
11Peakload Italian power futures
12Baseload German power futures
13Peakload German power futures
14Durum wheat futures
PRIIPs Regulation (IDEM) (3)
5 October 2017 London Stock Exchange Group Page 36
bull Available as pdf files free of charge in a dedicated webpage
wwwborsaitalianaitderivatikidskidsenhtm
bull File names with a dedicated convention linked to reference data and downloadable also as
wwwborsaitalianaitderivatikids[filename]pdf
bull Available for download via ftp server (MIT 702)
bull Reviewed at least yearly (or in case of changes to contract specs expected payoff fee structure)
bull Available in Italian English Spanish German and French Additional translations will be evaluated in due course
5 October 2017 London Stock Exchange Group Page 37
Member Portal
Antonello Greco
Technical Account Manager
Client Technology Services Italy
RTS 24 - Requirements
5 October 2017 London Stock Exchange Group Page 38
bull Client Identification code Identifier of the Client (Local Person Identifier or
Legal Entity Identifier) for client orders only
bull Investment Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the investment decision
bull Execution Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the execution decision
Long Code ndash Short Code mapping
5 October 2017 London Stock Exchange Group Page 39
Long Code Short Code
Market messages Client ID Investment Decision Maker Executing Trader
Short Codes ndash Reserved values
5 October 2017 London Stock Exchange Group Page 40
bull 0 None Valid for Client ID and Investment Decision ID
bull 1 AGGR where several orders are submitted to the trading venue together as
an aggregated Valid for Client ID only
bull 2 PNAL where a trading participant allocates an order to its client following
submission of the order to the trading venue and has not yet allocated the
order to its client at the time of the submission of the order Valid for Client ID
only
bull 3 CLIENT valid for Execution Decision ID only
Uploading ndash Three options
5 October 2017 London Stock Exchange Group Page 41
A trading firm will manage the short-long code mappings in a new section of the
Member Portal in the following ways
bull Manual insertion
bull Bulk upload through the Member Portal web interface
bull Bulk upload via SFTP server
Uploading ndash Manual insertion
5 October 2017 London Stock Exchange Group Page 42
bull Short Code numerical value between 4 and 232-1
bull Long Code alphanumerical string of 50 characters Expected values are ndash Local Person Identifier
ndash Legal Entity Identifier
ndash Algorithm
bull Identifier Code Type ndash Natural Person
ndash Client LEI
ndash Algorithm
Uploading ndash Bulk upload (12)
5 October 2017 London Stock Exchange Group Page 43
Field Name
Mandatory
Description
Short Code
Y
4 ndash 4294967295
Long Code
Y
50 alphanumeric chars
Identifier Code Type
Y
L Client LEI
N Natural Person
A Algorithm
Notes
N
Free text field
Operation Type
Y
0 New
1 Update
2 Delete
Uploading ndash Bulk upload (22)
5 October 2017 London Stock Exchange Group Page 44
A new record reporting information on the outcome of the upload is displayed
bull Status ndash In Progress Published Published with errors Not Published
bull UserFile the userrsquos original csv
bull ResultFile a txt file containing the number of records added updated deleted
bull ErrorFile a csv file listing the records containing errors An Error Description field
is added to instruct the user of the error
Uploading ndash SFTP server
5 October 2017 London Stock Exchange Group Page 45
bull The csv file has the same layout as the one used to upload through the
member portal web interface
bull The only difference is that the file must have a specific naming convention
- Venue_ShortLongCodes_YYYYMMDD_NNcsv
bull The root folder of the sFTP server is the Firm ID which in turn contains an IN
and an OUT folder with respectively read-write and read only access
bull The IN folder will contain the bulk upload csv file while the OUT folder will
store Results File and Errors File (if one or more records are rejected)
Upload by difference or laquofrom scratchraquo
5 October 2017 London Stock Exchange Group Page 46
When uploading the file the user can choose to
bull insert modify and delete the existing set of short-long codes hence working by
difference
bull replace the whole list of existing short-long codes with the ones included in the
file hence working from scratch Operation Type can only be populated with 0
Constraints
5 October 2017 London Stock Exchange Group Page 47
bull Two different records can not have the same pair ltShort Code Identifier Code
Typegt
bull Local Person Identifier and Legal Identity Identifiers have to be used
respectively to identify a Natural Person and a LEI
bull Following a cancellation the upload of a new record with the same pair ltShort
Code Identifier Code Typegt will be rejected
When uploading mappings
5 October 2017 London Stock Exchange Group Page 48
bull Short CodeLong Code mappings must be uploaded within the market close
(time limit to be defined) of the same day as they are used as part of the
layout of market messages sent to the exchange
bull Trading participants failing to report the records at day T will be notified and
must download the Missing Short Codes report to find out the discrepancies
to be corrected
bull The Missing Short Code report for the day T is available at T+1 and it lists
the discrepancies of the last five working days
Additional Enhancements
5 October 2017 London Stock Exchange Group Page 49
bull Trader IDs
bull Risk Management users for pre-trade validation functionalities (PTV)
bull Self Execution Prevention
bull Market Making Strategies
bull Mass Cancellation
bull Back Office SELECT
bull Position Report as required by RTS 21 - Application of position limits to
commodity derivatives
Go live
5 October 2017 London Stock Exchange Group Page 50
bull The new Member Portal will go-live on November 2017
bull Trading participant will have a one month window to test the upload of
mappings on the Member Portal before the actual MIFID II go live on
January the 3rd
bull No validations on how short codes are used in the layout of market
messages will be performed except for formal integrity checks
bull The User Manual is already available online on both Borsa Italiana and
EuroTLX websites
5 October 2017 London Stock Exchange Group Page 51
TRADEcho
Roberto Fumagalli
Technical Account Manager
Client Technology Services Italy
POST TRADE TRANSPARENCY OBLIGATION
5 October 2017 London Stock Exchange Group Page 52
MiFID I requires customers to publish OTC trades done on equity instruments listed on European regulated markets Consob extended this obligation to all instruments listed on regulated market (including MOT SeDeX ETFPlus and MTS) MiFID II extends the reporting obligation to all instruments (equity and non equity) listed on European regulated markets MTF and OTF The service offered by Borsa Italiana (PTTS service) to fulfill this obligation will close on 27th November 2017 (release of MIT Platform MiFID II version compliant) LSEG will offer Post Trade Transparency facility for OTC trades via TRADEcho
5 October 2017 London Stock Exchange Group Page 53
TRADEcho
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
New ATF Trades Publication Model (2)
5 October 2017 London Stock Exchange Group Page 16
bull An ack of the modification of the trades will be sent to customers via a Trade
Capture Report sent by the Post Trade Gateway
bull GTP statistics for ATF will be calculated on the amended price (published
at T+1) and not on the pending one (published at T)
bull Changes to ATF Trades Publication Model will go live on November 27th
2017
Cross Orders on MIT
5 October 2017 London Stock Exchange Group Page 17
Instrument Type November 27th 2017 January 2nd 2018 January 3rd 2018
Shares bull Switch to volume-weighted spread price validation
bull For Liquid Shares Reject of Cross Orders when volume-weighted spread is not available
Liquid ETFs Reject of Cross Orders when volume-weighted spread is not available
Liquid ETCs ETNs Fixed Income
Cross Orders disabled
SeDeX Cross Orders disabled
Negotiated Transactions
5 October 2017 London Stock Exchange Group Page 18
bull New statistics calculation for Cross Orders (no updates to Last Trade Price
LowHigh Price) for both MIT and SOLA platforms starting from January 2nd 2018
ndash Stop or Stop Limit Orders will no longer be triggered by Cross Orders
ndash Prices of Cross Orders will not influence circuit breaker validations for the following trade
bull Switch from quantity to value-based control for the minimum size of a Block Trade
on MIT markets on November 27th 2017
bull Reject execution of negotiated transactions below the pre-trade LIS threshold for
liquid products on IDEM market on January 2nd 2018
New trading Capacities
5 October 2017 London Stock Exchange Group Page 19
bull on January 3rd 2018
ndash the new Matched Principal Trading Capacity will be added (according to membership
trading authorizations) to existing ones on both the Borsa Italiana MIT and the SOLA
markets
ndash The two new Matched Principal and Un-Matched Principal Trading Capacities will be
enabled on EuroTLX
bull dedicated Comp IDs must be requested by Brokers authorized to use Matched
Principal andor Unmatched Principal Trading Capacities
bull it will be possible to use Matched Principal andor Unmatched Principal Trading
Capacities only via the dedicated Comp IDs described above
Other Changes (1)
5 October 2017 London Stock Exchange Group Page 20
bull on November 27th 2017
ndash Introduction of new pre-trade controls on maximum order value on MIT platform and on maximum order notional value on SOLA platform
ndash Iceberg orders
bull Introduction of a control on the minimum value of iceberg orders on the MIT platform
bull switch from quantity to value-based control for the minimum peak size
bull Introduction of a control on minimum notional value on SOLA platform
ndash Changes to EMS and EMS multiplier parameters for the ETF+ market
bull on January 2nd 2018
ndash Changes to EMS and EMS multiplier parameters for the SeDeX market
Other Changes (2)
5 October 2017 London Stock Exchange Group Page 21
bull On November 27th 2017 the classification of lsquoliquidrsquo vs lsquonot liquidrsquo will be included in reference
data
ndash Shares according to current MiFID classification
ndash Fixed income instruments ETFs ETCs and ETNs all classified as lsquoilliquidrsquo pending ESMArsquos
classification
ndash SeDeX will be set as Liquid according to ESMArsquos MiFID II classification
ndash IDEM according to ESMArsquos MiFID II classification
bull On November 27th 2017 the CPP (Closing Price Publication) session will be removed
Closing Prices will be disseminated
ndash At the beginning of the Post Close session for segments that do not have a Closing Auction
ndash At the end of the Closing Auction session for segments that do have a Closing Auction
Market MakingLiquidity Provision (1)
5 October 2017 London Stock Exchange Group Page 22
bull on MIT Market MakersLiquidity Providers are and will be given one or more
dedicated Comp ID(s) in order to segregate Market MakingLiquidity Provision
activity
bull on SOLA Market MakersLiquidity Providers are and will be given one or more
dedicated Trader ID(s) in order to segregate Market MakingLiquidity Provision
activity
bull a dedicated Naming Convention is applied to Comp IDs and Trader IDs used
for Market MakingLiquidity Provision activity
Market MakingLiquidity Provision (2)
5 October 2017 London Stock Exchange Group Page 23
bull Market MakersLiquidity Providers send (single or dual side) quotes most of the time but under certain circumstances (depending on the type of activity) may send orders
ndash operators have to restrict the use of the dedicated Comp IDTrader ID to the liquidity provision activity using quotes or orders according to what is requested by the Market Making programs in place independently from the fact that no technical restrictions will be put in place
bull For existing Market Making programs
ndash We are restricting MIT Specialist Comp IDs to send orders only on the subset of instruments they are associated for Specialist activity (work in progress migration based on individual client migration plan)
ndash We will restrict SOLA Market Making Trader IDs to send orders only on the subset of instruments they are associated for Market Making activity starting from November 27th 2017
Market MakingLiquidity Provision (3)
5 October 2017 London Stock Exchange Group Page 24
bull New MiFID II Market Making SchemeAgreements (starting from January 3rd
2018)
ndash Member Firms that will subscribe for the new SchemeAgreements will be given dedicated
Comp IDs (for MIT markets) and Trader IDs
ndash Member Firms will decide whether to perform this activity via quotes and orders or via
orders only
bull On SeDeX Member Firms that will subscribe for the new SchemeAgreements will be
allowed to use orders only
Stressed Market Conditions
5 October 2017 London Stock Exchange Group Page 25
bull Stressed Market Conditions will be defined at rulebook level
bull Notification to customers of ldquoStressed Market Conditionsrdquo
ndash No specific market changes will be introduced for notifying customers when ldquoStressed Market
Conditionsrdquo occur
ndash on MIT
bull ldquoStressed Market Conditionsrdquo will be derived from ldquocircuit breakerrdquo period plus ldquonrdquo seconds after
bull Announcement messages will be disseminated in order to announce ldquoStressed Market
Conditionsrdquo
ndash on SOLA Bulletin messages will be disseminated in order to announce ldquoStressed Market
Conditionsrdquo
Legacy CDS
5 October 2017 London Stock Exchange Group Page 26
bull In order to facilitate the testing of software applications and customer
algorithms a new test environment will be provided in parallel to the existing
one starting from Q1 2018
ndash a Legacy CDS will be provided for all the Trading and Market Data services of the Grouprsquos
Trading Venues
ndash the new environment will be continuously aligned with production in terms of Software
Version of Trading and Market Data Systems and Reference Data
Borsa Italiana Post Trade Transparency Service
5 October 2017 London Stock Exchange Group Page 27
bull The existing Borsa Italianarsquos Post Trade Transparency
Service will be discontinued with MiFID II
bull For technical reasons together with the MiFID II technical go-
live (November 27th 2017) it will not be possible to keep
providing the Post Trade Transparency Service
bull LSEG will offer Post Trade Transparency facility for OTC
trades via TRADEcho (see following presentation)
Transaction Reporting (1)
5 October 2017 London Stock Exchange Group Page 28
bull RTS 22 and other RTS do not specify constraints on the
format of the Trading Venue Trade Identification Code
(TVTIC) used by Trading venues apart from
ndash Trade ID should be unique
ndash Trade ID should be an alphanumerical string of maximum 52
characters
bull The MiFID II Transaction Reporting Validation Rules
published by ESMA state that TVTIC must be made of capital
letters and numbers
Transaction Reporting (2)
5 October 2017 London Stock Exchange Group Page 29
bull On MIT Trade ID is unique per Market and is
ndash a 8 bytes number on the NTG interface and on MITCH and GTP
ndash ldquoTrdquo concatenated to an alphanumerical string corresponding to the
above ID base 62 encoded on FIX (Trading Drop Copy and Post
Trade Gateways)
ndash The alphanumerical identifier described above
bull is sent to downstream systems (Post Trading Clearing Settlement)
bull is published in reconciliation reports
bull is currently used for Transaction reporting purposes
bull is a case sensitive alphanumerical string
Transaction Reporting (3)
5 October 2017 London Stock Exchange Group Page 30
bull On SOLA
ndash the currently used Trade ID is a progressive number unique per
instrument
ndash In order to have a unique ID it has been decided to use the above
Trade ID concatenated with the SICO Code (Group ID + Instrument ID)
for Transaction Reporting purposes
ndash The SICO Code is case sensitive therefore the ID made of the
platformrsquos Trade ID concatenated with the SICO Code is a case
sensitive alphanumerical string
Transaction Reporting (4)
5 October 2017 London Stock Exchange Group Page 31
bull We will rely on different TVTICs for Transaction Reporting
purposes using
ndash on MIT the 8 bytes number used on the NTG interface and on MITCH
and GTP asking FIX clients to apply the already documented base 62
decoding algorithm
ndash on SOLA the base 62 decoded version of the identifier described in
the previous slide
bull TVTIC will be provided on Reconciliation Files
Borsa Italiana Transaction Reporting Service
5 October 2017 London Stock Exchange Group Page 32
bull The existing Borsa Italianarsquos Transaction Reporting
Service will close together with the go-live of MiFID II
bull The Transaction Reporting Service will be active until the
introduction of MiFID II on January 3rd 2018
bull LSEG will offer Transaction Reporting facility via UnaVista
another company of LSEG that will apply as ARM (Approved
Reporting Mechanism)
5 October 2017 London Stock Exchange Group Page 33
IDEM Key Information Documents
Enrico Pellizzoni
Head of Italy Equity Markets and Derivatives Products
PRIIPs Regulation (IDEM) (1)
5 October 2017 London Stock Exchange Group Page 34
bull BIt will to produce KIDs (Key Information Documents) for IDEM contracts
bull Borsa Italiana will follow an lsquoaggregated approachrsquo as allowed from recent ESMArsquos QampA 14 KIDs will be produced to describe existing IDEM contracts
bull a KID will identify ISINs sharing the same contract specifications expected payoff and fee structure
ndash call options vs put options on the same contract ndash 2 different KIDs
ndash single name derivatives will have a single aggregated KID for each product category (not for each individual underlying)
ndash weekly expiries are not identified by a separate KID
bull Description of costs will include fees that BIt is charging to its market participants Brokers must inform retail clients about their own costs
PRIIPs Regulation (IDEM) (2)
5 October 2017 London Stock Exchange Group Page 35
1 Futures on FTSE MIB
2 Mini futures on FTSE MIB
3 Futures on FTSE MIB dividend
4 Call options on FTSE MIB
5 Put options on FTSE MIB
6 Stock futures
7 Stock dividend futures
8 Single stock call options
9 Single stock put options
10Baseload Italian power futures
11Peakload Italian power futures
12Baseload German power futures
13Peakload German power futures
14Durum wheat futures
PRIIPs Regulation (IDEM) (3)
5 October 2017 London Stock Exchange Group Page 36
bull Available as pdf files free of charge in a dedicated webpage
wwwborsaitalianaitderivatikidskidsenhtm
bull File names with a dedicated convention linked to reference data and downloadable also as
wwwborsaitalianaitderivatikids[filename]pdf
bull Available for download via ftp server (MIT 702)
bull Reviewed at least yearly (or in case of changes to contract specs expected payoff fee structure)
bull Available in Italian English Spanish German and French Additional translations will be evaluated in due course
5 October 2017 London Stock Exchange Group Page 37
Member Portal
Antonello Greco
Technical Account Manager
Client Technology Services Italy
RTS 24 - Requirements
5 October 2017 London Stock Exchange Group Page 38
bull Client Identification code Identifier of the Client (Local Person Identifier or
Legal Entity Identifier) for client orders only
bull Investment Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the investment decision
bull Execution Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the execution decision
Long Code ndash Short Code mapping
5 October 2017 London Stock Exchange Group Page 39
Long Code Short Code
Market messages Client ID Investment Decision Maker Executing Trader
Short Codes ndash Reserved values
5 October 2017 London Stock Exchange Group Page 40
bull 0 None Valid for Client ID and Investment Decision ID
bull 1 AGGR where several orders are submitted to the trading venue together as
an aggregated Valid for Client ID only
bull 2 PNAL where a trading participant allocates an order to its client following
submission of the order to the trading venue and has not yet allocated the
order to its client at the time of the submission of the order Valid for Client ID
only
bull 3 CLIENT valid for Execution Decision ID only
Uploading ndash Three options
5 October 2017 London Stock Exchange Group Page 41
A trading firm will manage the short-long code mappings in a new section of the
Member Portal in the following ways
bull Manual insertion
bull Bulk upload through the Member Portal web interface
bull Bulk upload via SFTP server
Uploading ndash Manual insertion
5 October 2017 London Stock Exchange Group Page 42
bull Short Code numerical value between 4 and 232-1
bull Long Code alphanumerical string of 50 characters Expected values are ndash Local Person Identifier
ndash Legal Entity Identifier
ndash Algorithm
bull Identifier Code Type ndash Natural Person
ndash Client LEI
ndash Algorithm
Uploading ndash Bulk upload (12)
5 October 2017 London Stock Exchange Group Page 43
Field Name
Mandatory
Description
Short Code
Y
4 ndash 4294967295
Long Code
Y
50 alphanumeric chars
Identifier Code Type
Y
L Client LEI
N Natural Person
A Algorithm
Notes
N
Free text field
Operation Type
Y
0 New
1 Update
2 Delete
Uploading ndash Bulk upload (22)
5 October 2017 London Stock Exchange Group Page 44
A new record reporting information on the outcome of the upload is displayed
bull Status ndash In Progress Published Published with errors Not Published
bull UserFile the userrsquos original csv
bull ResultFile a txt file containing the number of records added updated deleted
bull ErrorFile a csv file listing the records containing errors An Error Description field
is added to instruct the user of the error
Uploading ndash SFTP server
5 October 2017 London Stock Exchange Group Page 45
bull The csv file has the same layout as the one used to upload through the
member portal web interface
bull The only difference is that the file must have a specific naming convention
- Venue_ShortLongCodes_YYYYMMDD_NNcsv
bull The root folder of the sFTP server is the Firm ID which in turn contains an IN
and an OUT folder with respectively read-write and read only access
bull The IN folder will contain the bulk upload csv file while the OUT folder will
store Results File and Errors File (if one or more records are rejected)
Upload by difference or laquofrom scratchraquo
5 October 2017 London Stock Exchange Group Page 46
When uploading the file the user can choose to
bull insert modify and delete the existing set of short-long codes hence working by
difference
bull replace the whole list of existing short-long codes with the ones included in the
file hence working from scratch Operation Type can only be populated with 0
Constraints
5 October 2017 London Stock Exchange Group Page 47
bull Two different records can not have the same pair ltShort Code Identifier Code
Typegt
bull Local Person Identifier and Legal Identity Identifiers have to be used
respectively to identify a Natural Person and a LEI
bull Following a cancellation the upload of a new record with the same pair ltShort
Code Identifier Code Typegt will be rejected
When uploading mappings
5 October 2017 London Stock Exchange Group Page 48
bull Short CodeLong Code mappings must be uploaded within the market close
(time limit to be defined) of the same day as they are used as part of the
layout of market messages sent to the exchange
bull Trading participants failing to report the records at day T will be notified and
must download the Missing Short Codes report to find out the discrepancies
to be corrected
bull The Missing Short Code report for the day T is available at T+1 and it lists
the discrepancies of the last five working days
Additional Enhancements
5 October 2017 London Stock Exchange Group Page 49
bull Trader IDs
bull Risk Management users for pre-trade validation functionalities (PTV)
bull Self Execution Prevention
bull Market Making Strategies
bull Mass Cancellation
bull Back Office SELECT
bull Position Report as required by RTS 21 - Application of position limits to
commodity derivatives
Go live
5 October 2017 London Stock Exchange Group Page 50
bull The new Member Portal will go-live on November 2017
bull Trading participant will have a one month window to test the upload of
mappings on the Member Portal before the actual MIFID II go live on
January the 3rd
bull No validations on how short codes are used in the layout of market
messages will be performed except for formal integrity checks
bull The User Manual is already available online on both Borsa Italiana and
EuroTLX websites
5 October 2017 London Stock Exchange Group Page 51
TRADEcho
Roberto Fumagalli
Technical Account Manager
Client Technology Services Italy
POST TRADE TRANSPARENCY OBLIGATION
5 October 2017 London Stock Exchange Group Page 52
MiFID I requires customers to publish OTC trades done on equity instruments listed on European regulated markets Consob extended this obligation to all instruments listed on regulated market (including MOT SeDeX ETFPlus and MTS) MiFID II extends the reporting obligation to all instruments (equity and non equity) listed on European regulated markets MTF and OTF The service offered by Borsa Italiana (PTTS service) to fulfill this obligation will close on 27th November 2017 (release of MIT Platform MiFID II version compliant) LSEG will offer Post Trade Transparency facility for OTC trades via TRADEcho
5 October 2017 London Stock Exchange Group Page 53
TRADEcho
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
Cross Orders on MIT
5 October 2017 London Stock Exchange Group Page 17
Instrument Type November 27th 2017 January 2nd 2018 January 3rd 2018
Shares bull Switch to volume-weighted spread price validation
bull For Liquid Shares Reject of Cross Orders when volume-weighted spread is not available
Liquid ETFs Reject of Cross Orders when volume-weighted spread is not available
Liquid ETCs ETNs Fixed Income
Cross Orders disabled
SeDeX Cross Orders disabled
Negotiated Transactions
5 October 2017 London Stock Exchange Group Page 18
bull New statistics calculation for Cross Orders (no updates to Last Trade Price
LowHigh Price) for both MIT and SOLA platforms starting from January 2nd 2018
ndash Stop or Stop Limit Orders will no longer be triggered by Cross Orders
ndash Prices of Cross Orders will not influence circuit breaker validations for the following trade
bull Switch from quantity to value-based control for the minimum size of a Block Trade
on MIT markets on November 27th 2017
bull Reject execution of negotiated transactions below the pre-trade LIS threshold for
liquid products on IDEM market on January 2nd 2018
New trading Capacities
5 October 2017 London Stock Exchange Group Page 19
bull on January 3rd 2018
ndash the new Matched Principal Trading Capacity will be added (according to membership
trading authorizations) to existing ones on both the Borsa Italiana MIT and the SOLA
markets
ndash The two new Matched Principal and Un-Matched Principal Trading Capacities will be
enabled on EuroTLX
bull dedicated Comp IDs must be requested by Brokers authorized to use Matched
Principal andor Unmatched Principal Trading Capacities
bull it will be possible to use Matched Principal andor Unmatched Principal Trading
Capacities only via the dedicated Comp IDs described above
Other Changes (1)
5 October 2017 London Stock Exchange Group Page 20
bull on November 27th 2017
ndash Introduction of new pre-trade controls on maximum order value on MIT platform and on maximum order notional value on SOLA platform
ndash Iceberg orders
bull Introduction of a control on the minimum value of iceberg orders on the MIT platform
bull switch from quantity to value-based control for the minimum peak size
bull Introduction of a control on minimum notional value on SOLA platform
ndash Changes to EMS and EMS multiplier parameters for the ETF+ market
bull on January 2nd 2018
ndash Changes to EMS and EMS multiplier parameters for the SeDeX market
Other Changes (2)
5 October 2017 London Stock Exchange Group Page 21
bull On November 27th 2017 the classification of lsquoliquidrsquo vs lsquonot liquidrsquo will be included in reference
data
ndash Shares according to current MiFID classification
ndash Fixed income instruments ETFs ETCs and ETNs all classified as lsquoilliquidrsquo pending ESMArsquos
classification
ndash SeDeX will be set as Liquid according to ESMArsquos MiFID II classification
ndash IDEM according to ESMArsquos MiFID II classification
bull On November 27th 2017 the CPP (Closing Price Publication) session will be removed
Closing Prices will be disseminated
ndash At the beginning of the Post Close session for segments that do not have a Closing Auction
ndash At the end of the Closing Auction session for segments that do have a Closing Auction
Market MakingLiquidity Provision (1)
5 October 2017 London Stock Exchange Group Page 22
bull on MIT Market MakersLiquidity Providers are and will be given one or more
dedicated Comp ID(s) in order to segregate Market MakingLiquidity Provision
activity
bull on SOLA Market MakersLiquidity Providers are and will be given one or more
dedicated Trader ID(s) in order to segregate Market MakingLiquidity Provision
activity
bull a dedicated Naming Convention is applied to Comp IDs and Trader IDs used
for Market MakingLiquidity Provision activity
Market MakingLiquidity Provision (2)
5 October 2017 London Stock Exchange Group Page 23
bull Market MakersLiquidity Providers send (single or dual side) quotes most of the time but under certain circumstances (depending on the type of activity) may send orders
ndash operators have to restrict the use of the dedicated Comp IDTrader ID to the liquidity provision activity using quotes or orders according to what is requested by the Market Making programs in place independently from the fact that no technical restrictions will be put in place
bull For existing Market Making programs
ndash We are restricting MIT Specialist Comp IDs to send orders only on the subset of instruments they are associated for Specialist activity (work in progress migration based on individual client migration plan)
ndash We will restrict SOLA Market Making Trader IDs to send orders only on the subset of instruments they are associated for Market Making activity starting from November 27th 2017
Market MakingLiquidity Provision (3)
5 October 2017 London Stock Exchange Group Page 24
bull New MiFID II Market Making SchemeAgreements (starting from January 3rd
2018)
ndash Member Firms that will subscribe for the new SchemeAgreements will be given dedicated
Comp IDs (for MIT markets) and Trader IDs
ndash Member Firms will decide whether to perform this activity via quotes and orders or via
orders only
bull On SeDeX Member Firms that will subscribe for the new SchemeAgreements will be
allowed to use orders only
Stressed Market Conditions
5 October 2017 London Stock Exchange Group Page 25
bull Stressed Market Conditions will be defined at rulebook level
bull Notification to customers of ldquoStressed Market Conditionsrdquo
ndash No specific market changes will be introduced for notifying customers when ldquoStressed Market
Conditionsrdquo occur
ndash on MIT
bull ldquoStressed Market Conditionsrdquo will be derived from ldquocircuit breakerrdquo period plus ldquonrdquo seconds after
bull Announcement messages will be disseminated in order to announce ldquoStressed Market
Conditionsrdquo
ndash on SOLA Bulletin messages will be disseminated in order to announce ldquoStressed Market
Conditionsrdquo
Legacy CDS
5 October 2017 London Stock Exchange Group Page 26
bull In order to facilitate the testing of software applications and customer
algorithms a new test environment will be provided in parallel to the existing
one starting from Q1 2018
ndash a Legacy CDS will be provided for all the Trading and Market Data services of the Grouprsquos
Trading Venues
ndash the new environment will be continuously aligned with production in terms of Software
Version of Trading and Market Data Systems and Reference Data
Borsa Italiana Post Trade Transparency Service
5 October 2017 London Stock Exchange Group Page 27
bull The existing Borsa Italianarsquos Post Trade Transparency
Service will be discontinued with MiFID II
bull For technical reasons together with the MiFID II technical go-
live (November 27th 2017) it will not be possible to keep
providing the Post Trade Transparency Service
bull LSEG will offer Post Trade Transparency facility for OTC
trades via TRADEcho (see following presentation)
Transaction Reporting (1)
5 October 2017 London Stock Exchange Group Page 28
bull RTS 22 and other RTS do not specify constraints on the
format of the Trading Venue Trade Identification Code
(TVTIC) used by Trading venues apart from
ndash Trade ID should be unique
ndash Trade ID should be an alphanumerical string of maximum 52
characters
bull The MiFID II Transaction Reporting Validation Rules
published by ESMA state that TVTIC must be made of capital
letters and numbers
Transaction Reporting (2)
5 October 2017 London Stock Exchange Group Page 29
bull On MIT Trade ID is unique per Market and is
ndash a 8 bytes number on the NTG interface and on MITCH and GTP
ndash ldquoTrdquo concatenated to an alphanumerical string corresponding to the
above ID base 62 encoded on FIX (Trading Drop Copy and Post
Trade Gateways)
ndash The alphanumerical identifier described above
bull is sent to downstream systems (Post Trading Clearing Settlement)
bull is published in reconciliation reports
bull is currently used for Transaction reporting purposes
bull is a case sensitive alphanumerical string
Transaction Reporting (3)
5 October 2017 London Stock Exchange Group Page 30
bull On SOLA
ndash the currently used Trade ID is a progressive number unique per
instrument
ndash In order to have a unique ID it has been decided to use the above
Trade ID concatenated with the SICO Code (Group ID + Instrument ID)
for Transaction Reporting purposes
ndash The SICO Code is case sensitive therefore the ID made of the
platformrsquos Trade ID concatenated with the SICO Code is a case
sensitive alphanumerical string
Transaction Reporting (4)
5 October 2017 London Stock Exchange Group Page 31
bull We will rely on different TVTICs for Transaction Reporting
purposes using
ndash on MIT the 8 bytes number used on the NTG interface and on MITCH
and GTP asking FIX clients to apply the already documented base 62
decoding algorithm
ndash on SOLA the base 62 decoded version of the identifier described in
the previous slide
bull TVTIC will be provided on Reconciliation Files
Borsa Italiana Transaction Reporting Service
5 October 2017 London Stock Exchange Group Page 32
bull The existing Borsa Italianarsquos Transaction Reporting
Service will close together with the go-live of MiFID II
bull The Transaction Reporting Service will be active until the
introduction of MiFID II on January 3rd 2018
bull LSEG will offer Transaction Reporting facility via UnaVista
another company of LSEG that will apply as ARM (Approved
Reporting Mechanism)
5 October 2017 London Stock Exchange Group Page 33
IDEM Key Information Documents
Enrico Pellizzoni
Head of Italy Equity Markets and Derivatives Products
PRIIPs Regulation (IDEM) (1)
5 October 2017 London Stock Exchange Group Page 34
bull BIt will to produce KIDs (Key Information Documents) for IDEM contracts
bull Borsa Italiana will follow an lsquoaggregated approachrsquo as allowed from recent ESMArsquos QampA 14 KIDs will be produced to describe existing IDEM contracts
bull a KID will identify ISINs sharing the same contract specifications expected payoff and fee structure
ndash call options vs put options on the same contract ndash 2 different KIDs
ndash single name derivatives will have a single aggregated KID for each product category (not for each individual underlying)
ndash weekly expiries are not identified by a separate KID
bull Description of costs will include fees that BIt is charging to its market participants Brokers must inform retail clients about their own costs
PRIIPs Regulation (IDEM) (2)
5 October 2017 London Stock Exchange Group Page 35
1 Futures on FTSE MIB
2 Mini futures on FTSE MIB
3 Futures on FTSE MIB dividend
4 Call options on FTSE MIB
5 Put options on FTSE MIB
6 Stock futures
7 Stock dividend futures
8 Single stock call options
9 Single stock put options
10Baseload Italian power futures
11Peakload Italian power futures
12Baseload German power futures
13Peakload German power futures
14Durum wheat futures
PRIIPs Regulation (IDEM) (3)
5 October 2017 London Stock Exchange Group Page 36
bull Available as pdf files free of charge in a dedicated webpage
wwwborsaitalianaitderivatikidskidsenhtm
bull File names with a dedicated convention linked to reference data and downloadable also as
wwwborsaitalianaitderivatikids[filename]pdf
bull Available for download via ftp server (MIT 702)
bull Reviewed at least yearly (or in case of changes to contract specs expected payoff fee structure)
bull Available in Italian English Spanish German and French Additional translations will be evaluated in due course
5 October 2017 London Stock Exchange Group Page 37
Member Portal
Antonello Greco
Technical Account Manager
Client Technology Services Italy
RTS 24 - Requirements
5 October 2017 London Stock Exchange Group Page 38
bull Client Identification code Identifier of the Client (Local Person Identifier or
Legal Entity Identifier) for client orders only
bull Investment Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the investment decision
bull Execution Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the execution decision
Long Code ndash Short Code mapping
5 October 2017 London Stock Exchange Group Page 39
Long Code Short Code
Market messages Client ID Investment Decision Maker Executing Trader
Short Codes ndash Reserved values
5 October 2017 London Stock Exchange Group Page 40
bull 0 None Valid for Client ID and Investment Decision ID
bull 1 AGGR where several orders are submitted to the trading venue together as
an aggregated Valid for Client ID only
bull 2 PNAL where a trading participant allocates an order to its client following
submission of the order to the trading venue and has not yet allocated the
order to its client at the time of the submission of the order Valid for Client ID
only
bull 3 CLIENT valid for Execution Decision ID only
Uploading ndash Three options
5 October 2017 London Stock Exchange Group Page 41
A trading firm will manage the short-long code mappings in a new section of the
Member Portal in the following ways
bull Manual insertion
bull Bulk upload through the Member Portal web interface
bull Bulk upload via SFTP server
Uploading ndash Manual insertion
5 October 2017 London Stock Exchange Group Page 42
bull Short Code numerical value between 4 and 232-1
bull Long Code alphanumerical string of 50 characters Expected values are ndash Local Person Identifier
ndash Legal Entity Identifier
ndash Algorithm
bull Identifier Code Type ndash Natural Person
ndash Client LEI
ndash Algorithm
Uploading ndash Bulk upload (12)
5 October 2017 London Stock Exchange Group Page 43
Field Name
Mandatory
Description
Short Code
Y
4 ndash 4294967295
Long Code
Y
50 alphanumeric chars
Identifier Code Type
Y
L Client LEI
N Natural Person
A Algorithm
Notes
N
Free text field
Operation Type
Y
0 New
1 Update
2 Delete
Uploading ndash Bulk upload (22)
5 October 2017 London Stock Exchange Group Page 44
A new record reporting information on the outcome of the upload is displayed
bull Status ndash In Progress Published Published with errors Not Published
bull UserFile the userrsquos original csv
bull ResultFile a txt file containing the number of records added updated deleted
bull ErrorFile a csv file listing the records containing errors An Error Description field
is added to instruct the user of the error
Uploading ndash SFTP server
5 October 2017 London Stock Exchange Group Page 45
bull The csv file has the same layout as the one used to upload through the
member portal web interface
bull The only difference is that the file must have a specific naming convention
- Venue_ShortLongCodes_YYYYMMDD_NNcsv
bull The root folder of the sFTP server is the Firm ID which in turn contains an IN
and an OUT folder with respectively read-write and read only access
bull The IN folder will contain the bulk upload csv file while the OUT folder will
store Results File and Errors File (if one or more records are rejected)
Upload by difference or laquofrom scratchraquo
5 October 2017 London Stock Exchange Group Page 46
When uploading the file the user can choose to
bull insert modify and delete the existing set of short-long codes hence working by
difference
bull replace the whole list of existing short-long codes with the ones included in the
file hence working from scratch Operation Type can only be populated with 0
Constraints
5 October 2017 London Stock Exchange Group Page 47
bull Two different records can not have the same pair ltShort Code Identifier Code
Typegt
bull Local Person Identifier and Legal Identity Identifiers have to be used
respectively to identify a Natural Person and a LEI
bull Following a cancellation the upload of a new record with the same pair ltShort
Code Identifier Code Typegt will be rejected
When uploading mappings
5 October 2017 London Stock Exchange Group Page 48
bull Short CodeLong Code mappings must be uploaded within the market close
(time limit to be defined) of the same day as they are used as part of the
layout of market messages sent to the exchange
bull Trading participants failing to report the records at day T will be notified and
must download the Missing Short Codes report to find out the discrepancies
to be corrected
bull The Missing Short Code report for the day T is available at T+1 and it lists
the discrepancies of the last five working days
Additional Enhancements
5 October 2017 London Stock Exchange Group Page 49
bull Trader IDs
bull Risk Management users for pre-trade validation functionalities (PTV)
bull Self Execution Prevention
bull Market Making Strategies
bull Mass Cancellation
bull Back Office SELECT
bull Position Report as required by RTS 21 - Application of position limits to
commodity derivatives
Go live
5 October 2017 London Stock Exchange Group Page 50
bull The new Member Portal will go-live on November 2017
bull Trading participant will have a one month window to test the upload of
mappings on the Member Portal before the actual MIFID II go live on
January the 3rd
bull No validations on how short codes are used in the layout of market
messages will be performed except for formal integrity checks
bull The User Manual is already available online on both Borsa Italiana and
EuroTLX websites
5 October 2017 London Stock Exchange Group Page 51
TRADEcho
Roberto Fumagalli
Technical Account Manager
Client Technology Services Italy
POST TRADE TRANSPARENCY OBLIGATION
5 October 2017 London Stock Exchange Group Page 52
MiFID I requires customers to publish OTC trades done on equity instruments listed on European regulated markets Consob extended this obligation to all instruments listed on regulated market (including MOT SeDeX ETFPlus and MTS) MiFID II extends the reporting obligation to all instruments (equity and non equity) listed on European regulated markets MTF and OTF The service offered by Borsa Italiana (PTTS service) to fulfill this obligation will close on 27th November 2017 (release of MIT Platform MiFID II version compliant) LSEG will offer Post Trade Transparency facility for OTC trades via TRADEcho
5 October 2017 London Stock Exchange Group Page 53
TRADEcho
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
Negotiated Transactions
5 October 2017 London Stock Exchange Group Page 18
bull New statistics calculation for Cross Orders (no updates to Last Trade Price
LowHigh Price) for both MIT and SOLA platforms starting from January 2nd 2018
ndash Stop or Stop Limit Orders will no longer be triggered by Cross Orders
ndash Prices of Cross Orders will not influence circuit breaker validations for the following trade
bull Switch from quantity to value-based control for the minimum size of a Block Trade
on MIT markets on November 27th 2017
bull Reject execution of negotiated transactions below the pre-trade LIS threshold for
liquid products on IDEM market on January 2nd 2018
New trading Capacities
5 October 2017 London Stock Exchange Group Page 19
bull on January 3rd 2018
ndash the new Matched Principal Trading Capacity will be added (according to membership
trading authorizations) to existing ones on both the Borsa Italiana MIT and the SOLA
markets
ndash The two new Matched Principal and Un-Matched Principal Trading Capacities will be
enabled on EuroTLX
bull dedicated Comp IDs must be requested by Brokers authorized to use Matched
Principal andor Unmatched Principal Trading Capacities
bull it will be possible to use Matched Principal andor Unmatched Principal Trading
Capacities only via the dedicated Comp IDs described above
Other Changes (1)
5 October 2017 London Stock Exchange Group Page 20
bull on November 27th 2017
ndash Introduction of new pre-trade controls on maximum order value on MIT platform and on maximum order notional value on SOLA platform
ndash Iceberg orders
bull Introduction of a control on the minimum value of iceberg orders on the MIT platform
bull switch from quantity to value-based control for the minimum peak size
bull Introduction of a control on minimum notional value on SOLA platform
ndash Changes to EMS and EMS multiplier parameters for the ETF+ market
bull on January 2nd 2018
ndash Changes to EMS and EMS multiplier parameters for the SeDeX market
Other Changes (2)
5 October 2017 London Stock Exchange Group Page 21
bull On November 27th 2017 the classification of lsquoliquidrsquo vs lsquonot liquidrsquo will be included in reference
data
ndash Shares according to current MiFID classification
ndash Fixed income instruments ETFs ETCs and ETNs all classified as lsquoilliquidrsquo pending ESMArsquos
classification
ndash SeDeX will be set as Liquid according to ESMArsquos MiFID II classification
ndash IDEM according to ESMArsquos MiFID II classification
bull On November 27th 2017 the CPP (Closing Price Publication) session will be removed
Closing Prices will be disseminated
ndash At the beginning of the Post Close session for segments that do not have a Closing Auction
ndash At the end of the Closing Auction session for segments that do have a Closing Auction
Market MakingLiquidity Provision (1)
5 October 2017 London Stock Exchange Group Page 22
bull on MIT Market MakersLiquidity Providers are and will be given one or more
dedicated Comp ID(s) in order to segregate Market MakingLiquidity Provision
activity
bull on SOLA Market MakersLiquidity Providers are and will be given one or more
dedicated Trader ID(s) in order to segregate Market MakingLiquidity Provision
activity
bull a dedicated Naming Convention is applied to Comp IDs and Trader IDs used
for Market MakingLiquidity Provision activity
Market MakingLiquidity Provision (2)
5 October 2017 London Stock Exchange Group Page 23
bull Market MakersLiquidity Providers send (single or dual side) quotes most of the time but under certain circumstances (depending on the type of activity) may send orders
ndash operators have to restrict the use of the dedicated Comp IDTrader ID to the liquidity provision activity using quotes or orders according to what is requested by the Market Making programs in place independently from the fact that no technical restrictions will be put in place
bull For existing Market Making programs
ndash We are restricting MIT Specialist Comp IDs to send orders only on the subset of instruments they are associated for Specialist activity (work in progress migration based on individual client migration plan)
ndash We will restrict SOLA Market Making Trader IDs to send orders only on the subset of instruments they are associated for Market Making activity starting from November 27th 2017
Market MakingLiquidity Provision (3)
5 October 2017 London Stock Exchange Group Page 24
bull New MiFID II Market Making SchemeAgreements (starting from January 3rd
2018)
ndash Member Firms that will subscribe for the new SchemeAgreements will be given dedicated
Comp IDs (for MIT markets) and Trader IDs
ndash Member Firms will decide whether to perform this activity via quotes and orders or via
orders only
bull On SeDeX Member Firms that will subscribe for the new SchemeAgreements will be
allowed to use orders only
Stressed Market Conditions
5 October 2017 London Stock Exchange Group Page 25
bull Stressed Market Conditions will be defined at rulebook level
bull Notification to customers of ldquoStressed Market Conditionsrdquo
ndash No specific market changes will be introduced for notifying customers when ldquoStressed Market
Conditionsrdquo occur
ndash on MIT
bull ldquoStressed Market Conditionsrdquo will be derived from ldquocircuit breakerrdquo period plus ldquonrdquo seconds after
bull Announcement messages will be disseminated in order to announce ldquoStressed Market
Conditionsrdquo
ndash on SOLA Bulletin messages will be disseminated in order to announce ldquoStressed Market
Conditionsrdquo
Legacy CDS
5 October 2017 London Stock Exchange Group Page 26
bull In order to facilitate the testing of software applications and customer
algorithms a new test environment will be provided in parallel to the existing
one starting from Q1 2018
ndash a Legacy CDS will be provided for all the Trading and Market Data services of the Grouprsquos
Trading Venues
ndash the new environment will be continuously aligned with production in terms of Software
Version of Trading and Market Data Systems and Reference Data
Borsa Italiana Post Trade Transparency Service
5 October 2017 London Stock Exchange Group Page 27
bull The existing Borsa Italianarsquos Post Trade Transparency
Service will be discontinued with MiFID II
bull For technical reasons together with the MiFID II technical go-
live (November 27th 2017) it will not be possible to keep
providing the Post Trade Transparency Service
bull LSEG will offer Post Trade Transparency facility for OTC
trades via TRADEcho (see following presentation)
Transaction Reporting (1)
5 October 2017 London Stock Exchange Group Page 28
bull RTS 22 and other RTS do not specify constraints on the
format of the Trading Venue Trade Identification Code
(TVTIC) used by Trading venues apart from
ndash Trade ID should be unique
ndash Trade ID should be an alphanumerical string of maximum 52
characters
bull The MiFID II Transaction Reporting Validation Rules
published by ESMA state that TVTIC must be made of capital
letters and numbers
Transaction Reporting (2)
5 October 2017 London Stock Exchange Group Page 29
bull On MIT Trade ID is unique per Market and is
ndash a 8 bytes number on the NTG interface and on MITCH and GTP
ndash ldquoTrdquo concatenated to an alphanumerical string corresponding to the
above ID base 62 encoded on FIX (Trading Drop Copy and Post
Trade Gateways)
ndash The alphanumerical identifier described above
bull is sent to downstream systems (Post Trading Clearing Settlement)
bull is published in reconciliation reports
bull is currently used for Transaction reporting purposes
bull is a case sensitive alphanumerical string
Transaction Reporting (3)
5 October 2017 London Stock Exchange Group Page 30
bull On SOLA
ndash the currently used Trade ID is a progressive number unique per
instrument
ndash In order to have a unique ID it has been decided to use the above
Trade ID concatenated with the SICO Code (Group ID + Instrument ID)
for Transaction Reporting purposes
ndash The SICO Code is case sensitive therefore the ID made of the
platformrsquos Trade ID concatenated with the SICO Code is a case
sensitive alphanumerical string
Transaction Reporting (4)
5 October 2017 London Stock Exchange Group Page 31
bull We will rely on different TVTICs for Transaction Reporting
purposes using
ndash on MIT the 8 bytes number used on the NTG interface and on MITCH
and GTP asking FIX clients to apply the already documented base 62
decoding algorithm
ndash on SOLA the base 62 decoded version of the identifier described in
the previous slide
bull TVTIC will be provided on Reconciliation Files
Borsa Italiana Transaction Reporting Service
5 October 2017 London Stock Exchange Group Page 32
bull The existing Borsa Italianarsquos Transaction Reporting
Service will close together with the go-live of MiFID II
bull The Transaction Reporting Service will be active until the
introduction of MiFID II on January 3rd 2018
bull LSEG will offer Transaction Reporting facility via UnaVista
another company of LSEG that will apply as ARM (Approved
Reporting Mechanism)
5 October 2017 London Stock Exchange Group Page 33
IDEM Key Information Documents
Enrico Pellizzoni
Head of Italy Equity Markets and Derivatives Products
PRIIPs Regulation (IDEM) (1)
5 October 2017 London Stock Exchange Group Page 34
bull BIt will to produce KIDs (Key Information Documents) for IDEM contracts
bull Borsa Italiana will follow an lsquoaggregated approachrsquo as allowed from recent ESMArsquos QampA 14 KIDs will be produced to describe existing IDEM contracts
bull a KID will identify ISINs sharing the same contract specifications expected payoff and fee structure
ndash call options vs put options on the same contract ndash 2 different KIDs
ndash single name derivatives will have a single aggregated KID for each product category (not for each individual underlying)
ndash weekly expiries are not identified by a separate KID
bull Description of costs will include fees that BIt is charging to its market participants Brokers must inform retail clients about their own costs
PRIIPs Regulation (IDEM) (2)
5 October 2017 London Stock Exchange Group Page 35
1 Futures on FTSE MIB
2 Mini futures on FTSE MIB
3 Futures on FTSE MIB dividend
4 Call options on FTSE MIB
5 Put options on FTSE MIB
6 Stock futures
7 Stock dividend futures
8 Single stock call options
9 Single stock put options
10Baseload Italian power futures
11Peakload Italian power futures
12Baseload German power futures
13Peakload German power futures
14Durum wheat futures
PRIIPs Regulation (IDEM) (3)
5 October 2017 London Stock Exchange Group Page 36
bull Available as pdf files free of charge in a dedicated webpage
wwwborsaitalianaitderivatikidskidsenhtm
bull File names with a dedicated convention linked to reference data and downloadable also as
wwwborsaitalianaitderivatikids[filename]pdf
bull Available for download via ftp server (MIT 702)
bull Reviewed at least yearly (or in case of changes to contract specs expected payoff fee structure)
bull Available in Italian English Spanish German and French Additional translations will be evaluated in due course
5 October 2017 London Stock Exchange Group Page 37
Member Portal
Antonello Greco
Technical Account Manager
Client Technology Services Italy
RTS 24 - Requirements
5 October 2017 London Stock Exchange Group Page 38
bull Client Identification code Identifier of the Client (Local Person Identifier or
Legal Entity Identifier) for client orders only
bull Investment Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the investment decision
bull Execution Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the execution decision
Long Code ndash Short Code mapping
5 October 2017 London Stock Exchange Group Page 39
Long Code Short Code
Market messages Client ID Investment Decision Maker Executing Trader
Short Codes ndash Reserved values
5 October 2017 London Stock Exchange Group Page 40
bull 0 None Valid for Client ID and Investment Decision ID
bull 1 AGGR where several orders are submitted to the trading venue together as
an aggregated Valid for Client ID only
bull 2 PNAL where a trading participant allocates an order to its client following
submission of the order to the trading venue and has not yet allocated the
order to its client at the time of the submission of the order Valid for Client ID
only
bull 3 CLIENT valid for Execution Decision ID only
Uploading ndash Three options
5 October 2017 London Stock Exchange Group Page 41
A trading firm will manage the short-long code mappings in a new section of the
Member Portal in the following ways
bull Manual insertion
bull Bulk upload through the Member Portal web interface
bull Bulk upload via SFTP server
Uploading ndash Manual insertion
5 October 2017 London Stock Exchange Group Page 42
bull Short Code numerical value between 4 and 232-1
bull Long Code alphanumerical string of 50 characters Expected values are ndash Local Person Identifier
ndash Legal Entity Identifier
ndash Algorithm
bull Identifier Code Type ndash Natural Person
ndash Client LEI
ndash Algorithm
Uploading ndash Bulk upload (12)
5 October 2017 London Stock Exchange Group Page 43
Field Name
Mandatory
Description
Short Code
Y
4 ndash 4294967295
Long Code
Y
50 alphanumeric chars
Identifier Code Type
Y
L Client LEI
N Natural Person
A Algorithm
Notes
N
Free text field
Operation Type
Y
0 New
1 Update
2 Delete
Uploading ndash Bulk upload (22)
5 October 2017 London Stock Exchange Group Page 44
A new record reporting information on the outcome of the upload is displayed
bull Status ndash In Progress Published Published with errors Not Published
bull UserFile the userrsquos original csv
bull ResultFile a txt file containing the number of records added updated deleted
bull ErrorFile a csv file listing the records containing errors An Error Description field
is added to instruct the user of the error
Uploading ndash SFTP server
5 October 2017 London Stock Exchange Group Page 45
bull The csv file has the same layout as the one used to upload through the
member portal web interface
bull The only difference is that the file must have a specific naming convention
- Venue_ShortLongCodes_YYYYMMDD_NNcsv
bull The root folder of the sFTP server is the Firm ID which in turn contains an IN
and an OUT folder with respectively read-write and read only access
bull The IN folder will contain the bulk upload csv file while the OUT folder will
store Results File and Errors File (if one or more records are rejected)
Upload by difference or laquofrom scratchraquo
5 October 2017 London Stock Exchange Group Page 46
When uploading the file the user can choose to
bull insert modify and delete the existing set of short-long codes hence working by
difference
bull replace the whole list of existing short-long codes with the ones included in the
file hence working from scratch Operation Type can only be populated with 0
Constraints
5 October 2017 London Stock Exchange Group Page 47
bull Two different records can not have the same pair ltShort Code Identifier Code
Typegt
bull Local Person Identifier and Legal Identity Identifiers have to be used
respectively to identify a Natural Person and a LEI
bull Following a cancellation the upload of a new record with the same pair ltShort
Code Identifier Code Typegt will be rejected
When uploading mappings
5 October 2017 London Stock Exchange Group Page 48
bull Short CodeLong Code mappings must be uploaded within the market close
(time limit to be defined) of the same day as they are used as part of the
layout of market messages sent to the exchange
bull Trading participants failing to report the records at day T will be notified and
must download the Missing Short Codes report to find out the discrepancies
to be corrected
bull The Missing Short Code report for the day T is available at T+1 and it lists
the discrepancies of the last five working days
Additional Enhancements
5 October 2017 London Stock Exchange Group Page 49
bull Trader IDs
bull Risk Management users for pre-trade validation functionalities (PTV)
bull Self Execution Prevention
bull Market Making Strategies
bull Mass Cancellation
bull Back Office SELECT
bull Position Report as required by RTS 21 - Application of position limits to
commodity derivatives
Go live
5 October 2017 London Stock Exchange Group Page 50
bull The new Member Portal will go-live on November 2017
bull Trading participant will have a one month window to test the upload of
mappings on the Member Portal before the actual MIFID II go live on
January the 3rd
bull No validations on how short codes are used in the layout of market
messages will be performed except for formal integrity checks
bull The User Manual is already available online on both Borsa Italiana and
EuroTLX websites
5 October 2017 London Stock Exchange Group Page 51
TRADEcho
Roberto Fumagalli
Technical Account Manager
Client Technology Services Italy
POST TRADE TRANSPARENCY OBLIGATION
5 October 2017 London Stock Exchange Group Page 52
MiFID I requires customers to publish OTC trades done on equity instruments listed on European regulated markets Consob extended this obligation to all instruments listed on regulated market (including MOT SeDeX ETFPlus and MTS) MiFID II extends the reporting obligation to all instruments (equity and non equity) listed on European regulated markets MTF and OTF The service offered by Borsa Italiana (PTTS service) to fulfill this obligation will close on 27th November 2017 (release of MIT Platform MiFID II version compliant) LSEG will offer Post Trade Transparency facility for OTC trades via TRADEcho
5 October 2017 London Stock Exchange Group Page 53
TRADEcho
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
New trading Capacities
5 October 2017 London Stock Exchange Group Page 19
bull on January 3rd 2018
ndash the new Matched Principal Trading Capacity will be added (according to membership
trading authorizations) to existing ones on both the Borsa Italiana MIT and the SOLA
markets
ndash The two new Matched Principal and Un-Matched Principal Trading Capacities will be
enabled on EuroTLX
bull dedicated Comp IDs must be requested by Brokers authorized to use Matched
Principal andor Unmatched Principal Trading Capacities
bull it will be possible to use Matched Principal andor Unmatched Principal Trading
Capacities only via the dedicated Comp IDs described above
Other Changes (1)
5 October 2017 London Stock Exchange Group Page 20
bull on November 27th 2017
ndash Introduction of new pre-trade controls on maximum order value on MIT platform and on maximum order notional value on SOLA platform
ndash Iceberg orders
bull Introduction of a control on the minimum value of iceberg orders on the MIT platform
bull switch from quantity to value-based control for the minimum peak size
bull Introduction of a control on minimum notional value on SOLA platform
ndash Changes to EMS and EMS multiplier parameters for the ETF+ market
bull on January 2nd 2018
ndash Changes to EMS and EMS multiplier parameters for the SeDeX market
Other Changes (2)
5 October 2017 London Stock Exchange Group Page 21
bull On November 27th 2017 the classification of lsquoliquidrsquo vs lsquonot liquidrsquo will be included in reference
data
ndash Shares according to current MiFID classification
ndash Fixed income instruments ETFs ETCs and ETNs all classified as lsquoilliquidrsquo pending ESMArsquos
classification
ndash SeDeX will be set as Liquid according to ESMArsquos MiFID II classification
ndash IDEM according to ESMArsquos MiFID II classification
bull On November 27th 2017 the CPP (Closing Price Publication) session will be removed
Closing Prices will be disseminated
ndash At the beginning of the Post Close session for segments that do not have a Closing Auction
ndash At the end of the Closing Auction session for segments that do have a Closing Auction
Market MakingLiquidity Provision (1)
5 October 2017 London Stock Exchange Group Page 22
bull on MIT Market MakersLiquidity Providers are and will be given one or more
dedicated Comp ID(s) in order to segregate Market MakingLiquidity Provision
activity
bull on SOLA Market MakersLiquidity Providers are and will be given one or more
dedicated Trader ID(s) in order to segregate Market MakingLiquidity Provision
activity
bull a dedicated Naming Convention is applied to Comp IDs and Trader IDs used
for Market MakingLiquidity Provision activity
Market MakingLiquidity Provision (2)
5 October 2017 London Stock Exchange Group Page 23
bull Market MakersLiquidity Providers send (single or dual side) quotes most of the time but under certain circumstances (depending on the type of activity) may send orders
ndash operators have to restrict the use of the dedicated Comp IDTrader ID to the liquidity provision activity using quotes or orders according to what is requested by the Market Making programs in place independently from the fact that no technical restrictions will be put in place
bull For existing Market Making programs
ndash We are restricting MIT Specialist Comp IDs to send orders only on the subset of instruments they are associated for Specialist activity (work in progress migration based on individual client migration plan)
ndash We will restrict SOLA Market Making Trader IDs to send orders only on the subset of instruments they are associated for Market Making activity starting from November 27th 2017
Market MakingLiquidity Provision (3)
5 October 2017 London Stock Exchange Group Page 24
bull New MiFID II Market Making SchemeAgreements (starting from January 3rd
2018)
ndash Member Firms that will subscribe for the new SchemeAgreements will be given dedicated
Comp IDs (for MIT markets) and Trader IDs
ndash Member Firms will decide whether to perform this activity via quotes and orders or via
orders only
bull On SeDeX Member Firms that will subscribe for the new SchemeAgreements will be
allowed to use orders only
Stressed Market Conditions
5 October 2017 London Stock Exchange Group Page 25
bull Stressed Market Conditions will be defined at rulebook level
bull Notification to customers of ldquoStressed Market Conditionsrdquo
ndash No specific market changes will be introduced for notifying customers when ldquoStressed Market
Conditionsrdquo occur
ndash on MIT
bull ldquoStressed Market Conditionsrdquo will be derived from ldquocircuit breakerrdquo period plus ldquonrdquo seconds after
bull Announcement messages will be disseminated in order to announce ldquoStressed Market
Conditionsrdquo
ndash on SOLA Bulletin messages will be disseminated in order to announce ldquoStressed Market
Conditionsrdquo
Legacy CDS
5 October 2017 London Stock Exchange Group Page 26
bull In order to facilitate the testing of software applications and customer
algorithms a new test environment will be provided in parallel to the existing
one starting from Q1 2018
ndash a Legacy CDS will be provided for all the Trading and Market Data services of the Grouprsquos
Trading Venues
ndash the new environment will be continuously aligned with production in terms of Software
Version of Trading and Market Data Systems and Reference Data
Borsa Italiana Post Trade Transparency Service
5 October 2017 London Stock Exchange Group Page 27
bull The existing Borsa Italianarsquos Post Trade Transparency
Service will be discontinued with MiFID II
bull For technical reasons together with the MiFID II technical go-
live (November 27th 2017) it will not be possible to keep
providing the Post Trade Transparency Service
bull LSEG will offer Post Trade Transparency facility for OTC
trades via TRADEcho (see following presentation)
Transaction Reporting (1)
5 October 2017 London Stock Exchange Group Page 28
bull RTS 22 and other RTS do not specify constraints on the
format of the Trading Venue Trade Identification Code
(TVTIC) used by Trading venues apart from
ndash Trade ID should be unique
ndash Trade ID should be an alphanumerical string of maximum 52
characters
bull The MiFID II Transaction Reporting Validation Rules
published by ESMA state that TVTIC must be made of capital
letters and numbers
Transaction Reporting (2)
5 October 2017 London Stock Exchange Group Page 29
bull On MIT Trade ID is unique per Market and is
ndash a 8 bytes number on the NTG interface and on MITCH and GTP
ndash ldquoTrdquo concatenated to an alphanumerical string corresponding to the
above ID base 62 encoded on FIX (Trading Drop Copy and Post
Trade Gateways)
ndash The alphanumerical identifier described above
bull is sent to downstream systems (Post Trading Clearing Settlement)
bull is published in reconciliation reports
bull is currently used for Transaction reporting purposes
bull is a case sensitive alphanumerical string
Transaction Reporting (3)
5 October 2017 London Stock Exchange Group Page 30
bull On SOLA
ndash the currently used Trade ID is a progressive number unique per
instrument
ndash In order to have a unique ID it has been decided to use the above
Trade ID concatenated with the SICO Code (Group ID + Instrument ID)
for Transaction Reporting purposes
ndash The SICO Code is case sensitive therefore the ID made of the
platformrsquos Trade ID concatenated with the SICO Code is a case
sensitive alphanumerical string
Transaction Reporting (4)
5 October 2017 London Stock Exchange Group Page 31
bull We will rely on different TVTICs for Transaction Reporting
purposes using
ndash on MIT the 8 bytes number used on the NTG interface and on MITCH
and GTP asking FIX clients to apply the already documented base 62
decoding algorithm
ndash on SOLA the base 62 decoded version of the identifier described in
the previous slide
bull TVTIC will be provided on Reconciliation Files
Borsa Italiana Transaction Reporting Service
5 October 2017 London Stock Exchange Group Page 32
bull The existing Borsa Italianarsquos Transaction Reporting
Service will close together with the go-live of MiFID II
bull The Transaction Reporting Service will be active until the
introduction of MiFID II on January 3rd 2018
bull LSEG will offer Transaction Reporting facility via UnaVista
another company of LSEG that will apply as ARM (Approved
Reporting Mechanism)
5 October 2017 London Stock Exchange Group Page 33
IDEM Key Information Documents
Enrico Pellizzoni
Head of Italy Equity Markets and Derivatives Products
PRIIPs Regulation (IDEM) (1)
5 October 2017 London Stock Exchange Group Page 34
bull BIt will to produce KIDs (Key Information Documents) for IDEM contracts
bull Borsa Italiana will follow an lsquoaggregated approachrsquo as allowed from recent ESMArsquos QampA 14 KIDs will be produced to describe existing IDEM contracts
bull a KID will identify ISINs sharing the same contract specifications expected payoff and fee structure
ndash call options vs put options on the same contract ndash 2 different KIDs
ndash single name derivatives will have a single aggregated KID for each product category (not for each individual underlying)
ndash weekly expiries are not identified by a separate KID
bull Description of costs will include fees that BIt is charging to its market participants Brokers must inform retail clients about their own costs
PRIIPs Regulation (IDEM) (2)
5 October 2017 London Stock Exchange Group Page 35
1 Futures on FTSE MIB
2 Mini futures on FTSE MIB
3 Futures on FTSE MIB dividend
4 Call options on FTSE MIB
5 Put options on FTSE MIB
6 Stock futures
7 Stock dividend futures
8 Single stock call options
9 Single stock put options
10Baseload Italian power futures
11Peakload Italian power futures
12Baseload German power futures
13Peakload German power futures
14Durum wheat futures
PRIIPs Regulation (IDEM) (3)
5 October 2017 London Stock Exchange Group Page 36
bull Available as pdf files free of charge in a dedicated webpage
wwwborsaitalianaitderivatikidskidsenhtm
bull File names with a dedicated convention linked to reference data and downloadable also as
wwwborsaitalianaitderivatikids[filename]pdf
bull Available for download via ftp server (MIT 702)
bull Reviewed at least yearly (or in case of changes to contract specs expected payoff fee structure)
bull Available in Italian English Spanish German and French Additional translations will be evaluated in due course
5 October 2017 London Stock Exchange Group Page 37
Member Portal
Antonello Greco
Technical Account Manager
Client Technology Services Italy
RTS 24 - Requirements
5 October 2017 London Stock Exchange Group Page 38
bull Client Identification code Identifier of the Client (Local Person Identifier or
Legal Entity Identifier) for client orders only
bull Investment Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the investment decision
bull Execution Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the execution decision
Long Code ndash Short Code mapping
5 October 2017 London Stock Exchange Group Page 39
Long Code Short Code
Market messages Client ID Investment Decision Maker Executing Trader
Short Codes ndash Reserved values
5 October 2017 London Stock Exchange Group Page 40
bull 0 None Valid for Client ID and Investment Decision ID
bull 1 AGGR where several orders are submitted to the trading venue together as
an aggregated Valid for Client ID only
bull 2 PNAL where a trading participant allocates an order to its client following
submission of the order to the trading venue and has not yet allocated the
order to its client at the time of the submission of the order Valid for Client ID
only
bull 3 CLIENT valid for Execution Decision ID only
Uploading ndash Three options
5 October 2017 London Stock Exchange Group Page 41
A trading firm will manage the short-long code mappings in a new section of the
Member Portal in the following ways
bull Manual insertion
bull Bulk upload through the Member Portal web interface
bull Bulk upload via SFTP server
Uploading ndash Manual insertion
5 October 2017 London Stock Exchange Group Page 42
bull Short Code numerical value between 4 and 232-1
bull Long Code alphanumerical string of 50 characters Expected values are ndash Local Person Identifier
ndash Legal Entity Identifier
ndash Algorithm
bull Identifier Code Type ndash Natural Person
ndash Client LEI
ndash Algorithm
Uploading ndash Bulk upload (12)
5 October 2017 London Stock Exchange Group Page 43
Field Name
Mandatory
Description
Short Code
Y
4 ndash 4294967295
Long Code
Y
50 alphanumeric chars
Identifier Code Type
Y
L Client LEI
N Natural Person
A Algorithm
Notes
N
Free text field
Operation Type
Y
0 New
1 Update
2 Delete
Uploading ndash Bulk upload (22)
5 October 2017 London Stock Exchange Group Page 44
A new record reporting information on the outcome of the upload is displayed
bull Status ndash In Progress Published Published with errors Not Published
bull UserFile the userrsquos original csv
bull ResultFile a txt file containing the number of records added updated deleted
bull ErrorFile a csv file listing the records containing errors An Error Description field
is added to instruct the user of the error
Uploading ndash SFTP server
5 October 2017 London Stock Exchange Group Page 45
bull The csv file has the same layout as the one used to upload through the
member portal web interface
bull The only difference is that the file must have a specific naming convention
- Venue_ShortLongCodes_YYYYMMDD_NNcsv
bull The root folder of the sFTP server is the Firm ID which in turn contains an IN
and an OUT folder with respectively read-write and read only access
bull The IN folder will contain the bulk upload csv file while the OUT folder will
store Results File and Errors File (if one or more records are rejected)
Upload by difference or laquofrom scratchraquo
5 October 2017 London Stock Exchange Group Page 46
When uploading the file the user can choose to
bull insert modify and delete the existing set of short-long codes hence working by
difference
bull replace the whole list of existing short-long codes with the ones included in the
file hence working from scratch Operation Type can only be populated with 0
Constraints
5 October 2017 London Stock Exchange Group Page 47
bull Two different records can not have the same pair ltShort Code Identifier Code
Typegt
bull Local Person Identifier and Legal Identity Identifiers have to be used
respectively to identify a Natural Person and a LEI
bull Following a cancellation the upload of a new record with the same pair ltShort
Code Identifier Code Typegt will be rejected
When uploading mappings
5 October 2017 London Stock Exchange Group Page 48
bull Short CodeLong Code mappings must be uploaded within the market close
(time limit to be defined) of the same day as they are used as part of the
layout of market messages sent to the exchange
bull Trading participants failing to report the records at day T will be notified and
must download the Missing Short Codes report to find out the discrepancies
to be corrected
bull The Missing Short Code report for the day T is available at T+1 and it lists
the discrepancies of the last five working days
Additional Enhancements
5 October 2017 London Stock Exchange Group Page 49
bull Trader IDs
bull Risk Management users for pre-trade validation functionalities (PTV)
bull Self Execution Prevention
bull Market Making Strategies
bull Mass Cancellation
bull Back Office SELECT
bull Position Report as required by RTS 21 - Application of position limits to
commodity derivatives
Go live
5 October 2017 London Stock Exchange Group Page 50
bull The new Member Portal will go-live on November 2017
bull Trading participant will have a one month window to test the upload of
mappings on the Member Portal before the actual MIFID II go live on
January the 3rd
bull No validations on how short codes are used in the layout of market
messages will be performed except for formal integrity checks
bull The User Manual is already available online on both Borsa Italiana and
EuroTLX websites
5 October 2017 London Stock Exchange Group Page 51
TRADEcho
Roberto Fumagalli
Technical Account Manager
Client Technology Services Italy
POST TRADE TRANSPARENCY OBLIGATION
5 October 2017 London Stock Exchange Group Page 52
MiFID I requires customers to publish OTC trades done on equity instruments listed on European regulated markets Consob extended this obligation to all instruments listed on regulated market (including MOT SeDeX ETFPlus and MTS) MiFID II extends the reporting obligation to all instruments (equity and non equity) listed on European regulated markets MTF and OTF The service offered by Borsa Italiana (PTTS service) to fulfill this obligation will close on 27th November 2017 (release of MIT Platform MiFID II version compliant) LSEG will offer Post Trade Transparency facility for OTC trades via TRADEcho
5 October 2017 London Stock Exchange Group Page 53
TRADEcho
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
Other Changes (1)
5 October 2017 London Stock Exchange Group Page 20
bull on November 27th 2017
ndash Introduction of new pre-trade controls on maximum order value on MIT platform and on maximum order notional value on SOLA platform
ndash Iceberg orders
bull Introduction of a control on the minimum value of iceberg orders on the MIT platform
bull switch from quantity to value-based control for the minimum peak size
bull Introduction of a control on minimum notional value on SOLA platform
ndash Changes to EMS and EMS multiplier parameters for the ETF+ market
bull on January 2nd 2018
ndash Changes to EMS and EMS multiplier parameters for the SeDeX market
Other Changes (2)
5 October 2017 London Stock Exchange Group Page 21
bull On November 27th 2017 the classification of lsquoliquidrsquo vs lsquonot liquidrsquo will be included in reference
data
ndash Shares according to current MiFID classification
ndash Fixed income instruments ETFs ETCs and ETNs all classified as lsquoilliquidrsquo pending ESMArsquos
classification
ndash SeDeX will be set as Liquid according to ESMArsquos MiFID II classification
ndash IDEM according to ESMArsquos MiFID II classification
bull On November 27th 2017 the CPP (Closing Price Publication) session will be removed
Closing Prices will be disseminated
ndash At the beginning of the Post Close session for segments that do not have a Closing Auction
ndash At the end of the Closing Auction session for segments that do have a Closing Auction
Market MakingLiquidity Provision (1)
5 October 2017 London Stock Exchange Group Page 22
bull on MIT Market MakersLiquidity Providers are and will be given one or more
dedicated Comp ID(s) in order to segregate Market MakingLiquidity Provision
activity
bull on SOLA Market MakersLiquidity Providers are and will be given one or more
dedicated Trader ID(s) in order to segregate Market MakingLiquidity Provision
activity
bull a dedicated Naming Convention is applied to Comp IDs and Trader IDs used
for Market MakingLiquidity Provision activity
Market MakingLiquidity Provision (2)
5 October 2017 London Stock Exchange Group Page 23
bull Market MakersLiquidity Providers send (single or dual side) quotes most of the time but under certain circumstances (depending on the type of activity) may send orders
ndash operators have to restrict the use of the dedicated Comp IDTrader ID to the liquidity provision activity using quotes or orders according to what is requested by the Market Making programs in place independently from the fact that no technical restrictions will be put in place
bull For existing Market Making programs
ndash We are restricting MIT Specialist Comp IDs to send orders only on the subset of instruments they are associated for Specialist activity (work in progress migration based on individual client migration plan)
ndash We will restrict SOLA Market Making Trader IDs to send orders only on the subset of instruments they are associated for Market Making activity starting from November 27th 2017
Market MakingLiquidity Provision (3)
5 October 2017 London Stock Exchange Group Page 24
bull New MiFID II Market Making SchemeAgreements (starting from January 3rd
2018)
ndash Member Firms that will subscribe for the new SchemeAgreements will be given dedicated
Comp IDs (for MIT markets) and Trader IDs
ndash Member Firms will decide whether to perform this activity via quotes and orders or via
orders only
bull On SeDeX Member Firms that will subscribe for the new SchemeAgreements will be
allowed to use orders only
Stressed Market Conditions
5 October 2017 London Stock Exchange Group Page 25
bull Stressed Market Conditions will be defined at rulebook level
bull Notification to customers of ldquoStressed Market Conditionsrdquo
ndash No specific market changes will be introduced for notifying customers when ldquoStressed Market
Conditionsrdquo occur
ndash on MIT
bull ldquoStressed Market Conditionsrdquo will be derived from ldquocircuit breakerrdquo period plus ldquonrdquo seconds after
bull Announcement messages will be disseminated in order to announce ldquoStressed Market
Conditionsrdquo
ndash on SOLA Bulletin messages will be disseminated in order to announce ldquoStressed Market
Conditionsrdquo
Legacy CDS
5 October 2017 London Stock Exchange Group Page 26
bull In order to facilitate the testing of software applications and customer
algorithms a new test environment will be provided in parallel to the existing
one starting from Q1 2018
ndash a Legacy CDS will be provided for all the Trading and Market Data services of the Grouprsquos
Trading Venues
ndash the new environment will be continuously aligned with production in terms of Software
Version of Trading and Market Data Systems and Reference Data
Borsa Italiana Post Trade Transparency Service
5 October 2017 London Stock Exchange Group Page 27
bull The existing Borsa Italianarsquos Post Trade Transparency
Service will be discontinued with MiFID II
bull For technical reasons together with the MiFID II technical go-
live (November 27th 2017) it will not be possible to keep
providing the Post Trade Transparency Service
bull LSEG will offer Post Trade Transparency facility for OTC
trades via TRADEcho (see following presentation)
Transaction Reporting (1)
5 October 2017 London Stock Exchange Group Page 28
bull RTS 22 and other RTS do not specify constraints on the
format of the Trading Venue Trade Identification Code
(TVTIC) used by Trading venues apart from
ndash Trade ID should be unique
ndash Trade ID should be an alphanumerical string of maximum 52
characters
bull The MiFID II Transaction Reporting Validation Rules
published by ESMA state that TVTIC must be made of capital
letters and numbers
Transaction Reporting (2)
5 October 2017 London Stock Exchange Group Page 29
bull On MIT Trade ID is unique per Market and is
ndash a 8 bytes number on the NTG interface and on MITCH and GTP
ndash ldquoTrdquo concatenated to an alphanumerical string corresponding to the
above ID base 62 encoded on FIX (Trading Drop Copy and Post
Trade Gateways)
ndash The alphanumerical identifier described above
bull is sent to downstream systems (Post Trading Clearing Settlement)
bull is published in reconciliation reports
bull is currently used for Transaction reporting purposes
bull is a case sensitive alphanumerical string
Transaction Reporting (3)
5 October 2017 London Stock Exchange Group Page 30
bull On SOLA
ndash the currently used Trade ID is a progressive number unique per
instrument
ndash In order to have a unique ID it has been decided to use the above
Trade ID concatenated with the SICO Code (Group ID + Instrument ID)
for Transaction Reporting purposes
ndash The SICO Code is case sensitive therefore the ID made of the
platformrsquos Trade ID concatenated with the SICO Code is a case
sensitive alphanumerical string
Transaction Reporting (4)
5 October 2017 London Stock Exchange Group Page 31
bull We will rely on different TVTICs for Transaction Reporting
purposes using
ndash on MIT the 8 bytes number used on the NTG interface and on MITCH
and GTP asking FIX clients to apply the already documented base 62
decoding algorithm
ndash on SOLA the base 62 decoded version of the identifier described in
the previous slide
bull TVTIC will be provided on Reconciliation Files
Borsa Italiana Transaction Reporting Service
5 October 2017 London Stock Exchange Group Page 32
bull The existing Borsa Italianarsquos Transaction Reporting
Service will close together with the go-live of MiFID II
bull The Transaction Reporting Service will be active until the
introduction of MiFID II on January 3rd 2018
bull LSEG will offer Transaction Reporting facility via UnaVista
another company of LSEG that will apply as ARM (Approved
Reporting Mechanism)
5 October 2017 London Stock Exchange Group Page 33
IDEM Key Information Documents
Enrico Pellizzoni
Head of Italy Equity Markets and Derivatives Products
PRIIPs Regulation (IDEM) (1)
5 October 2017 London Stock Exchange Group Page 34
bull BIt will to produce KIDs (Key Information Documents) for IDEM contracts
bull Borsa Italiana will follow an lsquoaggregated approachrsquo as allowed from recent ESMArsquos QampA 14 KIDs will be produced to describe existing IDEM contracts
bull a KID will identify ISINs sharing the same contract specifications expected payoff and fee structure
ndash call options vs put options on the same contract ndash 2 different KIDs
ndash single name derivatives will have a single aggregated KID for each product category (not for each individual underlying)
ndash weekly expiries are not identified by a separate KID
bull Description of costs will include fees that BIt is charging to its market participants Brokers must inform retail clients about their own costs
PRIIPs Regulation (IDEM) (2)
5 October 2017 London Stock Exchange Group Page 35
1 Futures on FTSE MIB
2 Mini futures on FTSE MIB
3 Futures on FTSE MIB dividend
4 Call options on FTSE MIB
5 Put options on FTSE MIB
6 Stock futures
7 Stock dividend futures
8 Single stock call options
9 Single stock put options
10Baseload Italian power futures
11Peakload Italian power futures
12Baseload German power futures
13Peakload German power futures
14Durum wheat futures
PRIIPs Regulation (IDEM) (3)
5 October 2017 London Stock Exchange Group Page 36
bull Available as pdf files free of charge in a dedicated webpage
wwwborsaitalianaitderivatikidskidsenhtm
bull File names with a dedicated convention linked to reference data and downloadable also as
wwwborsaitalianaitderivatikids[filename]pdf
bull Available for download via ftp server (MIT 702)
bull Reviewed at least yearly (or in case of changes to contract specs expected payoff fee structure)
bull Available in Italian English Spanish German and French Additional translations will be evaluated in due course
5 October 2017 London Stock Exchange Group Page 37
Member Portal
Antonello Greco
Technical Account Manager
Client Technology Services Italy
RTS 24 - Requirements
5 October 2017 London Stock Exchange Group Page 38
bull Client Identification code Identifier of the Client (Local Person Identifier or
Legal Entity Identifier) for client orders only
bull Investment Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the investment decision
bull Execution Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the execution decision
Long Code ndash Short Code mapping
5 October 2017 London Stock Exchange Group Page 39
Long Code Short Code
Market messages Client ID Investment Decision Maker Executing Trader
Short Codes ndash Reserved values
5 October 2017 London Stock Exchange Group Page 40
bull 0 None Valid for Client ID and Investment Decision ID
bull 1 AGGR where several orders are submitted to the trading venue together as
an aggregated Valid for Client ID only
bull 2 PNAL where a trading participant allocates an order to its client following
submission of the order to the trading venue and has not yet allocated the
order to its client at the time of the submission of the order Valid for Client ID
only
bull 3 CLIENT valid for Execution Decision ID only
Uploading ndash Three options
5 October 2017 London Stock Exchange Group Page 41
A trading firm will manage the short-long code mappings in a new section of the
Member Portal in the following ways
bull Manual insertion
bull Bulk upload through the Member Portal web interface
bull Bulk upload via SFTP server
Uploading ndash Manual insertion
5 October 2017 London Stock Exchange Group Page 42
bull Short Code numerical value between 4 and 232-1
bull Long Code alphanumerical string of 50 characters Expected values are ndash Local Person Identifier
ndash Legal Entity Identifier
ndash Algorithm
bull Identifier Code Type ndash Natural Person
ndash Client LEI
ndash Algorithm
Uploading ndash Bulk upload (12)
5 October 2017 London Stock Exchange Group Page 43
Field Name
Mandatory
Description
Short Code
Y
4 ndash 4294967295
Long Code
Y
50 alphanumeric chars
Identifier Code Type
Y
L Client LEI
N Natural Person
A Algorithm
Notes
N
Free text field
Operation Type
Y
0 New
1 Update
2 Delete
Uploading ndash Bulk upload (22)
5 October 2017 London Stock Exchange Group Page 44
A new record reporting information on the outcome of the upload is displayed
bull Status ndash In Progress Published Published with errors Not Published
bull UserFile the userrsquos original csv
bull ResultFile a txt file containing the number of records added updated deleted
bull ErrorFile a csv file listing the records containing errors An Error Description field
is added to instruct the user of the error
Uploading ndash SFTP server
5 October 2017 London Stock Exchange Group Page 45
bull The csv file has the same layout as the one used to upload through the
member portal web interface
bull The only difference is that the file must have a specific naming convention
- Venue_ShortLongCodes_YYYYMMDD_NNcsv
bull The root folder of the sFTP server is the Firm ID which in turn contains an IN
and an OUT folder with respectively read-write and read only access
bull The IN folder will contain the bulk upload csv file while the OUT folder will
store Results File and Errors File (if one or more records are rejected)
Upload by difference or laquofrom scratchraquo
5 October 2017 London Stock Exchange Group Page 46
When uploading the file the user can choose to
bull insert modify and delete the existing set of short-long codes hence working by
difference
bull replace the whole list of existing short-long codes with the ones included in the
file hence working from scratch Operation Type can only be populated with 0
Constraints
5 October 2017 London Stock Exchange Group Page 47
bull Two different records can not have the same pair ltShort Code Identifier Code
Typegt
bull Local Person Identifier and Legal Identity Identifiers have to be used
respectively to identify a Natural Person and a LEI
bull Following a cancellation the upload of a new record with the same pair ltShort
Code Identifier Code Typegt will be rejected
When uploading mappings
5 October 2017 London Stock Exchange Group Page 48
bull Short CodeLong Code mappings must be uploaded within the market close
(time limit to be defined) of the same day as they are used as part of the
layout of market messages sent to the exchange
bull Trading participants failing to report the records at day T will be notified and
must download the Missing Short Codes report to find out the discrepancies
to be corrected
bull The Missing Short Code report for the day T is available at T+1 and it lists
the discrepancies of the last five working days
Additional Enhancements
5 October 2017 London Stock Exchange Group Page 49
bull Trader IDs
bull Risk Management users for pre-trade validation functionalities (PTV)
bull Self Execution Prevention
bull Market Making Strategies
bull Mass Cancellation
bull Back Office SELECT
bull Position Report as required by RTS 21 - Application of position limits to
commodity derivatives
Go live
5 October 2017 London Stock Exchange Group Page 50
bull The new Member Portal will go-live on November 2017
bull Trading participant will have a one month window to test the upload of
mappings on the Member Portal before the actual MIFID II go live on
January the 3rd
bull No validations on how short codes are used in the layout of market
messages will be performed except for formal integrity checks
bull The User Manual is already available online on both Borsa Italiana and
EuroTLX websites
5 October 2017 London Stock Exchange Group Page 51
TRADEcho
Roberto Fumagalli
Technical Account Manager
Client Technology Services Italy
POST TRADE TRANSPARENCY OBLIGATION
5 October 2017 London Stock Exchange Group Page 52
MiFID I requires customers to publish OTC trades done on equity instruments listed on European regulated markets Consob extended this obligation to all instruments listed on regulated market (including MOT SeDeX ETFPlus and MTS) MiFID II extends the reporting obligation to all instruments (equity and non equity) listed on European regulated markets MTF and OTF The service offered by Borsa Italiana (PTTS service) to fulfill this obligation will close on 27th November 2017 (release of MIT Platform MiFID II version compliant) LSEG will offer Post Trade Transparency facility for OTC trades via TRADEcho
5 October 2017 London Stock Exchange Group Page 53
TRADEcho
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
Other Changes (2)
5 October 2017 London Stock Exchange Group Page 21
bull On November 27th 2017 the classification of lsquoliquidrsquo vs lsquonot liquidrsquo will be included in reference
data
ndash Shares according to current MiFID classification
ndash Fixed income instruments ETFs ETCs and ETNs all classified as lsquoilliquidrsquo pending ESMArsquos
classification
ndash SeDeX will be set as Liquid according to ESMArsquos MiFID II classification
ndash IDEM according to ESMArsquos MiFID II classification
bull On November 27th 2017 the CPP (Closing Price Publication) session will be removed
Closing Prices will be disseminated
ndash At the beginning of the Post Close session for segments that do not have a Closing Auction
ndash At the end of the Closing Auction session for segments that do have a Closing Auction
Market MakingLiquidity Provision (1)
5 October 2017 London Stock Exchange Group Page 22
bull on MIT Market MakersLiquidity Providers are and will be given one or more
dedicated Comp ID(s) in order to segregate Market MakingLiquidity Provision
activity
bull on SOLA Market MakersLiquidity Providers are and will be given one or more
dedicated Trader ID(s) in order to segregate Market MakingLiquidity Provision
activity
bull a dedicated Naming Convention is applied to Comp IDs and Trader IDs used
for Market MakingLiquidity Provision activity
Market MakingLiquidity Provision (2)
5 October 2017 London Stock Exchange Group Page 23
bull Market MakersLiquidity Providers send (single or dual side) quotes most of the time but under certain circumstances (depending on the type of activity) may send orders
ndash operators have to restrict the use of the dedicated Comp IDTrader ID to the liquidity provision activity using quotes or orders according to what is requested by the Market Making programs in place independently from the fact that no technical restrictions will be put in place
bull For existing Market Making programs
ndash We are restricting MIT Specialist Comp IDs to send orders only on the subset of instruments they are associated for Specialist activity (work in progress migration based on individual client migration plan)
ndash We will restrict SOLA Market Making Trader IDs to send orders only on the subset of instruments they are associated for Market Making activity starting from November 27th 2017
Market MakingLiquidity Provision (3)
5 October 2017 London Stock Exchange Group Page 24
bull New MiFID II Market Making SchemeAgreements (starting from January 3rd
2018)
ndash Member Firms that will subscribe for the new SchemeAgreements will be given dedicated
Comp IDs (for MIT markets) and Trader IDs
ndash Member Firms will decide whether to perform this activity via quotes and orders or via
orders only
bull On SeDeX Member Firms that will subscribe for the new SchemeAgreements will be
allowed to use orders only
Stressed Market Conditions
5 October 2017 London Stock Exchange Group Page 25
bull Stressed Market Conditions will be defined at rulebook level
bull Notification to customers of ldquoStressed Market Conditionsrdquo
ndash No specific market changes will be introduced for notifying customers when ldquoStressed Market
Conditionsrdquo occur
ndash on MIT
bull ldquoStressed Market Conditionsrdquo will be derived from ldquocircuit breakerrdquo period plus ldquonrdquo seconds after
bull Announcement messages will be disseminated in order to announce ldquoStressed Market
Conditionsrdquo
ndash on SOLA Bulletin messages will be disseminated in order to announce ldquoStressed Market
Conditionsrdquo
Legacy CDS
5 October 2017 London Stock Exchange Group Page 26
bull In order to facilitate the testing of software applications and customer
algorithms a new test environment will be provided in parallel to the existing
one starting from Q1 2018
ndash a Legacy CDS will be provided for all the Trading and Market Data services of the Grouprsquos
Trading Venues
ndash the new environment will be continuously aligned with production in terms of Software
Version of Trading and Market Data Systems and Reference Data
Borsa Italiana Post Trade Transparency Service
5 October 2017 London Stock Exchange Group Page 27
bull The existing Borsa Italianarsquos Post Trade Transparency
Service will be discontinued with MiFID II
bull For technical reasons together with the MiFID II technical go-
live (November 27th 2017) it will not be possible to keep
providing the Post Trade Transparency Service
bull LSEG will offer Post Trade Transparency facility for OTC
trades via TRADEcho (see following presentation)
Transaction Reporting (1)
5 October 2017 London Stock Exchange Group Page 28
bull RTS 22 and other RTS do not specify constraints on the
format of the Trading Venue Trade Identification Code
(TVTIC) used by Trading venues apart from
ndash Trade ID should be unique
ndash Trade ID should be an alphanumerical string of maximum 52
characters
bull The MiFID II Transaction Reporting Validation Rules
published by ESMA state that TVTIC must be made of capital
letters and numbers
Transaction Reporting (2)
5 October 2017 London Stock Exchange Group Page 29
bull On MIT Trade ID is unique per Market and is
ndash a 8 bytes number on the NTG interface and on MITCH and GTP
ndash ldquoTrdquo concatenated to an alphanumerical string corresponding to the
above ID base 62 encoded on FIX (Trading Drop Copy and Post
Trade Gateways)
ndash The alphanumerical identifier described above
bull is sent to downstream systems (Post Trading Clearing Settlement)
bull is published in reconciliation reports
bull is currently used for Transaction reporting purposes
bull is a case sensitive alphanumerical string
Transaction Reporting (3)
5 October 2017 London Stock Exchange Group Page 30
bull On SOLA
ndash the currently used Trade ID is a progressive number unique per
instrument
ndash In order to have a unique ID it has been decided to use the above
Trade ID concatenated with the SICO Code (Group ID + Instrument ID)
for Transaction Reporting purposes
ndash The SICO Code is case sensitive therefore the ID made of the
platformrsquos Trade ID concatenated with the SICO Code is a case
sensitive alphanumerical string
Transaction Reporting (4)
5 October 2017 London Stock Exchange Group Page 31
bull We will rely on different TVTICs for Transaction Reporting
purposes using
ndash on MIT the 8 bytes number used on the NTG interface and on MITCH
and GTP asking FIX clients to apply the already documented base 62
decoding algorithm
ndash on SOLA the base 62 decoded version of the identifier described in
the previous slide
bull TVTIC will be provided on Reconciliation Files
Borsa Italiana Transaction Reporting Service
5 October 2017 London Stock Exchange Group Page 32
bull The existing Borsa Italianarsquos Transaction Reporting
Service will close together with the go-live of MiFID II
bull The Transaction Reporting Service will be active until the
introduction of MiFID II on January 3rd 2018
bull LSEG will offer Transaction Reporting facility via UnaVista
another company of LSEG that will apply as ARM (Approved
Reporting Mechanism)
5 October 2017 London Stock Exchange Group Page 33
IDEM Key Information Documents
Enrico Pellizzoni
Head of Italy Equity Markets and Derivatives Products
PRIIPs Regulation (IDEM) (1)
5 October 2017 London Stock Exchange Group Page 34
bull BIt will to produce KIDs (Key Information Documents) for IDEM contracts
bull Borsa Italiana will follow an lsquoaggregated approachrsquo as allowed from recent ESMArsquos QampA 14 KIDs will be produced to describe existing IDEM contracts
bull a KID will identify ISINs sharing the same contract specifications expected payoff and fee structure
ndash call options vs put options on the same contract ndash 2 different KIDs
ndash single name derivatives will have a single aggregated KID for each product category (not for each individual underlying)
ndash weekly expiries are not identified by a separate KID
bull Description of costs will include fees that BIt is charging to its market participants Brokers must inform retail clients about their own costs
PRIIPs Regulation (IDEM) (2)
5 October 2017 London Stock Exchange Group Page 35
1 Futures on FTSE MIB
2 Mini futures on FTSE MIB
3 Futures on FTSE MIB dividend
4 Call options on FTSE MIB
5 Put options on FTSE MIB
6 Stock futures
7 Stock dividend futures
8 Single stock call options
9 Single stock put options
10Baseload Italian power futures
11Peakload Italian power futures
12Baseload German power futures
13Peakload German power futures
14Durum wheat futures
PRIIPs Regulation (IDEM) (3)
5 October 2017 London Stock Exchange Group Page 36
bull Available as pdf files free of charge in a dedicated webpage
wwwborsaitalianaitderivatikidskidsenhtm
bull File names with a dedicated convention linked to reference data and downloadable also as
wwwborsaitalianaitderivatikids[filename]pdf
bull Available for download via ftp server (MIT 702)
bull Reviewed at least yearly (or in case of changes to contract specs expected payoff fee structure)
bull Available in Italian English Spanish German and French Additional translations will be evaluated in due course
5 October 2017 London Stock Exchange Group Page 37
Member Portal
Antonello Greco
Technical Account Manager
Client Technology Services Italy
RTS 24 - Requirements
5 October 2017 London Stock Exchange Group Page 38
bull Client Identification code Identifier of the Client (Local Person Identifier or
Legal Entity Identifier) for client orders only
bull Investment Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the investment decision
bull Execution Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the execution decision
Long Code ndash Short Code mapping
5 October 2017 London Stock Exchange Group Page 39
Long Code Short Code
Market messages Client ID Investment Decision Maker Executing Trader
Short Codes ndash Reserved values
5 October 2017 London Stock Exchange Group Page 40
bull 0 None Valid for Client ID and Investment Decision ID
bull 1 AGGR where several orders are submitted to the trading venue together as
an aggregated Valid for Client ID only
bull 2 PNAL where a trading participant allocates an order to its client following
submission of the order to the trading venue and has not yet allocated the
order to its client at the time of the submission of the order Valid for Client ID
only
bull 3 CLIENT valid for Execution Decision ID only
Uploading ndash Three options
5 October 2017 London Stock Exchange Group Page 41
A trading firm will manage the short-long code mappings in a new section of the
Member Portal in the following ways
bull Manual insertion
bull Bulk upload through the Member Portal web interface
bull Bulk upload via SFTP server
Uploading ndash Manual insertion
5 October 2017 London Stock Exchange Group Page 42
bull Short Code numerical value between 4 and 232-1
bull Long Code alphanumerical string of 50 characters Expected values are ndash Local Person Identifier
ndash Legal Entity Identifier
ndash Algorithm
bull Identifier Code Type ndash Natural Person
ndash Client LEI
ndash Algorithm
Uploading ndash Bulk upload (12)
5 October 2017 London Stock Exchange Group Page 43
Field Name
Mandatory
Description
Short Code
Y
4 ndash 4294967295
Long Code
Y
50 alphanumeric chars
Identifier Code Type
Y
L Client LEI
N Natural Person
A Algorithm
Notes
N
Free text field
Operation Type
Y
0 New
1 Update
2 Delete
Uploading ndash Bulk upload (22)
5 October 2017 London Stock Exchange Group Page 44
A new record reporting information on the outcome of the upload is displayed
bull Status ndash In Progress Published Published with errors Not Published
bull UserFile the userrsquos original csv
bull ResultFile a txt file containing the number of records added updated deleted
bull ErrorFile a csv file listing the records containing errors An Error Description field
is added to instruct the user of the error
Uploading ndash SFTP server
5 October 2017 London Stock Exchange Group Page 45
bull The csv file has the same layout as the one used to upload through the
member portal web interface
bull The only difference is that the file must have a specific naming convention
- Venue_ShortLongCodes_YYYYMMDD_NNcsv
bull The root folder of the sFTP server is the Firm ID which in turn contains an IN
and an OUT folder with respectively read-write and read only access
bull The IN folder will contain the bulk upload csv file while the OUT folder will
store Results File and Errors File (if one or more records are rejected)
Upload by difference or laquofrom scratchraquo
5 October 2017 London Stock Exchange Group Page 46
When uploading the file the user can choose to
bull insert modify and delete the existing set of short-long codes hence working by
difference
bull replace the whole list of existing short-long codes with the ones included in the
file hence working from scratch Operation Type can only be populated with 0
Constraints
5 October 2017 London Stock Exchange Group Page 47
bull Two different records can not have the same pair ltShort Code Identifier Code
Typegt
bull Local Person Identifier and Legal Identity Identifiers have to be used
respectively to identify a Natural Person and a LEI
bull Following a cancellation the upload of a new record with the same pair ltShort
Code Identifier Code Typegt will be rejected
When uploading mappings
5 October 2017 London Stock Exchange Group Page 48
bull Short CodeLong Code mappings must be uploaded within the market close
(time limit to be defined) of the same day as they are used as part of the
layout of market messages sent to the exchange
bull Trading participants failing to report the records at day T will be notified and
must download the Missing Short Codes report to find out the discrepancies
to be corrected
bull The Missing Short Code report for the day T is available at T+1 and it lists
the discrepancies of the last five working days
Additional Enhancements
5 October 2017 London Stock Exchange Group Page 49
bull Trader IDs
bull Risk Management users for pre-trade validation functionalities (PTV)
bull Self Execution Prevention
bull Market Making Strategies
bull Mass Cancellation
bull Back Office SELECT
bull Position Report as required by RTS 21 - Application of position limits to
commodity derivatives
Go live
5 October 2017 London Stock Exchange Group Page 50
bull The new Member Portal will go-live on November 2017
bull Trading participant will have a one month window to test the upload of
mappings on the Member Portal before the actual MIFID II go live on
January the 3rd
bull No validations on how short codes are used in the layout of market
messages will be performed except for formal integrity checks
bull The User Manual is already available online on both Borsa Italiana and
EuroTLX websites
5 October 2017 London Stock Exchange Group Page 51
TRADEcho
Roberto Fumagalli
Technical Account Manager
Client Technology Services Italy
POST TRADE TRANSPARENCY OBLIGATION
5 October 2017 London Stock Exchange Group Page 52
MiFID I requires customers to publish OTC trades done on equity instruments listed on European regulated markets Consob extended this obligation to all instruments listed on regulated market (including MOT SeDeX ETFPlus and MTS) MiFID II extends the reporting obligation to all instruments (equity and non equity) listed on European regulated markets MTF and OTF The service offered by Borsa Italiana (PTTS service) to fulfill this obligation will close on 27th November 2017 (release of MIT Platform MiFID II version compliant) LSEG will offer Post Trade Transparency facility for OTC trades via TRADEcho
5 October 2017 London Stock Exchange Group Page 53
TRADEcho
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
Market MakingLiquidity Provision (1)
5 October 2017 London Stock Exchange Group Page 22
bull on MIT Market MakersLiquidity Providers are and will be given one or more
dedicated Comp ID(s) in order to segregate Market MakingLiquidity Provision
activity
bull on SOLA Market MakersLiquidity Providers are and will be given one or more
dedicated Trader ID(s) in order to segregate Market MakingLiquidity Provision
activity
bull a dedicated Naming Convention is applied to Comp IDs and Trader IDs used
for Market MakingLiquidity Provision activity
Market MakingLiquidity Provision (2)
5 October 2017 London Stock Exchange Group Page 23
bull Market MakersLiquidity Providers send (single or dual side) quotes most of the time but under certain circumstances (depending on the type of activity) may send orders
ndash operators have to restrict the use of the dedicated Comp IDTrader ID to the liquidity provision activity using quotes or orders according to what is requested by the Market Making programs in place independently from the fact that no technical restrictions will be put in place
bull For existing Market Making programs
ndash We are restricting MIT Specialist Comp IDs to send orders only on the subset of instruments they are associated for Specialist activity (work in progress migration based on individual client migration plan)
ndash We will restrict SOLA Market Making Trader IDs to send orders only on the subset of instruments they are associated for Market Making activity starting from November 27th 2017
Market MakingLiquidity Provision (3)
5 October 2017 London Stock Exchange Group Page 24
bull New MiFID II Market Making SchemeAgreements (starting from January 3rd
2018)
ndash Member Firms that will subscribe for the new SchemeAgreements will be given dedicated
Comp IDs (for MIT markets) and Trader IDs
ndash Member Firms will decide whether to perform this activity via quotes and orders or via
orders only
bull On SeDeX Member Firms that will subscribe for the new SchemeAgreements will be
allowed to use orders only
Stressed Market Conditions
5 October 2017 London Stock Exchange Group Page 25
bull Stressed Market Conditions will be defined at rulebook level
bull Notification to customers of ldquoStressed Market Conditionsrdquo
ndash No specific market changes will be introduced for notifying customers when ldquoStressed Market
Conditionsrdquo occur
ndash on MIT
bull ldquoStressed Market Conditionsrdquo will be derived from ldquocircuit breakerrdquo period plus ldquonrdquo seconds after
bull Announcement messages will be disseminated in order to announce ldquoStressed Market
Conditionsrdquo
ndash on SOLA Bulletin messages will be disseminated in order to announce ldquoStressed Market
Conditionsrdquo
Legacy CDS
5 October 2017 London Stock Exchange Group Page 26
bull In order to facilitate the testing of software applications and customer
algorithms a new test environment will be provided in parallel to the existing
one starting from Q1 2018
ndash a Legacy CDS will be provided for all the Trading and Market Data services of the Grouprsquos
Trading Venues
ndash the new environment will be continuously aligned with production in terms of Software
Version of Trading and Market Data Systems and Reference Data
Borsa Italiana Post Trade Transparency Service
5 October 2017 London Stock Exchange Group Page 27
bull The existing Borsa Italianarsquos Post Trade Transparency
Service will be discontinued with MiFID II
bull For technical reasons together with the MiFID II technical go-
live (November 27th 2017) it will not be possible to keep
providing the Post Trade Transparency Service
bull LSEG will offer Post Trade Transparency facility for OTC
trades via TRADEcho (see following presentation)
Transaction Reporting (1)
5 October 2017 London Stock Exchange Group Page 28
bull RTS 22 and other RTS do not specify constraints on the
format of the Trading Venue Trade Identification Code
(TVTIC) used by Trading venues apart from
ndash Trade ID should be unique
ndash Trade ID should be an alphanumerical string of maximum 52
characters
bull The MiFID II Transaction Reporting Validation Rules
published by ESMA state that TVTIC must be made of capital
letters and numbers
Transaction Reporting (2)
5 October 2017 London Stock Exchange Group Page 29
bull On MIT Trade ID is unique per Market and is
ndash a 8 bytes number on the NTG interface and on MITCH and GTP
ndash ldquoTrdquo concatenated to an alphanumerical string corresponding to the
above ID base 62 encoded on FIX (Trading Drop Copy and Post
Trade Gateways)
ndash The alphanumerical identifier described above
bull is sent to downstream systems (Post Trading Clearing Settlement)
bull is published in reconciliation reports
bull is currently used for Transaction reporting purposes
bull is a case sensitive alphanumerical string
Transaction Reporting (3)
5 October 2017 London Stock Exchange Group Page 30
bull On SOLA
ndash the currently used Trade ID is a progressive number unique per
instrument
ndash In order to have a unique ID it has been decided to use the above
Trade ID concatenated with the SICO Code (Group ID + Instrument ID)
for Transaction Reporting purposes
ndash The SICO Code is case sensitive therefore the ID made of the
platformrsquos Trade ID concatenated with the SICO Code is a case
sensitive alphanumerical string
Transaction Reporting (4)
5 October 2017 London Stock Exchange Group Page 31
bull We will rely on different TVTICs for Transaction Reporting
purposes using
ndash on MIT the 8 bytes number used on the NTG interface and on MITCH
and GTP asking FIX clients to apply the already documented base 62
decoding algorithm
ndash on SOLA the base 62 decoded version of the identifier described in
the previous slide
bull TVTIC will be provided on Reconciliation Files
Borsa Italiana Transaction Reporting Service
5 October 2017 London Stock Exchange Group Page 32
bull The existing Borsa Italianarsquos Transaction Reporting
Service will close together with the go-live of MiFID II
bull The Transaction Reporting Service will be active until the
introduction of MiFID II on January 3rd 2018
bull LSEG will offer Transaction Reporting facility via UnaVista
another company of LSEG that will apply as ARM (Approved
Reporting Mechanism)
5 October 2017 London Stock Exchange Group Page 33
IDEM Key Information Documents
Enrico Pellizzoni
Head of Italy Equity Markets and Derivatives Products
PRIIPs Regulation (IDEM) (1)
5 October 2017 London Stock Exchange Group Page 34
bull BIt will to produce KIDs (Key Information Documents) for IDEM contracts
bull Borsa Italiana will follow an lsquoaggregated approachrsquo as allowed from recent ESMArsquos QampA 14 KIDs will be produced to describe existing IDEM contracts
bull a KID will identify ISINs sharing the same contract specifications expected payoff and fee structure
ndash call options vs put options on the same contract ndash 2 different KIDs
ndash single name derivatives will have a single aggregated KID for each product category (not for each individual underlying)
ndash weekly expiries are not identified by a separate KID
bull Description of costs will include fees that BIt is charging to its market participants Brokers must inform retail clients about their own costs
PRIIPs Regulation (IDEM) (2)
5 October 2017 London Stock Exchange Group Page 35
1 Futures on FTSE MIB
2 Mini futures on FTSE MIB
3 Futures on FTSE MIB dividend
4 Call options on FTSE MIB
5 Put options on FTSE MIB
6 Stock futures
7 Stock dividend futures
8 Single stock call options
9 Single stock put options
10Baseload Italian power futures
11Peakload Italian power futures
12Baseload German power futures
13Peakload German power futures
14Durum wheat futures
PRIIPs Regulation (IDEM) (3)
5 October 2017 London Stock Exchange Group Page 36
bull Available as pdf files free of charge in a dedicated webpage
wwwborsaitalianaitderivatikidskidsenhtm
bull File names with a dedicated convention linked to reference data and downloadable also as
wwwborsaitalianaitderivatikids[filename]pdf
bull Available for download via ftp server (MIT 702)
bull Reviewed at least yearly (or in case of changes to contract specs expected payoff fee structure)
bull Available in Italian English Spanish German and French Additional translations will be evaluated in due course
5 October 2017 London Stock Exchange Group Page 37
Member Portal
Antonello Greco
Technical Account Manager
Client Technology Services Italy
RTS 24 - Requirements
5 October 2017 London Stock Exchange Group Page 38
bull Client Identification code Identifier of the Client (Local Person Identifier or
Legal Entity Identifier) for client orders only
bull Investment Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the investment decision
bull Execution Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the execution decision
Long Code ndash Short Code mapping
5 October 2017 London Stock Exchange Group Page 39
Long Code Short Code
Market messages Client ID Investment Decision Maker Executing Trader
Short Codes ndash Reserved values
5 October 2017 London Stock Exchange Group Page 40
bull 0 None Valid for Client ID and Investment Decision ID
bull 1 AGGR where several orders are submitted to the trading venue together as
an aggregated Valid for Client ID only
bull 2 PNAL where a trading participant allocates an order to its client following
submission of the order to the trading venue and has not yet allocated the
order to its client at the time of the submission of the order Valid for Client ID
only
bull 3 CLIENT valid for Execution Decision ID only
Uploading ndash Three options
5 October 2017 London Stock Exchange Group Page 41
A trading firm will manage the short-long code mappings in a new section of the
Member Portal in the following ways
bull Manual insertion
bull Bulk upload through the Member Portal web interface
bull Bulk upload via SFTP server
Uploading ndash Manual insertion
5 October 2017 London Stock Exchange Group Page 42
bull Short Code numerical value between 4 and 232-1
bull Long Code alphanumerical string of 50 characters Expected values are ndash Local Person Identifier
ndash Legal Entity Identifier
ndash Algorithm
bull Identifier Code Type ndash Natural Person
ndash Client LEI
ndash Algorithm
Uploading ndash Bulk upload (12)
5 October 2017 London Stock Exchange Group Page 43
Field Name
Mandatory
Description
Short Code
Y
4 ndash 4294967295
Long Code
Y
50 alphanumeric chars
Identifier Code Type
Y
L Client LEI
N Natural Person
A Algorithm
Notes
N
Free text field
Operation Type
Y
0 New
1 Update
2 Delete
Uploading ndash Bulk upload (22)
5 October 2017 London Stock Exchange Group Page 44
A new record reporting information on the outcome of the upload is displayed
bull Status ndash In Progress Published Published with errors Not Published
bull UserFile the userrsquos original csv
bull ResultFile a txt file containing the number of records added updated deleted
bull ErrorFile a csv file listing the records containing errors An Error Description field
is added to instruct the user of the error
Uploading ndash SFTP server
5 October 2017 London Stock Exchange Group Page 45
bull The csv file has the same layout as the one used to upload through the
member portal web interface
bull The only difference is that the file must have a specific naming convention
- Venue_ShortLongCodes_YYYYMMDD_NNcsv
bull The root folder of the sFTP server is the Firm ID which in turn contains an IN
and an OUT folder with respectively read-write and read only access
bull The IN folder will contain the bulk upload csv file while the OUT folder will
store Results File and Errors File (if one or more records are rejected)
Upload by difference or laquofrom scratchraquo
5 October 2017 London Stock Exchange Group Page 46
When uploading the file the user can choose to
bull insert modify and delete the existing set of short-long codes hence working by
difference
bull replace the whole list of existing short-long codes with the ones included in the
file hence working from scratch Operation Type can only be populated with 0
Constraints
5 October 2017 London Stock Exchange Group Page 47
bull Two different records can not have the same pair ltShort Code Identifier Code
Typegt
bull Local Person Identifier and Legal Identity Identifiers have to be used
respectively to identify a Natural Person and a LEI
bull Following a cancellation the upload of a new record with the same pair ltShort
Code Identifier Code Typegt will be rejected
When uploading mappings
5 October 2017 London Stock Exchange Group Page 48
bull Short CodeLong Code mappings must be uploaded within the market close
(time limit to be defined) of the same day as they are used as part of the
layout of market messages sent to the exchange
bull Trading participants failing to report the records at day T will be notified and
must download the Missing Short Codes report to find out the discrepancies
to be corrected
bull The Missing Short Code report for the day T is available at T+1 and it lists
the discrepancies of the last five working days
Additional Enhancements
5 October 2017 London Stock Exchange Group Page 49
bull Trader IDs
bull Risk Management users for pre-trade validation functionalities (PTV)
bull Self Execution Prevention
bull Market Making Strategies
bull Mass Cancellation
bull Back Office SELECT
bull Position Report as required by RTS 21 - Application of position limits to
commodity derivatives
Go live
5 October 2017 London Stock Exchange Group Page 50
bull The new Member Portal will go-live on November 2017
bull Trading participant will have a one month window to test the upload of
mappings on the Member Portal before the actual MIFID II go live on
January the 3rd
bull No validations on how short codes are used in the layout of market
messages will be performed except for formal integrity checks
bull The User Manual is already available online on both Borsa Italiana and
EuroTLX websites
5 October 2017 London Stock Exchange Group Page 51
TRADEcho
Roberto Fumagalli
Technical Account Manager
Client Technology Services Italy
POST TRADE TRANSPARENCY OBLIGATION
5 October 2017 London Stock Exchange Group Page 52
MiFID I requires customers to publish OTC trades done on equity instruments listed on European regulated markets Consob extended this obligation to all instruments listed on regulated market (including MOT SeDeX ETFPlus and MTS) MiFID II extends the reporting obligation to all instruments (equity and non equity) listed on European regulated markets MTF and OTF The service offered by Borsa Italiana (PTTS service) to fulfill this obligation will close on 27th November 2017 (release of MIT Platform MiFID II version compliant) LSEG will offer Post Trade Transparency facility for OTC trades via TRADEcho
5 October 2017 London Stock Exchange Group Page 53
TRADEcho
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
Market MakingLiquidity Provision (2)
5 October 2017 London Stock Exchange Group Page 23
bull Market MakersLiquidity Providers send (single or dual side) quotes most of the time but under certain circumstances (depending on the type of activity) may send orders
ndash operators have to restrict the use of the dedicated Comp IDTrader ID to the liquidity provision activity using quotes or orders according to what is requested by the Market Making programs in place independently from the fact that no technical restrictions will be put in place
bull For existing Market Making programs
ndash We are restricting MIT Specialist Comp IDs to send orders only on the subset of instruments they are associated for Specialist activity (work in progress migration based on individual client migration plan)
ndash We will restrict SOLA Market Making Trader IDs to send orders only on the subset of instruments they are associated for Market Making activity starting from November 27th 2017
Market MakingLiquidity Provision (3)
5 October 2017 London Stock Exchange Group Page 24
bull New MiFID II Market Making SchemeAgreements (starting from January 3rd
2018)
ndash Member Firms that will subscribe for the new SchemeAgreements will be given dedicated
Comp IDs (for MIT markets) and Trader IDs
ndash Member Firms will decide whether to perform this activity via quotes and orders or via
orders only
bull On SeDeX Member Firms that will subscribe for the new SchemeAgreements will be
allowed to use orders only
Stressed Market Conditions
5 October 2017 London Stock Exchange Group Page 25
bull Stressed Market Conditions will be defined at rulebook level
bull Notification to customers of ldquoStressed Market Conditionsrdquo
ndash No specific market changes will be introduced for notifying customers when ldquoStressed Market
Conditionsrdquo occur
ndash on MIT
bull ldquoStressed Market Conditionsrdquo will be derived from ldquocircuit breakerrdquo period plus ldquonrdquo seconds after
bull Announcement messages will be disseminated in order to announce ldquoStressed Market
Conditionsrdquo
ndash on SOLA Bulletin messages will be disseminated in order to announce ldquoStressed Market
Conditionsrdquo
Legacy CDS
5 October 2017 London Stock Exchange Group Page 26
bull In order to facilitate the testing of software applications and customer
algorithms a new test environment will be provided in parallel to the existing
one starting from Q1 2018
ndash a Legacy CDS will be provided for all the Trading and Market Data services of the Grouprsquos
Trading Venues
ndash the new environment will be continuously aligned with production in terms of Software
Version of Trading and Market Data Systems and Reference Data
Borsa Italiana Post Trade Transparency Service
5 October 2017 London Stock Exchange Group Page 27
bull The existing Borsa Italianarsquos Post Trade Transparency
Service will be discontinued with MiFID II
bull For technical reasons together with the MiFID II technical go-
live (November 27th 2017) it will not be possible to keep
providing the Post Trade Transparency Service
bull LSEG will offer Post Trade Transparency facility for OTC
trades via TRADEcho (see following presentation)
Transaction Reporting (1)
5 October 2017 London Stock Exchange Group Page 28
bull RTS 22 and other RTS do not specify constraints on the
format of the Trading Venue Trade Identification Code
(TVTIC) used by Trading venues apart from
ndash Trade ID should be unique
ndash Trade ID should be an alphanumerical string of maximum 52
characters
bull The MiFID II Transaction Reporting Validation Rules
published by ESMA state that TVTIC must be made of capital
letters and numbers
Transaction Reporting (2)
5 October 2017 London Stock Exchange Group Page 29
bull On MIT Trade ID is unique per Market and is
ndash a 8 bytes number on the NTG interface and on MITCH and GTP
ndash ldquoTrdquo concatenated to an alphanumerical string corresponding to the
above ID base 62 encoded on FIX (Trading Drop Copy and Post
Trade Gateways)
ndash The alphanumerical identifier described above
bull is sent to downstream systems (Post Trading Clearing Settlement)
bull is published in reconciliation reports
bull is currently used for Transaction reporting purposes
bull is a case sensitive alphanumerical string
Transaction Reporting (3)
5 October 2017 London Stock Exchange Group Page 30
bull On SOLA
ndash the currently used Trade ID is a progressive number unique per
instrument
ndash In order to have a unique ID it has been decided to use the above
Trade ID concatenated with the SICO Code (Group ID + Instrument ID)
for Transaction Reporting purposes
ndash The SICO Code is case sensitive therefore the ID made of the
platformrsquos Trade ID concatenated with the SICO Code is a case
sensitive alphanumerical string
Transaction Reporting (4)
5 October 2017 London Stock Exchange Group Page 31
bull We will rely on different TVTICs for Transaction Reporting
purposes using
ndash on MIT the 8 bytes number used on the NTG interface and on MITCH
and GTP asking FIX clients to apply the already documented base 62
decoding algorithm
ndash on SOLA the base 62 decoded version of the identifier described in
the previous slide
bull TVTIC will be provided on Reconciliation Files
Borsa Italiana Transaction Reporting Service
5 October 2017 London Stock Exchange Group Page 32
bull The existing Borsa Italianarsquos Transaction Reporting
Service will close together with the go-live of MiFID II
bull The Transaction Reporting Service will be active until the
introduction of MiFID II on January 3rd 2018
bull LSEG will offer Transaction Reporting facility via UnaVista
another company of LSEG that will apply as ARM (Approved
Reporting Mechanism)
5 October 2017 London Stock Exchange Group Page 33
IDEM Key Information Documents
Enrico Pellizzoni
Head of Italy Equity Markets and Derivatives Products
PRIIPs Regulation (IDEM) (1)
5 October 2017 London Stock Exchange Group Page 34
bull BIt will to produce KIDs (Key Information Documents) for IDEM contracts
bull Borsa Italiana will follow an lsquoaggregated approachrsquo as allowed from recent ESMArsquos QampA 14 KIDs will be produced to describe existing IDEM contracts
bull a KID will identify ISINs sharing the same contract specifications expected payoff and fee structure
ndash call options vs put options on the same contract ndash 2 different KIDs
ndash single name derivatives will have a single aggregated KID for each product category (not for each individual underlying)
ndash weekly expiries are not identified by a separate KID
bull Description of costs will include fees that BIt is charging to its market participants Brokers must inform retail clients about their own costs
PRIIPs Regulation (IDEM) (2)
5 October 2017 London Stock Exchange Group Page 35
1 Futures on FTSE MIB
2 Mini futures on FTSE MIB
3 Futures on FTSE MIB dividend
4 Call options on FTSE MIB
5 Put options on FTSE MIB
6 Stock futures
7 Stock dividend futures
8 Single stock call options
9 Single stock put options
10Baseload Italian power futures
11Peakload Italian power futures
12Baseload German power futures
13Peakload German power futures
14Durum wheat futures
PRIIPs Regulation (IDEM) (3)
5 October 2017 London Stock Exchange Group Page 36
bull Available as pdf files free of charge in a dedicated webpage
wwwborsaitalianaitderivatikidskidsenhtm
bull File names with a dedicated convention linked to reference data and downloadable also as
wwwborsaitalianaitderivatikids[filename]pdf
bull Available for download via ftp server (MIT 702)
bull Reviewed at least yearly (or in case of changes to contract specs expected payoff fee structure)
bull Available in Italian English Spanish German and French Additional translations will be evaluated in due course
5 October 2017 London Stock Exchange Group Page 37
Member Portal
Antonello Greco
Technical Account Manager
Client Technology Services Italy
RTS 24 - Requirements
5 October 2017 London Stock Exchange Group Page 38
bull Client Identification code Identifier of the Client (Local Person Identifier or
Legal Entity Identifier) for client orders only
bull Investment Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the investment decision
bull Execution Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the execution decision
Long Code ndash Short Code mapping
5 October 2017 London Stock Exchange Group Page 39
Long Code Short Code
Market messages Client ID Investment Decision Maker Executing Trader
Short Codes ndash Reserved values
5 October 2017 London Stock Exchange Group Page 40
bull 0 None Valid for Client ID and Investment Decision ID
bull 1 AGGR where several orders are submitted to the trading venue together as
an aggregated Valid for Client ID only
bull 2 PNAL where a trading participant allocates an order to its client following
submission of the order to the trading venue and has not yet allocated the
order to its client at the time of the submission of the order Valid for Client ID
only
bull 3 CLIENT valid for Execution Decision ID only
Uploading ndash Three options
5 October 2017 London Stock Exchange Group Page 41
A trading firm will manage the short-long code mappings in a new section of the
Member Portal in the following ways
bull Manual insertion
bull Bulk upload through the Member Portal web interface
bull Bulk upload via SFTP server
Uploading ndash Manual insertion
5 October 2017 London Stock Exchange Group Page 42
bull Short Code numerical value between 4 and 232-1
bull Long Code alphanumerical string of 50 characters Expected values are ndash Local Person Identifier
ndash Legal Entity Identifier
ndash Algorithm
bull Identifier Code Type ndash Natural Person
ndash Client LEI
ndash Algorithm
Uploading ndash Bulk upload (12)
5 October 2017 London Stock Exchange Group Page 43
Field Name
Mandatory
Description
Short Code
Y
4 ndash 4294967295
Long Code
Y
50 alphanumeric chars
Identifier Code Type
Y
L Client LEI
N Natural Person
A Algorithm
Notes
N
Free text field
Operation Type
Y
0 New
1 Update
2 Delete
Uploading ndash Bulk upload (22)
5 October 2017 London Stock Exchange Group Page 44
A new record reporting information on the outcome of the upload is displayed
bull Status ndash In Progress Published Published with errors Not Published
bull UserFile the userrsquos original csv
bull ResultFile a txt file containing the number of records added updated deleted
bull ErrorFile a csv file listing the records containing errors An Error Description field
is added to instruct the user of the error
Uploading ndash SFTP server
5 October 2017 London Stock Exchange Group Page 45
bull The csv file has the same layout as the one used to upload through the
member portal web interface
bull The only difference is that the file must have a specific naming convention
- Venue_ShortLongCodes_YYYYMMDD_NNcsv
bull The root folder of the sFTP server is the Firm ID which in turn contains an IN
and an OUT folder with respectively read-write and read only access
bull The IN folder will contain the bulk upload csv file while the OUT folder will
store Results File and Errors File (if one or more records are rejected)
Upload by difference or laquofrom scratchraquo
5 October 2017 London Stock Exchange Group Page 46
When uploading the file the user can choose to
bull insert modify and delete the existing set of short-long codes hence working by
difference
bull replace the whole list of existing short-long codes with the ones included in the
file hence working from scratch Operation Type can only be populated with 0
Constraints
5 October 2017 London Stock Exchange Group Page 47
bull Two different records can not have the same pair ltShort Code Identifier Code
Typegt
bull Local Person Identifier and Legal Identity Identifiers have to be used
respectively to identify a Natural Person and a LEI
bull Following a cancellation the upload of a new record with the same pair ltShort
Code Identifier Code Typegt will be rejected
When uploading mappings
5 October 2017 London Stock Exchange Group Page 48
bull Short CodeLong Code mappings must be uploaded within the market close
(time limit to be defined) of the same day as they are used as part of the
layout of market messages sent to the exchange
bull Trading participants failing to report the records at day T will be notified and
must download the Missing Short Codes report to find out the discrepancies
to be corrected
bull The Missing Short Code report for the day T is available at T+1 and it lists
the discrepancies of the last five working days
Additional Enhancements
5 October 2017 London Stock Exchange Group Page 49
bull Trader IDs
bull Risk Management users for pre-trade validation functionalities (PTV)
bull Self Execution Prevention
bull Market Making Strategies
bull Mass Cancellation
bull Back Office SELECT
bull Position Report as required by RTS 21 - Application of position limits to
commodity derivatives
Go live
5 October 2017 London Stock Exchange Group Page 50
bull The new Member Portal will go-live on November 2017
bull Trading participant will have a one month window to test the upload of
mappings on the Member Portal before the actual MIFID II go live on
January the 3rd
bull No validations on how short codes are used in the layout of market
messages will be performed except for formal integrity checks
bull The User Manual is already available online on both Borsa Italiana and
EuroTLX websites
5 October 2017 London Stock Exchange Group Page 51
TRADEcho
Roberto Fumagalli
Technical Account Manager
Client Technology Services Italy
POST TRADE TRANSPARENCY OBLIGATION
5 October 2017 London Stock Exchange Group Page 52
MiFID I requires customers to publish OTC trades done on equity instruments listed on European regulated markets Consob extended this obligation to all instruments listed on regulated market (including MOT SeDeX ETFPlus and MTS) MiFID II extends the reporting obligation to all instruments (equity and non equity) listed on European regulated markets MTF and OTF The service offered by Borsa Italiana (PTTS service) to fulfill this obligation will close on 27th November 2017 (release of MIT Platform MiFID II version compliant) LSEG will offer Post Trade Transparency facility for OTC trades via TRADEcho
5 October 2017 London Stock Exchange Group Page 53
TRADEcho
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
Market MakingLiquidity Provision (3)
5 October 2017 London Stock Exchange Group Page 24
bull New MiFID II Market Making SchemeAgreements (starting from January 3rd
2018)
ndash Member Firms that will subscribe for the new SchemeAgreements will be given dedicated
Comp IDs (for MIT markets) and Trader IDs
ndash Member Firms will decide whether to perform this activity via quotes and orders or via
orders only
bull On SeDeX Member Firms that will subscribe for the new SchemeAgreements will be
allowed to use orders only
Stressed Market Conditions
5 October 2017 London Stock Exchange Group Page 25
bull Stressed Market Conditions will be defined at rulebook level
bull Notification to customers of ldquoStressed Market Conditionsrdquo
ndash No specific market changes will be introduced for notifying customers when ldquoStressed Market
Conditionsrdquo occur
ndash on MIT
bull ldquoStressed Market Conditionsrdquo will be derived from ldquocircuit breakerrdquo period plus ldquonrdquo seconds after
bull Announcement messages will be disseminated in order to announce ldquoStressed Market
Conditionsrdquo
ndash on SOLA Bulletin messages will be disseminated in order to announce ldquoStressed Market
Conditionsrdquo
Legacy CDS
5 October 2017 London Stock Exchange Group Page 26
bull In order to facilitate the testing of software applications and customer
algorithms a new test environment will be provided in parallel to the existing
one starting from Q1 2018
ndash a Legacy CDS will be provided for all the Trading and Market Data services of the Grouprsquos
Trading Venues
ndash the new environment will be continuously aligned with production in terms of Software
Version of Trading and Market Data Systems and Reference Data
Borsa Italiana Post Trade Transparency Service
5 October 2017 London Stock Exchange Group Page 27
bull The existing Borsa Italianarsquos Post Trade Transparency
Service will be discontinued with MiFID II
bull For technical reasons together with the MiFID II technical go-
live (November 27th 2017) it will not be possible to keep
providing the Post Trade Transparency Service
bull LSEG will offer Post Trade Transparency facility for OTC
trades via TRADEcho (see following presentation)
Transaction Reporting (1)
5 October 2017 London Stock Exchange Group Page 28
bull RTS 22 and other RTS do not specify constraints on the
format of the Trading Venue Trade Identification Code
(TVTIC) used by Trading venues apart from
ndash Trade ID should be unique
ndash Trade ID should be an alphanumerical string of maximum 52
characters
bull The MiFID II Transaction Reporting Validation Rules
published by ESMA state that TVTIC must be made of capital
letters and numbers
Transaction Reporting (2)
5 October 2017 London Stock Exchange Group Page 29
bull On MIT Trade ID is unique per Market and is
ndash a 8 bytes number on the NTG interface and on MITCH and GTP
ndash ldquoTrdquo concatenated to an alphanumerical string corresponding to the
above ID base 62 encoded on FIX (Trading Drop Copy and Post
Trade Gateways)
ndash The alphanumerical identifier described above
bull is sent to downstream systems (Post Trading Clearing Settlement)
bull is published in reconciliation reports
bull is currently used for Transaction reporting purposes
bull is a case sensitive alphanumerical string
Transaction Reporting (3)
5 October 2017 London Stock Exchange Group Page 30
bull On SOLA
ndash the currently used Trade ID is a progressive number unique per
instrument
ndash In order to have a unique ID it has been decided to use the above
Trade ID concatenated with the SICO Code (Group ID + Instrument ID)
for Transaction Reporting purposes
ndash The SICO Code is case sensitive therefore the ID made of the
platformrsquos Trade ID concatenated with the SICO Code is a case
sensitive alphanumerical string
Transaction Reporting (4)
5 October 2017 London Stock Exchange Group Page 31
bull We will rely on different TVTICs for Transaction Reporting
purposes using
ndash on MIT the 8 bytes number used on the NTG interface and on MITCH
and GTP asking FIX clients to apply the already documented base 62
decoding algorithm
ndash on SOLA the base 62 decoded version of the identifier described in
the previous slide
bull TVTIC will be provided on Reconciliation Files
Borsa Italiana Transaction Reporting Service
5 October 2017 London Stock Exchange Group Page 32
bull The existing Borsa Italianarsquos Transaction Reporting
Service will close together with the go-live of MiFID II
bull The Transaction Reporting Service will be active until the
introduction of MiFID II on January 3rd 2018
bull LSEG will offer Transaction Reporting facility via UnaVista
another company of LSEG that will apply as ARM (Approved
Reporting Mechanism)
5 October 2017 London Stock Exchange Group Page 33
IDEM Key Information Documents
Enrico Pellizzoni
Head of Italy Equity Markets and Derivatives Products
PRIIPs Regulation (IDEM) (1)
5 October 2017 London Stock Exchange Group Page 34
bull BIt will to produce KIDs (Key Information Documents) for IDEM contracts
bull Borsa Italiana will follow an lsquoaggregated approachrsquo as allowed from recent ESMArsquos QampA 14 KIDs will be produced to describe existing IDEM contracts
bull a KID will identify ISINs sharing the same contract specifications expected payoff and fee structure
ndash call options vs put options on the same contract ndash 2 different KIDs
ndash single name derivatives will have a single aggregated KID for each product category (not for each individual underlying)
ndash weekly expiries are not identified by a separate KID
bull Description of costs will include fees that BIt is charging to its market participants Brokers must inform retail clients about their own costs
PRIIPs Regulation (IDEM) (2)
5 October 2017 London Stock Exchange Group Page 35
1 Futures on FTSE MIB
2 Mini futures on FTSE MIB
3 Futures on FTSE MIB dividend
4 Call options on FTSE MIB
5 Put options on FTSE MIB
6 Stock futures
7 Stock dividend futures
8 Single stock call options
9 Single stock put options
10Baseload Italian power futures
11Peakload Italian power futures
12Baseload German power futures
13Peakload German power futures
14Durum wheat futures
PRIIPs Regulation (IDEM) (3)
5 October 2017 London Stock Exchange Group Page 36
bull Available as pdf files free of charge in a dedicated webpage
wwwborsaitalianaitderivatikidskidsenhtm
bull File names with a dedicated convention linked to reference data and downloadable also as
wwwborsaitalianaitderivatikids[filename]pdf
bull Available for download via ftp server (MIT 702)
bull Reviewed at least yearly (or in case of changes to contract specs expected payoff fee structure)
bull Available in Italian English Spanish German and French Additional translations will be evaluated in due course
5 October 2017 London Stock Exchange Group Page 37
Member Portal
Antonello Greco
Technical Account Manager
Client Technology Services Italy
RTS 24 - Requirements
5 October 2017 London Stock Exchange Group Page 38
bull Client Identification code Identifier of the Client (Local Person Identifier or
Legal Entity Identifier) for client orders only
bull Investment Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the investment decision
bull Execution Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the execution decision
Long Code ndash Short Code mapping
5 October 2017 London Stock Exchange Group Page 39
Long Code Short Code
Market messages Client ID Investment Decision Maker Executing Trader
Short Codes ndash Reserved values
5 October 2017 London Stock Exchange Group Page 40
bull 0 None Valid for Client ID and Investment Decision ID
bull 1 AGGR where several orders are submitted to the trading venue together as
an aggregated Valid for Client ID only
bull 2 PNAL where a trading participant allocates an order to its client following
submission of the order to the trading venue and has not yet allocated the
order to its client at the time of the submission of the order Valid for Client ID
only
bull 3 CLIENT valid for Execution Decision ID only
Uploading ndash Three options
5 October 2017 London Stock Exchange Group Page 41
A trading firm will manage the short-long code mappings in a new section of the
Member Portal in the following ways
bull Manual insertion
bull Bulk upload through the Member Portal web interface
bull Bulk upload via SFTP server
Uploading ndash Manual insertion
5 October 2017 London Stock Exchange Group Page 42
bull Short Code numerical value between 4 and 232-1
bull Long Code alphanumerical string of 50 characters Expected values are ndash Local Person Identifier
ndash Legal Entity Identifier
ndash Algorithm
bull Identifier Code Type ndash Natural Person
ndash Client LEI
ndash Algorithm
Uploading ndash Bulk upload (12)
5 October 2017 London Stock Exchange Group Page 43
Field Name
Mandatory
Description
Short Code
Y
4 ndash 4294967295
Long Code
Y
50 alphanumeric chars
Identifier Code Type
Y
L Client LEI
N Natural Person
A Algorithm
Notes
N
Free text field
Operation Type
Y
0 New
1 Update
2 Delete
Uploading ndash Bulk upload (22)
5 October 2017 London Stock Exchange Group Page 44
A new record reporting information on the outcome of the upload is displayed
bull Status ndash In Progress Published Published with errors Not Published
bull UserFile the userrsquos original csv
bull ResultFile a txt file containing the number of records added updated deleted
bull ErrorFile a csv file listing the records containing errors An Error Description field
is added to instruct the user of the error
Uploading ndash SFTP server
5 October 2017 London Stock Exchange Group Page 45
bull The csv file has the same layout as the one used to upload through the
member portal web interface
bull The only difference is that the file must have a specific naming convention
- Venue_ShortLongCodes_YYYYMMDD_NNcsv
bull The root folder of the sFTP server is the Firm ID which in turn contains an IN
and an OUT folder with respectively read-write and read only access
bull The IN folder will contain the bulk upload csv file while the OUT folder will
store Results File and Errors File (if one or more records are rejected)
Upload by difference or laquofrom scratchraquo
5 October 2017 London Stock Exchange Group Page 46
When uploading the file the user can choose to
bull insert modify and delete the existing set of short-long codes hence working by
difference
bull replace the whole list of existing short-long codes with the ones included in the
file hence working from scratch Operation Type can only be populated with 0
Constraints
5 October 2017 London Stock Exchange Group Page 47
bull Two different records can not have the same pair ltShort Code Identifier Code
Typegt
bull Local Person Identifier and Legal Identity Identifiers have to be used
respectively to identify a Natural Person and a LEI
bull Following a cancellation the upload of a new record with the same pair ltShort
Code Identifier Code Typegt will be rejected
When uploading mappings
5 October 2017 London Stock Exchange Group Page 48
bull Short CodeLong Code mappings must be uploaded within the market close
(time limit to be defined) of the same day as they are used as part of the
layout of market messages sent to the exchange
bull Trading participants failing to report the records at day T will be notified and
must download the Missing Short Codes report to find out the discrepancies
to be corrected
bull The Missing Short Code report for the day T is available at T+1 and it lists
the discrepancies of the last five working days
Additional Enhancements
5 October 2017 London Stock Exchange Group Page 49
bull Trader IDs
bull Risk Management users for pre-trade validation functionalities (PTV)
bull Self Execution Prevention
bull Market Making Strategies
bull Mass Cancellation
bull Back Office SELECT
bull Position Report as required by RTS 21 - Application of position limits to
commodity derivatives
Go live
5 October 2017 London Stock Exchange Group Page 50
bull The new Member Portal will go-live on November 2017
bull Trading participant will have a one month window to test the upload of
mappings on the Member Portal before the actual MIFID II go live on
January the 3rd
bull No validations on how short codes are used in the layout of market
messages will be performed except for formal integrity checks
bull The User Manual is already available online on both Borsa Italiana and
EuroTLX websites
5 October 2017 London Stock Exchange Group Page 51
TRADEcho
Roberto Fumagalli
Technical Account Manager
Client Technology Services Italy
POST TRADE TRANSPARENCY OBLIGATION
5 October 2017 London Stock Exchange Group Page 52
MiFID I requires customers to publish OTC trades done on equity instruments listed on European regulated markets Consob extended this obligation to all instruments listed on regulated market (including MOT SeDeX ETFPlus and MTS) MiFID II extends the reporting obligation to all instruments (equity and non equity) listed on European regulated markets MTF and OTF The service offered by Borsa Italiana (PTTS service) to fulfill this obligation will close on 27th November 2017 (release of MIT Platform MiFID II version compliant) LSEG will offer Post Trade Transparency facility for OTC trades via TRADEcho
5 October 2017 London Stock Exchange Group Page 53
TRADEcho
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
Stressed Market Conditions
5 October 2017 London Stock Exchange Group Page 25
bull Stressed Market Conditions will be defined at rulebook level
bull Notification to customers of ldquoStressed Market Conditionsrdquo
ndash No specific market changes will be introduced for notifying customers when ldquoStressed Market
Conditionsrdquo occur
ndash on MIT
bull ldquoStressed Market Conditionsrdquo will be derived from ldquocircuit breakerrdquo period plus ldquonrdquo seconds after
bull Announcement messages will be disseminated in order to announce ldquoStressed Market
Conditionsrdquo
ndash on SOLA Bulletin messages will be disseminated in order to announce ldquoStressed Market
Conditionsrdquo
Legacy CDS
5 October 2017 London Stock Exchange Group Page 26
bull In order to facilitate the testing of software applications and customer
algorithms a new test environment will be provided in parallel to the existing
one starting from Q1 2018
ndash a Legacy CDS will be provided for all the Trading and Market Data services of the Grouprsquos
Trading Venues
ndash the new environment will be continuously aligned with production in terms of Software
Version of Trading and Market Data Systems and Reference Data
Borsa Italiana Post Trade Transparency Service
5 October 2017 London Stock Exchange Group Page 27
bull The existing Borsa Italianarsquos Post Trade Transparency
Service will be discontinued with MiFID II
bull For technical reasons together with the MiFID II technical go-
live (November 27th 2017) it will not be possible to keep
providing the Post Trade Transparency Service
bull LSEG will offer Post Trade Transparency facility for OTC
trades via TRADEcho (see following presentation)
Transaction Reporting (1)
5 October 2017 London Stock Exchange Group Page 28
bull RTS 22 and other RTS do not specify constraints on the
format of the Trading Venue Trade Identification Code
(TVTIC) used by Trading venues apart from
ndash Trade ID should be unique
ndash Trade ID should be an alphanumerical string of maximum 52
characters
bull The MiFID II Transaction Reporting Validation Rules
published by ESMA state that TVTIC must be made of capital
letters and numbers
Transaction Reporting (2)
5 October 2017 London Stock Exchange Group Page 29
bull On MIT Trade ID is unique per Market and is
ndash a 8 bytes number on the NTG interface and on MITCH and GTP
ndash ldquoTrdquo concatenated to an alphanumerical string corresponding to the
above ID base 62 encoded on FIX (Trading Drop Copy and Post
Trade Gateways)
ndash The alphanumerical identifier described above
bull is sent to downstream systems (Post Trading Clearing Settlement)
bull is published in reconciliation reports
bull is currently used for Transaction reporting purposes
bull is a case sensitive alphanumerical string
Transaction Reporting (3)
5 October 2017 London Stock Exchange Group Page 30
bull On SOLA
ndash the currently used Trade ID is a progressive number unique per
instrument
ndash In order to have a unique ID it has been decided to use the above
Trade ID concatenated with the SICO Code (Group ID + Instrument ID)
for Transaction Reporting purposes
ndash The SICO Code is case sensitive therefore the ID made of the
platformrsquos Trade ID concatenated with the SICO Code is a case
sensitive alphanumerical string
Transaction Reporting (4)
5 October 2017 London Stock Exchange Group Page 31
bull We will rely on different TVTICs for Transaction Reporting
purposes using
ndash on MIT the 8 bytes number used on the NTG interface and on MITCH
and GTP asking FIX clients to apply the already documented base 62
decoding algorithm
ndash on SOLA the base 62 decoded version of the identifier described in
the previous slide
bull TVTIC will be provided on Reconciliation Files
Borsa Italiana Transaction Reporting Service
5 October 2017 London Stock Exchange Group Page 32
bull The existing Borsa Italianarsquos Transaction Reporting
Service will close together with the go-live of MiFID II
bull The Transaction Reporting Service will be active until the
introduction of MiFID II on January 3rd 2018
bull LSEG will offer Transaction Reporting facility via UnaVista
another company of LSEG that will apply as ARM (Approved
Reporting Mechanism)
5 October 2017 London Stock Exchange Group Page 33
IDEM Key Information Documents
Enrico Pellizzoni
Head of Italy Equity Markets and Derivatives Products
PRIIPs Regulation (IDEM) (1)
5 October 2017 London Stock Exchange Group Page 34
bull BIt will to produce KIDs (Key Information Documents) for IDEM contracts
bull Borsa Italiana will follow an lsquoaggregated approachrsquo as allowed from recent ESMArsquos QampA 14 KIDs will be produced to describe existing IDEM contracts
bull a KID will identify ISINs sharing the same contract specifications expected payoff and fee structure
ndash call options vs put options on the same contract ndash 2 different KIDs
ndash single name derivatives will have a single aggregated KID for each product category (not for each individual underlying)
ndash weekly expiries are not identified by a separate KID
bull Description of costs will include fees that BIt is charging to its market participants Brokers must inform retail clients about their own costs
PRIIPs Regulation (IDEM) (2)
5 October 2017 London Stock Exchange Group Page 35
1 Futures on FTSE MIB
2 Mini futures on FTSE MIB
3 Futures on FTSE MIB dividend
4 Call options on FTSE MIB
5 Put options on FTSE MIB
6 Stock futures
7 Stock dividend futures
8 Single stock call options
9 Single stock put options
10Baseload Italian power futures
11Peakload Italian power futures
12Baseload German power futures
13Peakload German power futures
14Durum wheat futures
PRIIPs Regulation (IDEM) (3)
5 October 2017 London Stock Exchange Group Page 36
bull Available as pdf files free of charge in a dedicated webpage
wwwborsaitalianaitderivatikidskidsenhtm
bull File names with a dedicated convention linked to reference data and downloadable also as
wwwborsaitalianaitderivatikids[filename]pdf
bull Available for download via ftp server (MIT 702)
bull Reviewed at least yearly (or in case of changes to contract specs expected payoff fee structure)
bull Available in Italian English Spanish German and French Additional translations will be evaluated in due course
5 October 2017 London Stock Exchange Group Page 37
Member Portal
Antonello Greco
Technical Account Manager
Client Technology Services Italy
RTS 24 - Requirements
5 October 2017 London Stock Exchange Group Page 38
bull Client Identification code Identifier of the Client (Local Person Identifier or
Legal Entity Identifier) for client orders only
bull Investment Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the investment decision
bull Execution Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the execution decision
Long Code ndash Short Code mapping
5 October 2017 London Stock Exchange Group Page 39
Long Code Short Code
Market messages Client ID Investment Decision Maker Executing Trader
Short Codes ndash Reserved values
5 October 2017 London Stock Exchange Group Page 40
bull 0 None Valid for Client ID and Investment Decision ID
bull 1 AGGR where several orders are submitted to the trading venue together as
an aggregated Valid for Client ID only
bull 2 PNAL where a trading participant allocates an order to its client following
submission of the order to the trading venue and has not yet allocated the
order to its client at the time of the submission of the order Valid for Client ID
only
bull 3 CLIENT valid for Execution Decision ID only
Uploading ndash Three options
5 October 2017 London Stock Exchange Group Page 41
A trading firm will manage the short-long code mappings in a new section of the
Member Portal in the following ways
bull Manual insertion
bull Bulk upload through the Member Portal web interface
bull Bulk upload via SFTP server
Uploading ndash Manual insertion
5 October 2017 London Stock Exchange Group Page 42
bull Short Code numerical value between 4 and 232-1
bull Long Code alphanumerical string of 50 characters Expected values are ndash Local Person Identifier
ndash Legal Entity Identifier
ndash Algorithm
bull Identifier Code Type ndash Natural Person
ndash Client LEI
ndash Algorithm
Uploading ndash Bulk upload (12)
5 October 2017 London Stock Exchange Group Page 43
Field Name
Mandatory
Description
Short Code
Y
4 ndash 4294967295
Long Code
Y
50 alphanumeric chars
Identifier Code Type
Y
L Client LEI
N Natural Person
A Algorithm
Notes
N
Free text field
Operation Type
Y
0 New
1 Update
2 Delete
Uploading ndash Bulk upload (22)
5 October 2017 London Stock Exchange Group Page 44
A new record reporting information on the outcome of the upload is displayed
bull Status ndash In Progress Published Published with errors Not Published
bull UserFile the userrsquos original csv
bull ResultFile a txt file containing the number of records added updated deleted
bull ErrorFile a csv file listing the records containing errors An Error Description field
is added to instruct the user of the error
Uploading ndash SFTP server
5 October 2017 London Stock Exchange Group Page 45
bull The csv file has the same layout as the one used to upload through the
member portal web interface
bull The only difference is that the file must have a specific naming convention
- Venue_ShortLongCodes_YYYYMMDD_NNcsv
bull The root folder of the sFTP server is the Firm ID which in turn contains an IN
and an OUT folder with respectively read-write and read only access
bull The IN folder will contain the bulk upload csv file while the OUT folder will
store Results File and Errors File (if one or more records are rejected)
Upload by difference or laquofrom scratchraquo
5 October 2017 London Stock Exchange Group Page 46
When uploading the file the user can choose to
bull insert modify and delete the existing set of short-long codes hence working by
difference
bull replace the whole list of existing short-long codes with the ones included in the
file hence working from scratch Operation Type can only be populated with 0
Constraints
5 October 2017 London Stock Exchange Group Page 47
bull Two different records can not have the same pair ltShort Code Identifier Code
Typegt
bull Local Person Identifier and Legal Identity Identifiers have to be used
respectively to identify a Natural Person and a LEI
bull Following a cancellation the upload of a new record with the same pair ltShort
Code Identifier Code Typegt will be rejected
When uploading mappings
5 October 2017 London Stock Exchange Group Page 48
bull Short CodeLong Code mappings must be uploaded within the market close
(time limit to be defined) of the same day as they are used as part of the
layout of market messages sent to the exchange
bull Trading participants failing to report the records at day T will be notified and
must download the Missing Short Codes report to find out the discrepancies
to be corrected
bull The Missing Short Code report for the day T is available at T+1 and it lists
the discrepancies of the last five working days
Additional Enhancements
5 October 2017 London Stock Exchange Group Page 49
bull Trader IDs
bull Risk Management users for pre-trade validation functionalities (PTV)
bull Self Execution Prevention
bull Market Making Strategies
bull Mass Cancellation
bull Back Office SELECT
bull Position Report as required by RTS 21 - Application of position limits to
commodity derivatives
Go live
5 October 2017 London Stock Exchange Group Page 50
bull The new Member Portal will go-live on November 2017
bull Trading participant will have a one month window to test the upload of
mappings on the Member Portal before the actual MIFID II go live on
January the 3rd
bull No validations on how short codes are used in the layout of market
messages will be performed except for formal integrity checks
bull The User Manual is already available online on both Borsa Italiana and
EuroTLX websites
5 October 2017 London Stock Exchange Group Page 51
TRADEcho
Roberto Fumagalli
Technical Account Manager
Client Technology Services Italy
POST TRADE TRANSPARENCY OBLIGATION
5 October 2017 London Stock Exchange Group Page 52
MiFID I requires customers to publish OTC trades done on equity instruments listed on European regulated markets Consob extended this obligation to all instruments listed on regulated market (including MOT SeDeX ETFPlus and MTS) MiFID II extends the reporting obligation to all instruments (equity and non equity) listed on European regulated markets MTF and OTF The service offered by Borsa Italiana (PTTS service) to fulfill this obligation will close on 27th November 2017 (release of MIT Platform MiFID II version compliant) LSEG will offer Post Trade Transparency facility for OTC trades via TRADEcho
5 October 2017 London Stock Exchange Group Page 53
TRADEcho
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
Legacy CDS
5 October 2017 London Stock Exchange Group Page 26
bull In order to facilitate the testing of software applications and customer
algorithms a new test environment will be provided in parallel to the existing
one starting from Q1 2018
ndash a Legacy CDS will be provided for all the Trading and Market Data services of the Grouprsquos
Trading Venues
ndash the new environment will be continuously aligned with production in terms of Software
Version of Trading and Market Data Systems and Reference Data
Borsa Italiana Post Trade Transparency Service
5 October 2017 London Stock Exchange Group Page 27
bull The existing Borsa Italianarsquos Post Trade Transparency
Service will be discontinued with MiFID II
bull For technical reasons together with the MiFID II technical go-
live (November 27th 2017) it will not be possible to keep
providing the Post Trade Transparency Service
bull LSEG will offer Post Trade Transparency facility for OTC
trades via TRADEcho (see following presentation)
Transaction Reporting (1)
5 October 2017 London Stock Exchange Group Page 28
bull RTS 22 and other RTS do not specify constraints on the
format of the Trading Venue Trade Identification Code
(TVTIC) used by Trading venues apart from
ndash Trade ID should be unique
ndash Trade ID should be an alphanumerical string of maximum 52
characters
bull The MiFID II Transaction Reporting Validation Rules
published by ESMA state that TVTIC must be made of capital
letters and numbers
Transaction Reporting (2)
5 October 2017 London Stock Exchange Group Page 29
bull On MIT Trade ID is unique per Market and is
ndash a 8 bytes number on the NTG interface and on MITCH and GTP
ndash ldquoTrdquo concatenated to an alphanumerical string corresponding to the
above ID base 62 encoded on FIX (Trading Drop Copy and Post
Trade Gateways)
ndash The alphanumerical identifier described above
bull is sent to downstream systems (Post Trading Clearing Settlement)
bull is published in reconciliation reports
bull is currently used for Transaction reporting purposes
bull is a case sensitive alphanumerical string
Transaction Reporting (3)
5 October 2017 London Stock Exchange Group Page 30
bull On SOLA
ndash the currently used Trade ID is a progressive number unique per
instrument
ndash In order to have a unique ID it has been decided to use the above
Trade ID concatenated with the SICO Code (Group ID + Instrument ID)
for Transaction Reporting purposes
ndash The SICO Code is case sensitive therefore the ID made of the
platformrsquos Trade ID concatenated with the SICO Code is a case
sensitive alphanumerical string
Transaction Reporting (4)
5 October 2017 London Stock Exchange Group Page 31
bull We will rely on different TVTICs for Transaction Reporting
purposes using
ndash on MIT the 8 bytes number used on the NTG interface and on MITCH
and GTP asking FIX clients to apply the already documented base 62
decoding algorithm
ndash on SOLA the base 62 decoded version of the identifier described in
the previous slide
bull TVTIC will be provided on Reconciliation Files
Borsa Italiana Transaction Reporting Service
5 October 2017 London Stock Exchange Group Page 32
bull The existing Borsa Italianarsquos Transaction Reporting
Service will close together with the go-live of MiFID II
bull The Transaction Reporting Service will be active until the
introduction of MiFID II on January 3rd 2018
bull LSEG will offer Transaction Reporting facility via UnaVista
another company of LSEG that will apply as ARM (Approved
Reporting Mechanism)
5 October 2017 London Stock Exchange Group Page 33
IDEM Key Information Documents
Enrico Pellizzoni
Head of Italy Equity Markets and Derivatives Products
PRIIPs Regulation (IDEM) (1)
5 October 2017 London Stock Exchange Group Page 34
bull BIt will to produce KIDs (Key Information Documents) for IDEM contracts
bull Borsa Italiana will follow an lsquoaggregated approachrsquo as allowed from recent ESMArsquos QampA 14 KIDs will be produced to describe existing IDEM contracts
bull a KID will identify ISINs sharing the same contract specifications expected payoff and fee structure
ndash call options vs put options on the same contract ndash 2 different KIDs
ndash single name derivatives will have a single aggregated KID for each product category (not for each individual underlying)
ndash weekly expiries are not identified by a separate KID
bull Description of costs will include fees that BIt is charging to its market participants Brokers must inform retail clients about their own costs
PRIIPs Regulation (IDEM) (2)
5 October 2017 London Stock Exchange Group Page 35
1 Futures on FTSE MIB
2 Mini futures on FTSE MIB
3 Futures on FTSE MIB dividend
4 Call options on FTSE MIB
5 Put options on FTSE MIB
6 Stock futures
7 Stock dividend futures
8 Single stock call options
9 Single stock put options
10Baseload Italian power futures
11Peakload Italian power futures
12Baseload German power futures
13Peakload German power futures
14Durum wheat futures
PRIIPs Regulation (IDEM) (3)
5 October 2017 London Stock Exchange Group Page 36
bull Available as pdf files free of charge in a dedicated webpage
wwwborsaitalianaitderivatikidskidsenhtm
bull File names with a dedicated convention linked to reference data and downloadable also as
wwwborsaitalianaitderivatikids[filename]pdf
bull Available for download via ftp server (MIT 702)
bull Reviewed at least yearly (or in case of changes to contract specs expected payoff fee structure)
bull Available in Italian English Spanish German and French Additional translations will be evaluated in due course
5 October 2017 London Stock Exchange Group Page 37
Member Portal
Antonello Greco
Technical Account Manager
Client Technology Services Italy
RTS 24 - Requirements
5 October 2017 London Stock Exchange Group Page 38
bull Client Identification code Identifier of the Client (Local Person Identifier or
Legal Entity Identifier) for client orders only
bull Investment Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the investment decision
bull Execution Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the execution decision
Long Code ndash Short Code mapping
5 October 2017 London Stock Exchange Group Page 39
Long Code Short Code
Market messages Client ID Investment Decision Maker Executing Trader
Short Codes ndash Reserved values
5 October 2017 London Stock Exchange Group Page 40
bull 0 None Valid for Client ID and Investment Decision ID
bull 1 AGGR where several orders are submitted to the trading venue together as
an aggregated Valid for Client ID only
bull 2 PNAL where a trading participant allocates an order to its client following
submission of the order to the trading venue and has not yet allocated the
order to its client at the time of the submission of the order Valid for Client ID
only
bull 3 CLIENT valid for Execution Decision ID only
Uploading ndash Three options
5 October 2017 London Stock Exchange Group Page 41
A trading firm will manage the short-long code mappings in a new section of the
Member Portal in the following ways
bull Manual insertion
bull Bulk upload through the Member Portal web interface
bull Bulk upload via SFTP server
Uploading ndash Manual insertion
5 October 2017 London Stock Exchange Group Page 42
bull Short Code numerical value between 4 and 232-1
bull Long Code alphanumerical string of 50 characters Expected values are ndash Local Person Identifier
ndash Legal Entity Identifier
ndash Algorithm
bull Identifier Code Type ndash Natural Person
ndash Client LEI
ndash Algorithm
Uploading ndash Bulk upload (12)
5 October 2017 London Stock Exchange Group Page 43
Field Name
Mandatory
Description
Short Code
Y
4 ndash 4294967295
Long Code
Y
50 alphanumeric chars
Identifier Code Type
Y
L Client LEI
N Natural Person
A Algorithm
Notes
N
Free text field
Operation Type
Y
0 New
1 Update
2 Delete
Uploading ndash Bulk upload (22)
5 October 2017 London Stock Exchange Group Page 44
A new record reporting information on the outcome of the upload is displayed
bull Status ndash In Progress Published Published with errors Not Published
bull UserFile the userrsquos original csv
bull ResultFile a txt file containing the number of records added updated deleted
bull ErrorFile a csv file listing the records containing errors An Error Description field
is added to instruct the user of the error
Uploading ndash SFTP server
5 October 2017 London Stock Exchange Group Page 45
bull The csv file has the same layout as the one used to upload through the
member portal web interface
bull The only difference is that the file must have a specific naming convention
- Venue_ShortLongCodes_YYYYMMDD_NNcsv
bull The root folder of the sFTP server is the Firm ID which in turn contains an IN
and an OUT folder with respectively read-write and read only access
bull The IN folder will contain the bulk upload csv file while the OUT folder will
store Results File and Errors File (if one or more records are rejected)
Upload by difference or laquofrom scratchraquo
5 October 2017 London Stock Exchange Group Page 46
When uploading the file the user can choose to
bull insert modify and delete the existing set of short-long codes hence working by
difference
bull replace the whole list of existing short-long codes with the ones included in the
file hence working from scratch Operation Type can only be populated with 0
Constraints
5 October 2017 London Stock Exchange Group Page 47
bull Two different records can not have the same pair ltShort Code Identifier Code
Typegt
bull Local Person Identifier and Legal Identity Identifiers have to be used
respectively to identify a Natural Person and a LEI
bull Following a cancellation the upload of a new record with the same pair ltShort
Code Identifier Code Typegt will be rejected
When uploading mappings
5 October 2017 London Stock Exchange Group Page 48
bull Short CodeLong Code mappings must be uploaded within the market close
(time limit to be defined) of the same day as they are used as part of the
layout of market messages sent to the exchange
bull Trading participants failing to report the records at day T will be notified and
must download the Missing Short Codes report to find out the discrepancies
to be corrected
bull The Missing Short Code report for the day T is available at T+1 and it lists
the discrepancies of the last five working days
Additional Enhancements
5 October 2017 London Stock Exchange Group Page 49
bull Trader IDs
bull Risk Management users for pre-trade validation functionalities (PTV)
bull Self Execution Prevention
bull Market Making Strategies
bull Mass Cancellation
bull Back Office SELECT
bull Position Report as required by RTS 21 - Application of position limits to
commodity derivatives
Go live
5 October 2017 London Stock Exchange Group Page 50
bull The new Member Portal will go-live on November 2017
bull Trading participant will have a one month window to test the upload of
mappings on the Member Portal before the actual MIFID II go live on
January the 3rd
bull No validations on how short codes are used in the layout of market
messages will be performed except for formal integrity checks
bull The User Manual is already available online on both Borsa Italiana and
EuroTLX websites
5 October 2017 London Stock Exchange Group Page 51
TRADEcho
Roberto Fumagalli
Technical Account Manager
Client Technology Services Italy
POST TRADE TRANSPARENCY OBLIGATION
5 October 2017 London Stock Exchange Group Page 52
MiFID I requires customers to publish OTC trades done on equity instruments listed on European regulated markets Consob extended this obligation to all instruments listed on regulated market (including MOT SeDeX ETFPlus and MTS) MiFID II extends the reporting obligation to all instruments (equity and non equity) listed on European regulated markets MTF and OTF The service offered by Borsa Italiana (PTTS service) to fulfill this obligation will close on 27th November 2017 (release of MIT Platform MiFID II version compliant) LSEG will offer Post Trade Transparency facility for OTC trades via TRADEcho
5 October 2017 London Stock Exchange Group Page 53
TRADEcho
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
Borsa Italiana Post Trade Transparency Service
5 October 2017 London Stock Exchange Group Page 27
bull The existing Borsa Italianarsquos Post Trade Transparency
Service will be discontinued with MiFID II
bull For technical reasons together with the MiFID II technical go-
live (November 27th 2017) it will not be possible to keep
providing the Post Trade Transparency Service
bull LSEG will offer Post Trade Transparency facility for OTC
trades via TRADEcho (see following presentation)
Transaction Reporting (1)
5 October 2017 London Stock Exchange Group Page 28
bull RTS 22 and other RTS do not specify constraints on the
format of the Trading Venue Trade Identification Code
(TVTIC) used by Trading venues apart from
ndash Trade ID should be unique
ndash Trade ID should be an alphanumerical string of maximum 52
characters
bull The MiFID II Transaction Reporting Validation Rules
published by ESMA state that TVTIC must be made of capital
letters and numbers
Transaction Reporting (2)
5 October 2017 London Stock Exchange Group Page 29
bull On MIT Trade ID is unique per Market and is
ndash a 8 bytes number on the NTG interface and on MITCH and GTP
ndash ldquoTrdquo concatenated to an alphanumerical string corresponding to the
above ID base 62 encoded on FIX (Trading Drop Copy and Post
Trade Gateways)
ndash The alphanumerical identifier described above
bull is sent to downstream systems (Post Trading Clearing Settlement)
bull is published in reconciliation reports
bull is currently used for Transaction reporting purposes
bull is a case sensitive alphanumerical string
Transaction Reporting (3)
5 October 2017 London Stock Exchange Group Page 30
bull On SOLA
ndash the currently used Trade ID is a progressive number unique per
instrument
ndash In order to have a unique ID it has been decided to use the above
Trade ID concatenated with the SICO Code (Group ID + Instrument ID)
for Transaction Reporting purposes
ndash The SICO Code is case sensitive therefore the ID made of the
platformrsquos Trade ID concatenated with the SICO Code is a case
sensitive alphanumerical string
Transaction Reporting (4)
5 October 2017 London Stock Exchange Group Page 31
bull We will rely on different TVTICs for Transaction Reporting
purposes using
ndash on MIT the 8 bytes number used on the NTG interface and on MITCH
and GTP asking FIX clients to apply the already documented base 62
decoding algorithm
ndash on SOLA the base 62 decoded version of the identifier described in
the previous slide
bull TVTIC will be provided on Reconciliation Files
Borsa Italiana Transaction Reporting Service
5 October 2017 London Stock Exchange Group Page 32
bull The existing Borsa Italianarsquos Transaction Reporting
Service will close together with the go-live of MiFID II
bull The Transaction Reporting Service will be active until the
introduction of MiFID II on January 3rd 2018
bull LSEG will offer Transaction Reporting facility via UnaVista
another company of LSEG that will apply as ARM (Approved
Reporting Mechanism)
5 October 2017 London Stock Exchange Group Page 33
IDEM Key Information Documents
Enrico Pellizzoni
Head of Italy Equity Markets and Derivatives Products
PRIIPs Regulation (IDEM) (1)
5 October 2017 London Stock Exchange Group Page 34
bull BIt will to produce KIDs (Key Information Documents) for IDEM contracts
bull Borsa Italiana will follow an lsquoaggregated approachrsquo as allowed from recent ESMArsquos QampA 14 KIDs will be produced to describe existing IDEM contracts
bull a KID will identify ISINs sharing the same contract specifications expected payoff and fee structure
ndash call options vs put options on the same contract ndash 2 different KIDs
ndash single name derivatives will have a single aggregated KID for each product category (not for each individual underlying)
ndash weekly expiries are not identified by a separate KID
bull Description of costs will include fees that BIt is charging to its market participants Brokers must inform retail clients about their own costs
PRIIPs Regulation (IDEM) (2)
5 October 2017 London Stock Exchange Group Page 35
1 Futures on FTSE MIB
2 Mini futures on FTSE MIB
3 Futures on FTSE MIB dividend
4 Call options on FTSE MIB
5 Put options on FTSE MIB
6 Stock futures
7 Stock dividend futures
8 Single stock call options
9 Single stock put options
10Baseload Italian power futures
11Peakload Italian power futures
12Baseload German power futures
13Peakload German power futures
14Durum wheat futures
PRIIPs Regulation (IDEM) (3)
5 October 2017 London Stock Exchange Group Page 36
bull Available as pdf files free of charge in a dedicated webpage
wwwborsaitalianaitderivatikidskidsenhtm
bull File names with a dedicated convention linked to reference data and downloadable also as
wwwborsaitalianaitderivatikids[filename]pdf
bull Available for download via ftp server (MIT 702)
bull Reviewed at least yearly (or in case of changes to contract specs expected payoff fee structure)
bull Available in Italian English Spanish German and French Additional translations will be evaluated in due course
5 October 2017 London Stock Exchange Group Page 37
Member Portal
Antonello Greco
Technical Account Manager
Client Technology Services Italy
RTS 24 - Requirements
5 October 2017 London Stock Exchange Group Page 38
bull Client Identification code Identifier of the Client (Local Person Identifier or
Legal Entity Identifier) for client orders only
bull Investment Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the investment decision
bull Execution Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the execution decision
Long Code ndash Short Code mapping
5 October 2017 London Stock Exchange Group Page 39
Long Code Short Code
Market messages Client ID Investment Decision Maker Executing Trader
Short Codes ndash Reserved values
5 October 2017 London Stock Exchange Group Page 40
bull 0 None Valid for Client ID and Investment Decision ID
bull 1 AGGR where several orders are submitted to the trading venue together as
an aggregated Valid for Client ID only
bull 2 PNAL where a trading participant allocates an order to its client following
submission of the order to the trading venue and has not yet allocated the
order to its client at the time of the submission of the order Valid for Client ID
only
bull 3 CLIENT valid for Execution Decision ID only
Uploading ndash Three options
5 October 2017 London Stock Exchange Group Page 41
A trading firm will manage the short-long code mappings in a new section of the
Member Portal in the following ways
bull Manual insertion
bull Bulk upload through the Member Portal web interface
bull Bulk upload via SFTP server
Uploading ndash Manual insertion
5 October 2017 London Stock Exchange Group Page 42
bull Short Code numerical value between 4 and 232-1
bull Long Code alphanumerical string of 50 characters Expected values are ndash Local Person Identifier
ndash Legal Entity Identifier
ndash Algorithm
bull Identifier Code Type ndash Natural Person
ndash Client LEI
ndash Algorithm
Uploading ndash Bulk upload (12)
5 October 2017 London Stock Exchange Group Page 43
Field Name
Mandatory
Description
Short Code
Y
4 ndash 4294967295
Long Code
Y
50 alphanumeric chars
Identifier Code Type
Y
L Client LEI
N Natural Person
A Algorithm
Notes
N
Free text field
Operation Type
Y
0 New
1 Update
2 Delete
Uploading ndash Bulk upload (22)
5 October 2017 London Stock Exchange Group Page 44
A new record reporting information on the outcome of the upload is displayed
bull Status ndash In Progress Published Published with errors Not Published
bull UserFile the userrsquos original csv
bull ResultFile a txt file containing the number of records added updated deleted
bull ErrorFile a csv file listing the records containing errors An Error Description field
is added to instruct the user of the error
Uploading ndash SFTP server
5 October 2017 London Stock Exchange Group Page 45
bull The csv file has the same layout as the one used to upload through the
member portal web interface
bull The only difference is that the file must have a specific naming convention
- Venue_ShortLongCodes_YYYYMMDD_NNcsv
bull The root folder of the sFTP server is the Firm ID which in turn contains an IN
and an OUT folder with respectively read-write and read only access
bull The IN folder will contain the bulk upload csv file while the OUT folder will
store Results File and Errors File (if one or more records are rejected)
Upload by difference or laquofrom scratchraquo
5 October 2017 London Stock Exchange Group Page 46
When uploading the file the user can choose to
bull insert modify and delete the existing set of short-long codes hence working by
difference
bull replace the whole list of existing short-long codes with the ones included in the
file hence working from scratch Operation Type can only be populated with 0
Constraints
5 October 2017 London Stock Exchange Group Page 47
bull Two different records can not have the same pair ltShort Code Identifier Code
Typegt
bull Local Person Identifier and Legal Identity Identifiers have to be used
respectively to identify a Natural Person and a LEI
bull Following a cancellation the upload of a new record with the same pair ltShort
Code Identifier Code Typegt will be rejected
When uploading mappings
5 October 2017 London Stock Exchange Group Page 48
bull Short CodeLong Code mappings must be uploaded within the market close
(time limit to be defined) of the same day as they are used as part of the
layout of market messages sent to the exchange
bull Trading participants failing to report the records at day T will be notified and
must download the Missing Short Codes report to find out the discrepancies
to be corrected
bull The Missing Short Code report for the day T is available at T+1 and it lists
the discrepancies of the last five working days
Additional Enhancements
5 October 2017 London Stock Exchange Group Page 49
bull Trader IDs
bull Risk Management users for pre-trade validation functionalities (PTV)
bull Self Execution Prevention
bull Market Making Strategies
bull Mass Cancellation
bull Back Office SELECT
bull Position Report as required by RTS 21 - Application of position limits to
commodity derivatives
Go live
5 October 2017 London Stock Exchange Group Page 50
bull The new Member Portal will go-live on November 2017
bull Trading participant will have a one month window to test the upload of
mappings on the Member Portal before the actual MIFID II go live on
January the 3rd
bull No validations on how short codes are used in the layout of market
messages will be performed except for formal integrity checks
bull The User Manual is already available online on both Borsa Italiana and
EuroTLX websites
5 October 2017 London Stock Exchange Group Page 51
TRADEcho
Roberto Fumagalli
Technical Account Manager
Client Technology Services Italy
POST TRADE TRANSPARENCY OBLIGATION
5 October 2017 London Stock Exchange Group Page 52
MiFID I requires customers to publish OTC trades done on equity instruments listed on European regulated markets Consob extended this obligation to all instruments listed on regulated market (including MOT SeDeX ETFPlus and MTS) MiFID II extends the reporting obligation to all instruments (equity and non equity) listed on European regulated markets MTF and OTF The service offered by Borsa Italiana (PTTS service) to fulfill this obligation will close on 27th November 2017 (release of MIT Platform MiFID II version compliant) LSEG will offer Post Trade Transparency facility for OTC trades via TRADEcho
5 October 2017 London Stock Exchange Group Page 53
TRADEcho
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
Transaction Reporting (1)
5 October 2017 London Stock Exchange Group Page 28
bull RTS 22 and other RTS do not specify constraints on the
format of the Trading Venue Trade Identification Code
(TVTIC) used by Trading venues apart from
ndash Trade ID should be unique
ndash Trade ID should be an alphanumerical string of maximum 52
characters
bull The MiFID II Transaction Reporting Validation Rules
published by ESMA state that TVTIC must be made of capital
letters and numbers
Transaction Reporting (2)
5 October 2017 London Stock Exchange Group Page 29
bull On MIT Trade ID is unique per Market and is
ndash a 8 bytes number on the NTG interface and on MITCH and GTP
ndash ldquoTrdquo concatenated to an alphanumerical string corresponding to the
above ID base 62 encoded on FIX (Trading Drop Copy and Post
Trade Gateways)
ndash The alphanumerical identifier described above
bull is sent to downstream systems (Post Trading Clearing Settlement)
bull is published in reconciliation reports
bull is currently used for Transaction reporting purposes
bull is a case sensitive alphanumerical string
Transaction Reporting (3)
5 October 2017 London Stock Exchange Group Page 30
bull On SOLA
ndash the currently used Trade ID is a progressive number unique per
instrument
ndash In order to have a unique ID it has been decided to use the above
Trade ID concatenated with the SICO Code (Group ID + Instrument ID)
for Transaction Reporting purposes
ndash The SICO Code is case sensitive therefore the ID made of the
platformrsquos Trade ID concatenated with the SICO Code is a case
sensitive alphanumerical string
Transaction Reporting (4)
5 October 2017 London Stock Exchange Group Page 31
bull We will rely on different TVTICs for Transaction Reporting
purposes using
ndash on MIT the 8 bytes number used on the NTG interface and on MITCH
and GTP asking FIX clients to apply the already documented base 62
decoding algorithm
ndash on SOLA the base 62 decoded version of the identifier described in
the previous slide
bull TVTIC will be provided on Reconciliation Files
Borsa Italiana Transaction Reporting Service
5 October 2017 London Stock Exchange Group Page 32
bull The existing Borsa Italianarsquos Transaction Reporting
Service will close together with the go-live of MiFID II
bull The Transaction Reporting Service will be active until the
introduction of MiFID II on January 3rd 2018
bull LSEG will offer Transaction Reporting facility via UnaVista
another company of LSEG that will apply as ARM (Approved
Reporting Mechanism)
5 October 2017 London Stock Exchange Group Page 33
IDEM Key Information Documents
Enrico Pellizzoni
Head of Italy Equity Markets and Derivatives Products
PRIIPs Regulation (IDEM) (1)
5 October 2017 London Stock Exchange Group Page 34
bull BIt will to produce KIDs (Key Information Documents) for IDEM contracts
bull Borsa Italiana will follow an lsquoaggregated approachrsquo as allowed from recent ESMArsquos QampA 14 KIDs will be produced to describe existing IDEM contracts
bull a KID will identify ISINs sharing the same contract specifications expected payoff and fee structure
ndash call options vs put options on the same contract ndash 2 different KIDs
ndash single name derivatives will have a single aggregated KID for each product category (not for each individual underlying)
ndash weekly expiries are not identified by a separate KID
bull Description of costs will include fees that BIt is charging to its market participants Brokers must inform retail clients about their own costs
PRIIPs Regulation (IDEM) (2)
5 October 2017 London Stock Exchange Group Page 35
1 Futures on FTSE MIB
2 Mini futures on FTSE MIB
3 Futures on FTSE MIB dividend
4 Call options on FTSE MIB
5 Put options on FTSE MIB
6 Stock futures
7 Stock dividend futures
8 Single stock call options
9 Single stock put options
10Baseload Italian power futures
11Peakload Italian power futures
12Baseload German power futures
13Peakload German power futures
14Durum wheat futures
PRIIPs Regulation (IDEM) (3)
5 October 2017 London Stock Exchange Group Page 36
bull Available as pdf files free of charge in a dedicated webpage
wwwborsaitalianaitderivatikidskidsenhtm
bull File names with a dedicated convention linked to reference data and downloadable also as
wwwborsaitalianaitderivatikids[filename]pdf
bull Available for download via ftp server (MIT 702)
bull Reviewed at least yearly (or in case of changes to contract specs expected payoff fee structure)
bull Available in Italian English Spanish German and French Additional translations will be evaluated in due course
5 October 2017 London Stock Exchange Group Page 37
Member Portal
Antonello Greco
Technical Account Manager
Client Technology Services Italy
RTS 24 - Requirements
5 October 2017 London Stock Exchange Group Page 38
bull Client Identification code Identifier of the Client (Local Person Identifier or
Legal Entity Identifier) for client orders only
bull Investment Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the investment decision
bull Execution Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the execution decision
Long Code ndash Short Code mapping
5 October 2017 London Stock Exchange Group Page 39
Long Code Short Code
Market messages Client ID Investment Decision Maker Executing Trader
Short Codes ndash Reserved values
5 October 2017 London Stock Exchange Group Page 40
bull 0 None Valid for Client ID and Investment Decision ID
bull 1 AGGR where several orders are submitted to the trading venue together as
an aggregated Valid for Client ID only
bull 2 PNAL where a trading participant allocates an order to its client following
submission of the order to the trading venue and has not yet allocated the
order to its client at the time of the submission of the order Valid for Client ID
only
bull 3 CLIENT valid for Execution Decision ID only
Uploading ndash Three options
5 October 2017 London Stock Exchange Group Page 41
A trading firm will manage the short-long code mappings in a new section of the
Member Portal in the following ways
bull Manual insertion
bull Bulk upload through the Member Portal web interface
bull Bulk upload via SFTP server
Uploading ndash Manual insertion
5 October 2017 London Stock Exchange Group Page 42
bull Short Code numerical value between 4 and 232-1
bull Long Code alphanumerical string of 50 characters Expected values are ndash Local Person Identifier
ndash Legal Entity Identifier
ndash Algorithm
bull Identifier Code Type ndash Natural Person
ndash Client LEI
ndash Algorithm
Uploading ndash Bulk upload (12)
5 October 2017 London Stock Exchange Group Page 43
Field Name
Mandatory
Description
Short Code
Y
4 ndash 4294967295
Long Code
Y
50 alphanumeric chars
Identifier Code Type
Y
L Client LEI
N Natural Person
A Algorithm
Notes
N
Free text field
Operation Type
Y
0 New
1 Update
2 Delete
Uploading ndash Bulk upload (22)
5 October 2017 London Stock Exchange Group Page 44
A new record reporting information on the outcome of the upload is displayed
bull Status ndash In Progress Published Published with errors Not Published
bull UserFile the userrsquos original csv
bull ResultFile a txt file containing the number of records added updated deleted
bull ErrorFile a csv file listing the records containing errors An Error Description field
is added to instruct the user of the error
Uploading ndash SFTP server
5 October 2017 London Stock Exchange Group Page 45
bull The csv file has the same layout as the one used to upload through the
member portal web interface
bull The only difference is that the file must have a specific naming convention
- Venue_ShortLongCodes_YYYYMMDD_NNcsv
bull The root folder of the sFTP server is the Firm ID which in turn contains an IN
and an OUT folder with respectively read-write and read only access
bull The IN folder will contain the bulk upload csv file while the OUT folder will
store Results File and Errors File (if one or more records are rejected)
Upload by difference or laquofrom scratchraquo
5 October 2017 London Stock Exchange Group Page 46
When uploading the file the user can choose to
bull insert modify and delete the existing set of short-long codes hence working by
difference
bull replace the whole list of existing short-long codes with the ones included in the
file hence working from scratch Operation Type can only be populated with 0
Constraints
5 October 2017 London Stock Exchange Group Page 47
bull Two different records can not have the same pair ltShort Code Identifier Code
Typegt
bull Local Person Identifier and Legal Identity Identifiers have to be used
respectively to identify a Natural Person and a LEI
bull Following a cancellation the upload of a new record with the same pair ltShort
Code Identifier Code Typegt will be rejected
When uploading mappings
5 October 2017 London Stock Exchange Group Page 48
bull Short CodeLong Code mappings must be uploaded within the market close
(time limit to be defined) of the same day as they are used as part of the
layout of market messages sent to the exchange
bull Trading participants failing to report the records at day T will be notified and
must download the Missing Short Codes report to find out the discrepancies
to be corrected
bull The Missing Short Code report for the day T is available at T+1 and it lists
the discrepancies of the last five working days
Additional Enhancements
5 October 2017 London Stock Exchange Group Page 49
bull Trader IDs
bull Risk Management users for pre-trade validation functionalities (PTV)
bull Self Execution Prevention
bull Market Making Strategies
bull Mass Cancellation
bull Back Office SELECT
bull Position Report as required by RTS 21 - Application of position limits to
commodity derivatives
Go live
5 October 2017 London Stock Exchange Group Page 50
bull The new Member Portal will go-live on November 2017
bull Trading participant will have a one month window to test the upload of
mappings on the Member Portal before the actual MIFID II go live on
January the 3rd
bull No validations on how short codes are used in the layout of market
messages will be performed except for formal integrity checks
bull The User Manual is already available online on both Borsa Italiana and
EuroTLX websites
5 October 2017 London Stock Exchange Group Page 51
TRADEcho
Roberto Fumagalli
Technical Account Manager
Client Technology Services Italy
POST TRADE TRANSPARENCY OBLIGATION
5 October 2017 London Stock Exchange Group Page 52
MiFID I requires customers to publish OTC trades done on equity instruments listed on European regulated markets Consob extended this obligation to all instruments listed on regulated market (including MOT SeDeX ETFPlus and MTS) MiFID II extends the reporting obligation to all instruments (equity and non equity) listed on European regulated markets MTF and OTF The service offered by Borsa Italiana (PTTS service) to fulfill this obligation will close on 27th November 2017 (release of MIT Platform MiFID II version compliant) LSEG will offer Post Trade Transparency facility for OTC trades via TRADEcho
5 October 2017 London Stock Exchange Group Page 53
TRADEcho
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
Transaction Reporting (2)
5 October 2017 London Stock Exchange Group Page 29
bull On MIT Trade ID is unique per Market and is
ndash a 8 bytes number on the NTG interface and on MITCH and GTP
ndash ldquoTrdquo concatenated to an alphanumerical string corresponding to the
above ID base 62 encoded on FIX (Trading Drop Copy and Post
Trade Gateways)
ndash The alphanumerical identifier described above
bull is sent to downstream systems (Post Trading Clearing Settlement)
bull is published in reconciliation reports
bull is currently used for Transaction reporting purposes
bull is a case sensitive alphanumerical string
Transaction Reporting (3)
5 October 2017 London Stock Exchange Group Page 30
bull On SOLA
ndash the currently used Trade ID is a progressive number unique per
instrument
ndash In order to have a unique ID it has been decided to use the above
Trade ID concatenated with the SICO Code (Group ID + Instrument ID)
for Transaction Reporting purposes
ndash The SICO Code is case sensitive therefore the ID made of the
platformrsquos Trade ID concatenated with the SICO Code is a case
sensitive alphanumerical string
Transaction Reporting (4)
5 October 2017 London Stock Exchange Group Page 31
bull We will rely on different TVTICs for Transaction Reporting
purposes using
ndash on MIT the 8 bytes number used on the NTG interface and on MITCH
and GTP asking FIX clients to apply the already documented base 62
decoding algorithm
ndash on SOLA the base 62 decoded version of the identifier described in
the previous slide
bull TVTIC will be provided on Reconciliation Files
Borsa Italiana Transaction Reporting Service
5 October 2017 London Stock Exchange Group Page 32
bull The existing Borsa Italianarsquos Transaction Reporting
Service will close together with the go-live of MiFID II
bull The Transaction Reporting Service will be active until the
introduction of MiFID II on January 3rd 2018
bull LSEG will offer Transaction Reporting facility via UnaVista
another company of LSEG that will apply as ARM (Approved
Reporting Mechanism)
5 October 2017 London Stock Exchange Group Page 33
IDEM Key Information Documents
Enrico Pellizzoni
Head of Italy Equity Markets and Derivatives Products
PRIIPs Regulation (IDEM) (1)
5 October 2017 London Stock Exchange Group Page 34
bull BIt will to produce KIDs (Key Information Documents) for IDEM contracts
bull Borsa Italiana will follow an lsquoaggregated approachrsquo as allowed from recent ESMArsquos QampA 14 KIDs will be produced to describe existing IDEM contracts
bull a KID will identify ISINs sharing the same contract specifications expected payoff and fee structure
ndash call options vs put options on the same contract ndash 2 different KIDs
ndash single name derivatives will have a single aggregated KID for each product category (not for each individual underlying)
ndash weekly expiries are not identified by a separate KID
bull Description of costs will include fees that BIt is charging to its market participants Brokers must inform retail clients about their own costs
PRIIPs Regulation (IDEM) (2)
5 October 2017 London Stock Exchange Group Page 35
1 Futures on FTSE MIB
2 Mini futures on FTSE MIB
3 Futures on FTSE MIB dividend
4 Call options on FTSE MIB
5 Put options on FTSE MIB
6 Stock futures
7 Stock dividend futures
8 Single stock call options
9 Single stock put options
10Baseload Italian power futures
11Peakload Italian power futures
12Baseload German power futures
13Peakload German power futures
14Durum wheat futures
PRIIPs Regulation (IDEM) (3)
5 October 2017 London Stock Exchange Group Page 36
bull Available as pdf files free of charge in a dedicated webpage
wwwborsaitalianaitderivatikidskidsenhtm
bull File names with a dedicated convention linked to reference data and downloadable also as
wwwborsaitalianaitderivatikids[filename]pdf
bull Available for download via ftp server (MIT 702)
bull Reviewed at least yearly (or in case of changes to contract specs expected payoff fee structure)
bull Available in Italian English Spanish German and French Additional translations will be evaluated in due course
5 October 2017 London Stock Exchange Group Page 37
Member Portal
Antonello Greco
Technical Account Manager
Client Technology Services Italy
RTS 24 - Requirements
5 October 2017 London Stock Exchange Group Page 38
bull Client Identification code Identifier of the Client (Local Person Identifier or
Legal Entity Identifier) for client orders only
bull Investment Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the investment decision
bull Execution Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the execution decision
Long Code ndash Short Code mapping
5 October 2017 London Stock Exchange Group Page 39
Long Code Short Code
Market messages Client ID Investment Decision Maker Executing Trader
Short Codes ndash Reserved values
5 October 2017 London Stock Exchange Group Page 40
bull 0 None Valid for Client ID and Investment Decision ID
bull 1 AGGR where several orders are submitted to the trading venue together as
an aggregated Valid for Client ID only
bull 2 PNAL where a trading participant allocates an order to its client following
submission of the order to the trading venue and has not yet allocated the
order to its client at the time of the submission of the order Valid for Client ID
only
bull 3 CLIENT valid for Execution Decision ID only
Uploading ndash Three options
5 October 2017 London Stock Exchange Group Page 41
A trading firm will manage the short-long code mappings in a new section of the
Member Portal in the following ways
bull Manual insertion
bull Bulk upload through the Member Portal web interface
bull Bulk upload via SFTP server
Uploading ndash Manual insertion
5 October 2017 London Stock Exchange Group Page 42
bull Short Code numerical value between 4 and 232-1
bull Long Code alphanumerical string of 50 characters Expected values are ndash Local Person Identifier
ndash Legal Entity Identifier
ndash Algorithm
bull Identifier Code Type ndash Natural Person
ndash Client LEI
ndash Algorithm
Uploading ndash Bulk upload (12)
5 October 2017 London Stock Exchange Group Page 43
Field Name
Mandatory
Description
Short Code
Y
4 ndash 4294967295
Long Code
Y
50 alphanumeric chars
Identifier Code Type
Y
L Client LEI
N Natural Person
A Algorithm
Notes
N
Free text field
Operation Type
Y
0 New
1 Update
2 Delete
Uploading ndash Bulk upload (22)
5 October 2017 London Stock Exchange Group Page 44
A new record reporting information on the outcome of the upload is displayed
bull Status ndash In Progress Published Published with errors Not Published
bull UserFile the userrsquos original csv
bull ResultFile a txt file containing the number of records added updated deleted
bull ErrorFile a csv file listing the records containing errors An Error Description field
is added to instruct the user of the error
Uploading ndash SFTP server
5 October 2017 London Stock Exchange Group Page 45
bull The csv file has the same layout as the one used to upload through the
member portal web interface
bull The only difference is that the file must have a specific naming convention
- Venue_ShortLongCodes_YYYYMMDD_NNcsv
bull The root folder of the sFTP server is the Firm ID which in turn contains an IN
and an OUT folder with respectively read-write and read only access
bull The IN folder will contain the bulk upload csv file while the OUT folder will
store Results File and Errors File (if one or more records are rejected)
Upload by difference or laquofrom scratchraquo
5 October 2017 London Stock Exchange Group Page 46
When uploading the file the user can choose to
bull insert modify and delete the existing set of short-long codes hence working by
difference
bull replace the whole list of existing short-long codes with the ones included in the
file hence working from scratch Operation Type can only be populated with 0
Constraints
5 October 2017 London Stock Exchange Group Page 47
bull Two different records can not have the same pair ltShort Code Identifier Code
Typegt
bull Local Person Identifier and Legal Identity Identifiers have to be used
respectively to identify a Natural Person and a LEI
bull Following a cancellation the upload of a new record with the same pair ltShort
Code Identifier Code Typegt will be rejected
When uploading mappings
5 October 2017 London Stock Exchange Group Page 48
bull Short CodeLong Code mappings must be uploaded within the market close
(time limit to be defined) of the same day as they are used as part of the
layout of market messages sent to the exchange
bull Trading participants failing to report the records at day T will be notified and
must download the Missing Short Codes report to find out the discrepancies
to be corrected
bull The Missing Short Code report for the day T is available at T+1 and it lists
the discrepancies of the last five working days
Additional Enhancements
5 October 2017 London Stock Exchange Group Page 49
bull Trader IDs
bull Risk Management users for pre-trade validation functionalities (PTV)
bull Self Execution Prevention
bull Market Making Strategies
bull Mass Cancellation
bull Back Office SELECT
bull Position Report as required by RTS 21 - Application of position limits to
commodity derivatives
Go live
5 October 2017 London Stock Exchange Group Page 50
bull The new Member Portal will go-live on November 2017
bull Trading participant will have a one month window to test the upload of
mappings on the Member Portal before the actual MIFID II go live on
January the 3rd
bull No validations on how short codes are used in the layout of market
messages will be performed except for formal integrity checks
bull The User Manual is already available online on both Borsa Italiana and
EuroTLX websites
5 October 2017 London Stock Exchange Group Page 51
TRADEcho
Roberto Fumagalli
Technical Account Manager
Client Technology Services Italy
POST TRADE TRANSPARENCY OBLIGATION
5 October 2017 London Stock Exchange Group Page 52
MiFID I requires customers to publish OTC trades done on equity instruments listed on European regulated markets Consob extended this obligation to all instruments listed on regulated market (including MOT SeDeX ETFPlus and MTS) MiFID II extends the reporting obligation to all instruments (equity and non equity) listed on European regulated markets MTF and OTF The service offered by Borsa Italiana (PTTS service) to fulfill this obligation will close on 27th November 2017 (release of MIT Platform MiFID II version compliant) LSEG will offer Post Trade Transparency facility for OTC trades via TRADEcho
5 October 2017 London Stock Exchange Group Page 53
TRADEcho
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
Transaction Reporting (3)
5 October 2017 London Stock Exchange Group Page 30
bull On SOLA
ndash the currently used Trade ID is a progressive number unique per
instrument
ndash In order to have a unique ID it has been decided to use the above
Trade ID concatenated with the SICO Code (Group ID + Instrument ID)
for Transaction Reporting purposes
ndash The SICO Code is case sensitive therefore the ID made of the
platformrsquos Trade ID concatenated with the SICO Code is a case
sensitive alphanumerical string
Transaction Reporting (4)
5 October 2017 London Stock Exchange Group Page 31
bull We will rely on different TVTICs for Transaction Reporting
purposes using
ndash on MIT the 8 bytes number used on the NTG interface and on MITCH
and GTP asking FIX clients to apply the already documented base 62
decoding algorithm
ndash on SOLA the base 62 decoded version of the identifier described in
the previous slide
bull TVTIC will be provided on Reconciliation Files
Borsa Italiana Transaction Reporting Service
5 October 2017 London Stock Exchange Group Page 32
bull The existing Borsa Italianarsquos Transaction Reporting
Service will close together with the go-live of MiFID II
bull The Transaction Reporting Service will be active until the
introduction of MiFID II on January 3rd 2018
bull LSEG will offer Transaction Reporting facility via UnaVista
another company of LSEG that will apply as ARM (Approved
Reporting Mechanism)
5 October 2017 London Stock Exchange Group Page 33
IDEM Key Information Documents
Enrico Pellizzoni
Head of Italy Equity Markets and Derivatives Products
PRIIPs Regulation (IDEM) (1)
5 October 2017 London Stock Exchange Group Page 34
bull BIt will to produce KIDs (Key Information Documents) for IDEM contracts
bull Borsa Italiana will follow an lsquoaggregated approachrsquo as allowed from recent ESMArsquos QampA 14 KIDs will be produced to describe existing IDEM contracts
bull a KID will identify ISINs sharing the same contract specifications expected payoff and fee structure
ndash call options vs put options on the same contract ndash 2 different KIDs
ndash single name derivatives will have a single aggregated KID for each product category (not for each individual underlying)
ndash weekly expiries are not identified by a separate KID
bull Description of costs will include fees that BIt is charging to its market participants Brokers must inform retail clients about their own costs
PRIIPs Regulation (IDEM) (2)
5 October 2017 London Stock Exchange Group Page 35
1 Futures on FTSE MIB
2 Mini futures on FTSE MIB
3 Futures on FTSE MIB dividend
4 Call options on FTSE MIB
5 Put options on FTSE MIB
6 Stock futures
7 Stock dividend futures
8 Single stock call options
9 Single stock put options
10Baseload Italian power futures
11Peakload Italian power futures
12Baseload German power futures
13Peakload German power futures
14Durum wheat futures
PRIIPs Regulation (IDEM) (3)
5 October 2017 London Stock Exchange Group Page 36
bull Available as pdf files free of charge in a dedicated webpage
wwwborsaitalianaitderivatikidskidsenhtm
bull File names with a dedicated convention linked to reference data and downloadable also as
wwwborsaitalianaitderivatikids[filename]pdf
bull Available for download via ftp server (MIT 702)
bull Reviewed at least yearly (or in case of changes to contract specs expected payoff fee structure)
bull Available in Italian English Spanish German and French Additional translations will be evaluated in due course
5 October 2017 London Stock Exchange Group Page 37
Member Portal
Antonello Greco
Technical Account Manager
Client Technology Services Italy
RTS 24 - Requirements
5 October 2017 London Stock Exchange Group Page 38
bull Client Identification code Identifier of the Client (Local Person Identifier or
Legal Entity Identifier) for client orders only
bull Investment Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the investment decision
bull Execution Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the execution decision
Long Code ndash Short Code mapping
5 October 2017 London Stock Exchange Group Page 39
Long Code Short Code
Market messages Client ID Investment Decision Maker Executing Trader
Short Codes ndash Reserved values
5 October 2017 London Stock Exchange Group Page 40
bull 0 None Valid for Client ID and Investment Decision ID
bull 1 AGGR where several orders are submitted to the trading venue together as
an aggregated Valid for Client ID only
bull 2 PNAL where a trading participant allocates an order to its client following
submission of the order to the trading venue and has not yet allocated the
order to its client at the time of the submission of the order Valid for Client ID
only
bull 3 CLIENT valid for Execution Decision ID only
Uploading ndash Three options
5 October 2017 London Stock Exchange Group Page 41
A trading firm will manage the short-long code mappings in a new section of the
Member Portal in the following ways
bull Manual insertion
bull Bulk upload through the Member Portal web interface
bull Bulk upload via SFTP server
Uploading ndash Manual insertion
5 October 2017 London Stock Exchange Group Page 42
bull Short Code numerical value between 4 and 232-1
bull Long Code alphanumerical string of 50 characters Expected values are ndash Local Person Identifier
ndash Legal Entity Identifier
ndash Algorithm
bull Identifier Code Type ndash Natural Person
ndash Client LEI
ndash Algorithm
Uploading ndash Bulk upload (12)
5 October 2017 London Stock Exchange Group Page 43
Field Name
Mandatory
Description
Short Code
Y
4 ndash 4294967295
Long Code
Y
50 alphanumeric chars
Identifier Code Type
Y
L Client LEI
N Natural Person
A Algorithm
Notes
N
Free text field
Operation Type
Y
0 New
1 Update
2 Delete
Uploading ndash Bulk upload (22)
5 October 2017 London Stock Exchange Group Page 44
A new record reporting information on the outcome of the upload is displayed
bull Status ndash In Progress Published Published with errors Not Published
bull UserFile the userrsquos original csv
bull ResultFile a txt file containing the number of records added updated deleted
bull ErrorFile a csv file listing the records containing errors An Error Description field
is added to instruct the user of the error
Uploading ndash SFTP server
5 October 2017 London Stock Exchange Group Page 45
bull The csv file has the same layout as the one used to upload through the
member portal web interface
bull The only difference is that the file must have a specific naming convention
- Venue_ShortLongCodes_YYYYMMDD_NNcsv
bull The root folder of the sFTP server is the Firm ID which in turn contains an IN
and an OUT folder with respectively read-write and read only access
bull The IN folder will contain the bulk upload csv file while the OUT folder will
store Results File and Errors File (if one or more records are rejected)
Upload by difference or laquofrom scratchraquo
5 October 2017 London Stock Exchange Group Page 46
When uploading the file the user can choose to
bull insert modify and delete the existing set of short-long codes hence working by
difference
bull replace the whole list of existing short-long codes with the ones included in the
file hence working from scratch Operation Type can only be populated with 0
Constraints
5 October 2017 London Stock Exchange Group Page 47
bull Two different records can not have the same pair ltShort Code Identifier Code
Typegt
bull Local Person Identifier and Legal Identity Identifiers have to be used
respectively to identify a Natural Person and a LEI
bull Following a cancellation the upload of a new record with the same pair ltShort
Code Identifier Code Typegt will be rejected
When uploading mappings
5 October 2017 London Stock Exchange Group Page 48
bull Short CodeLong Code mappings must be uploaded within the market close
(time limit to be defined) of the same day as they are used as part of the
layout of market messages sent to the exchange
bull Trading participants failing to report the records at day T will be notified and
must download the Missing Short Codes report to find out the discrepancies
to be corrected
bull The Missing Short Code report for the day T is available at T+1 and it lists
the discrepancies of the last five working days
Additional Enhancements
5 October 2017 London Stock Exchange Group Page 49
bull Trader IDs
bull Risk Management users for pre-trade validation functionalities (PTV)
bull Self Execution Prevention
bull Market Making Strategies
bull Mass Cancellation
bull Back Office SELECT
bull Position Report as required by RTS 21 - Application of position limits to
commodity derivatives
Go live
5 October 2017 London Stock Exchange Group Page 50
bull The new Member Portal will go-live on November 2017
bull Trading participant will have a one month window to test the upload of
mappings on the Member Portal before the actual MIFID II go live on
January the 3rd
bull No validations on how short codes are used in the layout of market
messages will be performed except for formal integrity checks
bull The User Manual is already available online on both Borsa Italiana and
EuroTLX websites
5 October 2017 London Stock Exchange Group Page 51
TRADEcho
Roberto Fumagalli
Technical Account Manager
Client Technology Services Italy
POST TRADE TRANSPARENCY OBLIGATION
5 October 2017 London Stock Exchange Group Page 52
MiFID I requires customers to publish OTC trades done on equity instruments listed on European regulated markets Consob extended this obligation to all instruments listed on regulated market (including MOT SeDeX ETFPlus and MTS) MiFID II extends the reporting obligation to all instruments (equity and non equity) listed on European regulated markets MTF and OTF The service offered by Borsa Italiana (PTTS service) to fulfill this obligation will close on 27th November 2017 (release of MIT Platform MiFID II version compliant) LSEG will offer Post Trade Transparency facility for OTC trades via TRADEcho
5 October 2017 London Stock Exchange Group Page 53
TRADEcho
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
Transaction Reporting (4)
5 October 2017 London Stock Exchange Group Page 31
bull We will rely on different TVTICs for Transaction Reporting
purposes using
ndash on MIT the 8 bytes number used on the NTG interface and on MITCH
and GTP asking FIX clients to apply the already documented base 62
decoding algorithm
ndash on SOLA the base 62 decoded version of the identifier described in
the previous slide
bull TVTIC will be provided on Reconciliation Files
Borsa Italiana Transaction Reporting Service
5 October 2017 London Stock Exchange Group Page 32
bull The existing Borsa Italianarsquos Transaction Reporting
Service will close together with the go-live of MiFID II
bull The Transaction Reporting Service will be active until the
introduction of MiFID II on January 3rd 2018
bull LSEG will offer Transaction Reporting facility via UnaVista
another company of LSEG that will apply as ARM (Approved
Reporting Mechanism)
5 October 2017 London Stock Exchange Group Page 33
IDEM Key Information Documents
Enrico Pellizzoni
Head of Italy Equity Markets and Derivatives Products
PRIIPs Regulation (IDEM) (1)
5 October 2017 London Stock Exchange Group Page 34
bull BIt will to produce KIDs (Key Information Documents) for IDEM contracts
bull Borsa Italiana will follow an lsquoaggregated approachrsquo as allowed from recent ESMArsquos QampA 14 KIDs will be produced to describe existing IDEM contracts
bull a KID will identify ISINs sharing the same contract specifications expected payoff and fee structure
ndash call options vs put options on the same contract ndash 2 different KIDs
ndash single name derivatives will have a single aggregated KID for each product category (not for each individual underlying)
ndash weekly expiries are not identified by a separate KID
bull Description of costs will include fees that BIt is charging to its market participants Brokers must inform retail clients about their own costs
PRIIPs Regulation (IDEM) (2)
5 October 2017 London Stock Exchange Group Page 35
1 Futures on FTSE MIB
2 Mini futures on FTSE MIB
3 Futures on FTSE MIB dividend
4 Call options on FTSE MIB
5 Put options on FTSE MIB
6 Stock futures
7 Stock dividend futures
8 Single stock call options
9 Single stock put options
10Baseload Italian power futures
11Peakload Italian power futures
12Baseload German power futures
13Peakload German power futures
14Durum wheat futures
PRIIPs Regulation (IDEM) (3)
5 October 2017 London Stock Exchange Group Page 36
bull Available as pdf files free of charge in a dedicated webpage
wwwborsaitalianaitderivatikidskidsenhtm
bull File names with a dedicated convention linked to reference data and downloadable also as
wwwborsaitalianaitderivatikids[filename]pdf
bull Available for download via ftp server (MIT 702)
bull Reviewed at least yearly (or in case of changes to contract specs expected payoff fee structure)
bull Available in Italian English Spanish German and French Additional translations will be evaluated in due course
5 October 2017 London Stock Exchange Group Page 37
Member Portal
Antonello Greco
Technical Account Manager
Client Technology Services Italy
RTS 24 - Requirements
5 October 2017 London Stock Exchange Group Page 38
bull Client Identification code Identifier of the Client (Local Person Identifier or
Legal Entity Identifier) for client orders only
bull Investment Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the investment decision
bull Execution Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the execution decision
Long Code ndash Short Code mapping
5 October 2017 London Stock Exchange Group Page 39
Long Code Short Code
Market messages Client ID Investment Decision Maker Executing Trader
Short Codes ndash Reserved values
5 October 2017 London Stock Exchange Group Page 40
bull 0 None Valid for Client ID and Investment Decision ID
bull 1 AGGR where several orders are submitted to the trading venue together as
an aggregated Valid for Client ID only
bull 2 PNAL where a trading participant allocates an order to its client following
submission of the order to the trading venue and has not yet allocated the
order to its client at the time of the submission of the order Valid for Client ID
only
bull 3 CLIENT valid for Execution Decision ID only
Uploading ndash Three options
5 October 2017 London Stock Exchange Group Page 41
A trading firm will manage the short-long code mappings in a new section of the
Member Portal in the following ways
bull Manual insertion
bull Bulk upload through the Member Portal web interface
bull Bulk upload via SFTP server
Uploading ndash Manual insertion
5 October 2017 London Stock Exchange Group Page 42
bull Short Code numerical value between 4 and 232-1
bull Long Code alphanumerical string of 50 characters Expected values are ndash Local Person Identifier
ndash Legal Entity Identifier
ndash Algorithm
bull Identifier Code Type ndash Natural Person
ndash Client LEI
ndash Algorithm
Uploading ndash Bulk upload (12)
5 October 2017 London Stock Exchange Group Page 43
Field Name
Mandatory
Description
Short Code
Y
4 ndash 4294967295
Long Code
Y
50 alphanumeric chars
Identifier Code Type
Y
L Client LEI
N Natural Person
A Algorithm
Notes
N
Free text field
Operation Type
Y
0 New
1 Update
2 Delete
Uploading ndash Bulk upload (22)
5 October 2017 London Stock Exchange Group Page 44
A new record reporting information on the outcome of the upload is displayed
bull Status ndash In Progress Published Published with errors Not Published
bull UserFile the userrsquos original csv
bull ResultFile a txt file containing the number of records added updated deleted
bull ErrorFile a csv file listing the records containing errors An Error Description field
is added to instruct the user of the error
Uploading ndash SFTP server
5 October 2017 London Stock Exchange Group Page 45
bull The csv file has the same layout as the one used to upload through the
member portal web interface
bull The only difference is that the file must have a specific naming convention
- Venue_ShortLongCodes_YYYYMMDD_NNcsv
bull The root folder of the sFTP server is the Firm ID which in turn contains an IN
and an OUT folder with respectively read-write and read only access
bull The IN folder will contain the bulk upload csv file while the OUT folder will
store Results File and Errors File (if one or more records are rejected)
Upload by difference or laquofrom scratchraquo
5 October 2017 London Stock Exchange Group Page 46
When uploading the file the user can choose to
bull insert modify and delete the existing set of short-long codes hence working by
difference
bull replace the whole list of existing short-long codes with the ones included in the
file hence working from scratch Operation Type can only be populated with 0
Constraints
5 October 2017 London Stock Exchange Group Page 47
bull Two different records can not have the same pair ltShort Code Identifier Code
Typegt
bull Local Person Identifier and Legal Identity Identifiers have to be used
respectively to identify a Natural Person and a LEI
bull Following a cancellation the upload of a new record with the same pair ltShort
Code Identifier Code Typegt will be rejected
When uploading mappings
5 October 2017 London Stock Exchange Group Page 48
bull Short CodeLong Code mappings must be uploaded within the market close
(time limit to be defined) of the same day as they are used as part of the
layout of market messages sent to the exchange
bull Trading participants failing to report the records at day T will be notified and
must download the Missing Short Codes report to find out the discrepancies
to be corrected
bull The Missing Short Code report for the day T is available at T+1 and it lists
the discrepancies of the last five working days
Additional Enhancements
5 October 2017 London Stock Exchange Group Page 49
bull Trader IDs
bull Risk Management users for pre-trade validation functionalities (PTV)
bull Self Execution Prevention
bull Market Making Strategies
bull Mass Cancellation
bull Back Office SELECT
bull Position Report as required by RTS 21 - Application of position limits to
commodity derivatives
Go live
5 October 2017 London Stock Exchange Group Page 50
bull The new Member Portal will go-live on November 2017
bull Trading participant will have a one month window to test the upload of
mappings on the Member Portal before the actual MIFID II go live on
January the 3rd
bull No validations on how short codes are used in the layout of market
messages will be performed except for formal integrity checks
bull The User Manual is already available online on both Borsa Italiana and
EuroTLX websites
5 October 2017 London Stock Exchange Group Page 51
TRADEcho
Roberto Fumagalli
Technical Account Manager
Client Technology Services Italy
POST TRADE TRANSPARENCY OBLIGATION
5 October 2017 London Stock Exchange Group Page 52
MiFID I requires customers to publish OTC trades done on equity instruments listed on European regulated markets Consob extended this obligation to all instruments listed on regulated market (including MOT SeDeX ETFPlus and MTS) MiFID II extends the reporting obligation to all instruments (equity and non equity) listed on European regulated markets MTF and OTF The service offered by Borsa Italiana (PTTS service) to fulfill this obligation will close on 27th November 2017 (release of MIT Platform MiFID II version compliant) LSEG will offer Post Trade Transparency facility for OTC trades via TRADEcho
5 October 2017 London Stock Exchange Group Page 53
TRADEcho
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
Borsa Italiana Transaction Reporting Service
5 October 2017 London Stock Exchange Group Page 32
bull The existing Borsa Italianarsquos Transaction Reporting
Service will close together with the go-live of MiFID II
bull The Transaction Reporting Service will be active until the
introduction of MiFID II on January 3rd 2018
bull LSEG will offer Transaction Reporting facility via UnaVista
another company of LSEG that will apply as ARM (Approved
Reporting Mechanism)
5 October 2017 London Stock Exchange Group Page 33
IDEM Key Information Documents
Enrico Pellizzoni
Head of Italy Equity Markets and Derivatives Products
PRIIPs Regulation (IDEM) (1)
5 October 2017 London Stock Exchange Group Page 34
bull BIt will to produce KIDs (Key Information Documents) for IDEM contracts
bull Borsa Italiana will follow an lsquoaggregated approachrsquo as allowed from recent ESMArsquos QampA 14 KIDs will be produced to describe existing IDEM contracts
bull a KID will identify ISINs sharing the same contract specifications expected payoff and fee structure
ndash call options vs put options on the same contract ndash 2 different KIDs
ndash single name derivatives will have a single aggregated KID for each product category (not for each individual underlying)
ndash weekly expiries are not identified by a separate KID
bull Description of costs will include fees that BIt is charging to its market participants Brokers must inform retail clients about their own costs
PRIIPs Regulation (IDEM) (2)
5 October 2017 London Stock Exchange Group Page 35
1 Futures on FTSE MIB
2 Mini futures on FTSE MIB
3 Futures on FTSE MIB dividend
4 Call options on FTSE MIB
5 Put options on FTSE MIB
6 Stock futures
7 Stock dividend futures
8 Single stock call options
9 Single stock put options
10Baseload Italian power futures
11Peakload Italian power futures
12Baseload German power futures
13Peakload German power futures
14Durum wheat futures
PRIIPs Regulation (IDEM) (3)
5 October 2017 London Stock Exchange Group Page 36
bull Available as pdf files free of charge in a dedicated webpage
wwwborsaitalianaitderivatikidskidsenhtm
bull File names with a dedicated convention linked to reference data and downloadable also as
wwwborsaitalianaitderivatikids[filename]pdf
bull Available for download via ftp server (MIT 702)
bull Reviewed at least yearly (or in case of changes to contract specs expected payoff fee structure)
bull Available in Italian English Spanish German and French Additional translations will be evaluated in due course
5 October 2017 London Stock Exchange Group Page 37
Member Portal
Antonello Greco
Technical Account Manager
Client Technology Services Italy
RTS 24 - Requirements
5 October 2017 London Stock Exchange Group Page 38
bull Client Identification code Identifier of the Client (Local Person Identifier or
Legal Entity Identifier) for client orders only
bull Investment Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the investment decision
bull Execution Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the execution decision
Long Code ndash Short Code mapping
5 October 2017 London Stock Exchange Group Page 39
Long Code Short Code
Market messages Client ID Investment Decision Maker Executing Trader
Short Codes ndash Reserved values
5 October 2017 London Stock Exchange Group Page 40
bull 0 None Valid for Client ID and Investment Decision ID
bull 1 AGGR where several orders are submitted to the trading venue together as
an aggregated Valid for Client ID only
bull 2 PNAL where a trading participant allocates an order to its client following
submission of the order to the trading venue and has not yet allocated the
order to its client at the time of the submission of the order Valid for Client ID
only
bull 3 CLIENT valid for Execution Decision ID only
Uploading ndash Three options
5 October 2017 London Stock Exchange Group Page 41
A trading firm will manage the short-long code mappings in a new section of the
Member Portal in the following ways
bull Manual insertion
bull Bulk upload through the Member Portal web interface
bull Bulk upload via SFTP server
Uploading ndash Manual insertion
5 October 2017 London Stock Exchange Group Page 42
bull Short Code numerical value between 4 and 232-1
bull Long Code alphanumerical string of 50 characters Expected values are ndash Local Person Identifier
ndash Legal Entity Identifier
ndash Algorithm
bull Identifier Code Type ndash Natural Person
ndash Client LEI
ndash Algorithm
Uploading ndash Bulk upload (12)
5 October 2017 London Stock Exchange Group Page 43
Field Name
Mandatory
Description
Short Code
Y
4 ndash 4294967295
Long Code
Y
50 alphanumeric chars
Identifier Code Type
Y
L Client LEI
N Natural Person
A Algorithm
Notes
N
Free text field
Operation Type
Y
0 New
1 Update
2 Delete
Uploading ndash Bulk upload (22)
5 October 2017 London Stock Exchange Group Page 44
A new record reporting information on the outcome of the upload is displayed
bull Status ndash In Progress Published Published with errors Not Published
bull UserFile the userrsquos original csv
bull ResultFile a txt file containing the number of records added updated deleted
bull ErrorFile a csv file listing the records containing errors An Error Description field
is added to instruct the user of the error
Uploading ndash SFTP server
5 October 2017 London Stock Exchange Group Page 45
bull The csv file has the same layout as the one used to upload through the
member portal web interface
bull The only difference is that the file must have a specific naming convention
- Venue_ShortLongCodes_YYYYMMDD_NNcsv
bull The root folder of the sFTP server is the Firm ID which in turn contains an IN
and an OUT folder with respectively read-write and read only access
bull The IN folder will contain the bulk upload csv file while the OUT folder will
store Results File and Errors File (if one or more records are rejected)
Upload by difference or laquofrom scratchraquo
5 October 2017 London Stock Exchange Group Page 46
When uploading the file the user can choose to
bull insert modify and delete the existing set of short-long codes hence working by
difference
bull replace the whole list of existing short-long codes with the ones included in the
file hence working from scratch Operation Type can only be populated with 0
Constraints
5 October 2017 London Stock Exchange Group Page 47
bull Two different records can not have the same pair ltShort Code Identifier Code
Typegt
bull Local Person Identifier and Legal Identity Identifiers have to be used
respectively to identify a Natural Person and a LEI
bull Following a cancellation the upload of a new record with the same pair ltShort
Code Identifier Code Typegt will be rejected
When uploading mappings
5 October 2017 London Stock Exchange Group Page 48
bull Short CodeLong Code mappings must be uploaded within the market close
(time limit to be defined) of the same day as they are used as part of the
layout of market messages sent to the exchange
bull Trading participants failing to report the records at day T will be notified and
must download the Missing Short Codes report to find out the discrepancies
to be corrected
bull The Missing Short Code report for the day T is available at T+1 and it lists
the discrepancies of the last five working days
Additional Enhancements
5 October 2017 London Stock Exchange Group Page 49
bull Trader IDs
bull Risk Management users for pre-trade validation functionalities (PTV)
bull Self Execution Prevention
bull Market Making Strategies
bull Mass Cancellation
bull Back Office SELECT
bull Position Report as required by RTS 21 - Application of position limits to
commodity derivatives
Go live
5 October 2017 London Stock Exchange Group Page 50
bull The new Member Portal will go-live on November 2017
bull Trading participant will have a one month window to test the upload of
mappings on the Member Portal before the actual MIFID II go live on
January the 3rd
bull No validations on how short codes are used in the layout of market
messages will be performed except for formal integrity checks
bull The User Manual is already available online on both Borsa Italiana and
EuroTLX websites
5 October 2017 London Stock Exchange Group Page 51
TRADEcho
Roberto Fumagalli
Technical Account Manager
Client Technology Services Italy
POST TRADE TRANSPARENCY OBLIGATION
5 October 2017 London Stock Exchange Group Page 52
MiFID I requires customers to publish OTC trades done on equity instruments listed on European regulated markets Consob extended this obligation to all instruments listed on regulated market (including MOT SeDeX ETFPlus and MTS) MiFID II extends the reporting obligation to all instruments (equity and non equity) listed on European regulated markets MTF and OTF The service offered by Borsa Italiana (PTTS service) to fulfill this obligation will close on 27th November 2017 (release of MIT Platform MiFID II version compliant) LSEG will offer Post Trade Transparency facility for OTC trades via TRADEcho
5 October 2017 London Stock Exchange Group Page 53
TRADEcho
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
5 October 2017 London Stock Exchange Group Page 33
IDEM Key Information Documents
Enrico Pellizzoni
Head of Italy Equity Markets and Derivatives Products
PRIIPs Regulation (IDEM) (1)
5 October 2017 London Stock Exchange Group Page 34
bull BIt will to produce KIDs (Key Information Documents) for IDEM contracts
bull Borsa Italiana will follow an lsquoaggregated approachrsquo as allowed from recent ESMArsquos QampA 14 KIDs will be produced to describe existing IDEM contracts
bull a KID will identify ISINs sharing the same contract specifications expected payoff and fee structure
ndash call options vs put options on the same contract ndash 2 different KIDs
ndash single name derivatives will have a single aggregated KID for each product category (not for each individual underlying)
ndash weekly expiries are not identified by a separate KID
bull Description of costs will include fees that BIt is charging to its market participants Brokers must inform retail clients about their own costs
PRIIPs Regulation (IDEM) (2)
5 October 2017 London Stock Exchange Group Page 35
1 Futures on FTSE MIB
2 Mini futures on FTSE MIB
3 Futures on FTSE MIB dividend
4 Call options on FTSE MIB
5 Put options on FTSE MIB
6 Stock futures
7 Stock dividend futures
8 Single stock call options
9 Single stock put options
10Baseload Italian power futures
11Peakload Italian power futures
12Baseload German power futures
13Peakload German power futures
14Durum wheat futures
PRIIPs Regulation (IDEM) (3)
5 October 2017 London Stock Exchange Group Page 36
bull Available as pdf files free of charge in a dedicated webpage
wwwborsaitalianaitderivatikidskidsenhtm
bull File names with a dedicated convention linked to reference data and downloadable also as
wwwborsaitalianaitderivatikids[filename]pdf
bull Available for download via ftp server (MIT 702)
bull Reviewed at least yearly (or in case of changes to contract specs expected payoff fee structure)
bull Available in Italian English Spanish German and French Additional translations will be evaluated in due course
5 October 2017 London Stock Exchange Group Page 37
Member Portal
Antonello Greco
Technical Account Manager
Client Technology Services Italy
RTS 24 - Requirements
5 October 2017 London Stock Exchange Group Page 38
bull Client Identification code Identifier of the Client (Local Person Identifier or
Legal Entity Identifier) for client orders only
bull Investment Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the investment decision
bull Execution Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the execution decision
Long Code ndash Short Code mapping
5 October 2017 London Stock Exchange Group Page 39
Long Code Short Code
Market messages Client ID Investment Decision Maker Executing Trader
Short Codes ndash Reserved values
5 October 2017 London Stock Exchange Group Page 40
bull 0 None Valid for Client ID and Investment Decision ID
bull 1 AGGR where several orders are submitted to the trading venue together as
an aggregated Valid for Client ID only
bull 2 PNAL where a trading participant allocates an order to its client following
submission of the order to the trading venue and has not yet allocated the
order to its client at the time of the submission of the order Valid for Client ID
only
bull 3 CLIENT valid for Execution Decision ID only
Uploading ndash Three options
5 October 2017 London Stock Exchange Group Page 41
A trading firm will manage the short-long code mappings in a new section of the
Member Portal in the following ways
bull Manual insertion
bull Bulk upload through the Member Portal web interface
bull Bulk upload via SFTP server
Uploading ndash Manual insertion
5 October 2017 London Stock Exchange Group Page 42
bull Short Code numerical value between 4 and 232-1
bull Long Code alphanumerical string of 50 characters Expected values are ndash Local Person Identifier
ndash Legal Entity Identifier
ndash Algorithm
bull Identifier Code Type ndash Natural Person
ndash Client LEI
ndash Algorithm
Uploading ndash Bulk upload (12)
5 October 2017 London Stock Exchange Group Page 43
Field Name
Mandatory
Description
Short Code
Y
4 ndash 4294967295
Long Code
Y
50 alphanumeric chars
Identifier Code Type
Y
L Client LEI
N Natural Person
A Algorithm
Notes
N
Free text field
Operation Type
Y
0 New
1 Update
2 Delete
Uploading ndash Bulk upload (22)
5 October 2017 London Stock Exchange Group Page 44
A new record reporting information on the outcome of the upload is displayed
bull Status ndash In Progress Published Published with errors Not Published
bull UserFile the userrsquos original csv
bull ResultFile a txt file containing the number of records added updated deleted
bull ErrorFile a csv file listing the records containing errors An Error Description field
is added to instruct the user of the error
Uploading ndash SFTP server
5 October 2017 London Stock Exchange Group Page 45
bull The csv file has the same layout as the one used to upload through the
member portal web interface
bull The only difference is that the file must have a specific naming convention
- Venue_ShortLongCodes_YYYYMMDD_NNcsv
bull The root folder of the sFTP server is the Firm ID which in turn contains an IN
and an OUT folder with respectively read-write and read only access
bull The IN folder will contain the bulk upload csv file while the OUT folder will
store Results File and Errors File (if one or more records are rejected)
Upload by difference or laquofrom scratchraquo
5 October 2017 London Stock Exchange Group Page 46
When uploading the file the user can choose to
bull insert modify and delete the existing set of short-long codes hence working by
difference
bull replace the whole list of existing short-long codes with the ones included in the
file hence working from scratch Operation Type can only be populated with 0
Constraints
5 October 2017 London Stock Exchange Group Page 47
bull Two different records can not have the same pair ltShort Code Identifier Code
Typegt
bull Local Person Identifier and Legal Identity Identifiers have to be used
respectively to identify a Natural Person and a LEI
bull Following a cancellation the upload of a new record with the same pair ltShort
Code Identifier Code Typegt will be rejected
When uploading mappings
5 October 2017 London Stock Exchange Group Page 48
bull Short CodeLong Code mappings must be uploaded within the market close
(time limit to be defined) of the same day as they are used as part of the
layout of market messages sent to the exchange
bull Trading participants failing to report the records at day T will be notified and
must download the Missing Short Codes report to find out the discrepancies
to be corrected
bull The Missing Short Code report for the day T is available at T+1 and it lists
the discrepancies of the last five working days
Additional Enhancements
5 October 2017 London Stock Exchange Group Page 49
bull Trader IDs
bull Risk Management users for pre-trade validation functionalities (PTV)
bull Self Execution Prevention
bull Market Making Strategies
bull Mass Cancellation
bull Back Office SELECT
bull Position Report as required by RTS 21 - Application of position limits to
commodity derivatives
Go live
5 October 2017 London Stock Exchange Group Page 50
bull The new Member Portal will go-live on November 2017
bull Trading participant will have a one month window to test the upload of
mappings on the Member Portal before the actual MIFID II go live on
January the 3rd
bull No validations on how short codes are used in the layout of market
messages will be performed except for formal integrity checks
bull The User Manual is already available online on both Borsa Italiana and
EuroTLX websites
5 October 2017 London Stock Exchange Group Page 51
TRADEcho
Roberto Fumagalli
Technical Account Manager
Client Technology Services Italy
POST TRADE TRANSPARENCY OBLIGATION
5 October 2017 London Stock Exchange Group Page 52
MiFID I requires customers to publish OTC trades done on equity instruments listed on European regulated markets Consob extended this obligation to all instruments listed on regulated market (including MOT SeDeX ETFPlus and MTS) MiFID II extends the reporting obligation to all instruments (equity and non equity) listed on European regulated markets MTF and OTF The service offered by Borsa Italiana (PTTS service) to fulfill this obligation will close on 27th November 2017 (release of MIT Platform MiFID II version compliant) LSEG will offer Post Trade Transparency facility for OTC trades via TRADEcho
5 October 2017 London Stock Exchange Group Page 53
TRADEcho
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
PRIIPs Regulation (IDEM) (1)
5 October 2017 London Stock Exchange Group Page 34
bull BIt will to produce KIDs (Key Information Documents) for IDEM contracts
bull Borsa Italiana will follow an lsquoaggregated approachrsquo as allowed from recent ESMArsquos QampA 14 KIDs will be produced to describe existing IDEM contracts
bull a KID will identify ISINs sharing the same contract specifications expected payoff and fee structure
ndash call options vs put options on the same contract ndash 2 different KIDs
ndash single name derivatives will have a single aggregated KID for each product category (not for each individual underlying)
ndash weekly expiries are not identified by a separate KID
bull Description of costs will include fees that BIt is charging to its market participants Brokers must inform retail clients about their own costs
PRIIPs Regulation (IDEM) (2)
5 October 2017 London Stock Exchange Group Page 35
1 Futures on FTSE MIB
2 Mini futures on FTSE MIB
3 Futures on FTSE MIB dividend
4 Call options on FTSE MIB
5 Put options on FTSE MIB
6 Stock futures
7 Stock dividend futures
8 Single stock call options
9 Single stock put options
10Baseload Italian power futures
11Peakload Italian power futures
12Baseload German power futures
13Peakload German power futures
14Durum wheat futures
PRIIPs Regulation (IDEM) (3)
5 October 2017 London Stock Exchange Group Page 36
bull Available as pdf files free of charge in a dedicated webpage
wwwborsaitalianaitderivatikidskidsenhtm
bull File names with a dedicated convention linked to reference data and downloadable also as
wwwborsaitalianaitderivatikids[filename]pdf
bull Available for download via ftp server (MIT 702)
bull Reviewed at least yearly (or in case of changes to contract specs expected payoff fee structure)
bull Available in Italian English Spanish German and French Additional translations will be evaluated in due course
5 October 2017 London Stock Exchange Group Page 37
Member Portal
Antonello Greco
Technical Account Manager
Client Technology Services Italy
RTS 24 - Requirements
5 October 2017 London Stock Exchange Group Page 38
bull Client Identification code Identifier of the Client (Local Person Identifier or
Legal Entity Identifier) for client orders only
bull Investment Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the investment decision
bull Execution Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the execution decision
Long Code ndash Short Code mapping
5 October 2017 London Stock Exchange Group Page 39
Long Code Short Code
Market messages Client ID Investment Decision Maker Executing Trader
Short Codes ndash Reserved values
5 October 2017 London Stock Exchange Group Page 40
bull 0 None Valid for Client ID and Investment Decision ID
bull 1 AGGR where several orders are submitted to the trading venue together as
an aggregated Valid for Client ID only
bull 2 PNAL where a trading participant allocates an order to its client following
submission of the order to the trading venue and has not yet allocated the
order to its client at the time of the submission of the order Valid for Client ID
only
bull 3 CLIENT valid for Execution Decision ID only
Uploading ndash Three options
5 October 2017 London Stock Exchange Group Page 41
A trading firm will manage the short-long code mappings in a new section of the
Member Portal in the following ways
bull Manual insertion
bull Bulk upload through the Member Portal web interface
bull Bulk upload via SFTP server
Uploading ndash Manual insertion
5 October 2017 London Stock Exchange Group Page 42
bull Short Code numerical value between 4 and 232-1
bull Long Code alphanumerical string of 50 characters Expected values are ndash Local Person Identifier
ndash Legal Entity Identifier
ndash Algorithm
bull Identifier Code Type ndash Natural Person
ndash Client LEI
ndash Algorithm
Uploading ndash Bulk upload (12)
5 October 2017 London Stock Exchange Group Page 43
Field Name
Mandatory
Description
Short Code
Y
4 ndash 4294967295
Long Code
Y
50 alphanumeric chars
Identifier Code Type
Y
L Client LEI
N Natural Person
A Algorithm
Notes
N
Free text field
Operation Type
Y
0 New
1 Update
2 Delete
Uploading ndash Bulk upload (22)
5 October 2017 London Stock Exchange Group Page 44
A new record reporting information on the outcome of the upload is displayed
bull Status ndash In Progress Published Published with errors Not Published
bull UserFile the userrsquos original csv
bull ResultFile a txt file containing the number of records added updated deleted
bull ErrorFile a csv file listing the records containing errors An Error Description field
is added to instruct the user of the error
Uploading ndash SFTP server
5 October 2017 London Stock Exchange Group Page 45
bull The csv file has the same layout as the one used to upload through the
member portal web interface
bull The only difference is that the file must have a specific naming convention
- Venue_ShortLongCodes_YYYYMMDD_NNcsv
bull The root folder of the sFTP server is the Firm ID which in turn contains an IN
and an OUT folder with respectively read-write and read only access
bull The IN folder will contain the bulk upload csv file while the OUT folder will
store Results File and Errors File (if one or more records are rejected)
Upload by difference or laquofrom scratchraquo
5 October 2017 London Stock Exchange Group Page 46
When uploading the file the user can choose to
bull insert modify and delete the existing set of short-long codes hence working by
difference
bull replace the whole list of existing short-long codes with the ones included in the
file hence working from scratch Operation Type can only be populated with 0
Constraints
5 October 2017 London Stock Exchange Group Page 47
bull Two different records can not have the same pair ltShort Code Identifier Code
Typegt
bull Local Person Identifier and Legal Identity Identifiers have to be used
respectively to identify a Natural Person and a LEI
bull Following a cancellation the upload of a new record with the same pair ltShort
Code Identifier Code Typegt will be rejected
When uploading mappings
5 October 2017 London Stock Exchange Group Page 48
bull Short CodeLong Code mappings must be uploaded within the market close
(time limit to be defined) of the same day as they are used as part of the
layout of market messages sent to the exchange
bull Trading participants failing to report the records at day T will be notified and
must download the Missing Short Codes report to find out the discrepancies
to be corrected
bull The Missing Short Code report for the day T is available at T+1 and it lists
the discrepancies of the last five working days
Additional Enhancements
5 October 2017 London Stock Exchange Group Page 49
bull Trader IDs
bull Risk Management users for pre-trade validation functionalities (PTV)
bull Self Execution Prevention
bull Market Making Strategies
bull Mass Cancellation
bull Back Office SELECT
bull Position Report as required by RTS 21 - Application of position limits to
commodity derivatives
Go live
5 October 2017 London Stock Exchange Group Page 50
bull The new Member Portal will go-live on November 2017
bull Trading participant will have a one month window to test the upload of
mappings on the Member Portal before the actual MIFID II go live on
January the 3rd
bull No validations on how short codes are used in the layout of market
messages will be performed except for formal integrity checks
bull The User Manual is already available online on both Borsa Italiana and
EuroTLX websites
5 October 2017 London Stock Exchange Group Page 51
TRADEcho
Roberto Fumagalli
Technical Account Manager
Client Technology Services Italy
POST TRADE TRANSPARENCY OBLIGATION
5 October 2017 London Stock Exchange Group Page 52
MiFID I requires customers to publish OTC trades done on equity instruments listed on European regulated markets Consob extended this obligation to all instruments listed on regulated market (including MOT SeDeX ETFPlus and MTS) MiFID II extends the reporting obligation to all instruments (equity and non equity) listed on European regulated markets MTF and OTF The service offered by Borsa Italiana (PTTS service) to fulfill this obligation will close on 27th November 2017 (release of MIT Platform MiFID II version compliant) LSEG will offer Post Trade Transparency facility for OTC trades via TRADEcho
5 October 2017 London Stock Exchange Group Page 53
TRADEcho
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
PRIIPs Regulation (IDEM) (2)
5 October 2017 London Stock Exchange Group Page 35
1 Futures on FTSE MIB
2 Mini futures on FTSE MIB
3 Futures on FTSE MIB dividend
4 Call options on FTSE MIB
5 Put options on FTSE MIB
6 Stock futures
7 Stock dividend futures
8 Single stock call options
9 Single stock put options
10Baseload Italian power futures
11Peakload Italian power futures
12Baseload German power futures
13Peakload German power futures
14Durum wheat futures
PRIIPs Regulation (IDEM) (3)
5 October 2017 London Stock Exchange Group Page 36
bull Available as pdf files free of charge in a dedicated webpage
wwwborsaitalianaitderivatikidskidsenhtm
bull File names with a dedicated convention linked to reference data and downloadable also as
wwwborsaitalianaitderivatikids[filename]pdf
bull Available for download via ftp server (MIT 702)
bull Reviewed at least yearly (or in case of changes to contract specs expected payoff fee structure)
bull Available in Italian English Spanish German and French Additional translations will be evaluated in due course
5 October 2017 London Stock Exchange Group Page 37
Member Portal
Antonello Greco
Technical Account Manager
Client Technology Services Italy
RTS 24 - Requirements
5 October 2017 London Stock Exchange Group Page 38
bull Client Identification code Identifier of the Client (Local Person Identifier or
Legal Entity Identifier) for client orders only
bull Investment Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the investment decision
bull Execution Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the execution decision
Long Code ndash Short Code mapping
5 October 2017 London Stock Exchange Group Page 39
Long Code Short Code
Market messages Client ID Investment Decision Maker Executing Trader
Short Codes ndash Reserved values
5 October 2017 London Stock Exchange Group Page 40
bull 0 None Valid for Client ID and Investment Decision ID
bull 1 AGGR where several orders are submitted to the trading venue together as
an aggregated Valid for Client ID only
bull 2 PNAL where a trading participant allocates an order to its client following
submission of the order to the trading venue and has not yet allocated the
order to its client at the time of the submission of the order Valid for Client ID
only
bull 3 CLIENT valid for Execution Decision ID only
Uploading ndash Three options
5 October 2017 London Stock Exchange Group Page 41
A trading firm will manage the short-long code mappings in a new section of the
Member Portal in the following ways
bull Manual insertion
bull Bulk upload through the Member Portal web interface
bull Bulk upload via SFTP server
Uploading ndash Manual insertion
5 October 2017 London Stock Exchange Group Page 42
bull Short Code numerical value between 4 and 232-1
bull Long Code alphanumerical string of 50 characters Expected values are ndash Local Person Identifier
ndash Legal Entity Identifier
ndash Algorithm
bull Identifier Code Type ndash Natural Person
ndash Client LEI
ndash Algorithm
Uploading ndash Bulk upload (12)
5 October 2017 London Stock Exchange Group Page 43
Field Name
Mandatory
Description
Short Code
Y
4 ndash 4294967295
Long Code
Y
50 alphanumeric chars
Identifier Code Type
Y
L Client LEI
N Natural Person
A Algorithm
Notes
N
Free text field
Operation Type
Y
0 New
1 Update
2 Delete
Uploading ndash Bulk upload (22)
5 October 2017 London Stock Exchange Group Page 44
A new record reporting information on the outcome of the upload is displayed
bull Status ndash In Progress Published Published with errors Not Published
bull UserFile the userrsquos original csv
bull ResultFile a txt file containing the number of records added updated deleted
bull ErrorFile a csv file listing the records containing errors An Error Description field
is added to instruct the user of the error
Uploading ndash SFTP server
5 October 2017 London Stock Exchange Group Page 45
bull The csv file has the same layout as the one used to upload through the
member portal web interface
bull The only difference is that the file must have a specific naming convention
- Venue_ShortLongCodes_YYYYMMDD_NNcsv
bull The root folder of the sFTP server is the Firm ID which in turn contains an IN
and an OUT folder with respectively read-write and read only access
bull The IN folder will contain the bulk upload csv file while the OUT folder will
store Results File and Errors File (if one or more records are rejected)
Upload by difference or laquofrom scratchraquo
5 October 2017 London Stock Exchange Group Page 46
When uploading the file the user can choose to
bull insert modify and delete the existing set of short-long codes hence working by
difference
bull replace the whole list of existing short-long codes with the ones included in the
file hence working from scratch Operation Type can only be populated with 0
Constraints
5 October 2017 London Stock Exchange Group Page 47
bull Two different records can not have the same pair ltShort Code Identifier Code
Typegt
bull Local Person Identifier and Legal Identity Identifiers have to be used
respectively to identify a Natural Person and a LEI
bull Following a cancellation the upload of a new record with the same pair ltShort
Code Identifier Code Typegt will be rejected
When uploading mappings
5 October 2017 London Stock Exchange Group Page 48
bull Short CodeLong Code mappings must be uploaded within the market close
(time limit to be defined) of the same day as they are used as part of the
layout of market messages sent to the exchange
bull Trading participants failing to report the records at day T will be notified and
must download the Missing Short Codes report to find out the discrepancies
to be corrected
bull The Missing Short Code report for the day T is available at T+1 and it lists
the discrepancies of the last five working days
Additional Enhancements
5 October 2017 London Stock Exchange Group Page 49
bull Trader IDs
bull Risk Management users for pre-trade validation functionalities (PTV)
bull Self Execution Prevention
bull Market Making Strategies
bull Mass Cancellation
bull Back Office SELECT
bull Position Report as required by RTS 21 - Application of position limits to
commodity derivatives
Go live
5 October 2017 London Stock Exchange Group Page 50
bull The new Member Portal will go-live on November 2017
bull Trading participant will have a one month window to test the upload of
mappings on the Member Portal before the actual MIFID II go live on
January the 3rd
bull No validations on how short codes are used in the layout of market
messages will be performed except for formal integrity checks
bull The User Manual is already available online on both Borsa Italiana and
EuroTLX websites
5 October 2017 London Stock Exchange Group Page 51
TRADEcho
Roberto Fumagalli
Technical Account Manager
Client Technology Services Italy
POST TRADE TRANSPARENCY OBLIGATION
5 October 2017 London Stock Exchange Group Page 52
MiFID I requires customers to publish OTC trades done on equity instruments listed on European regulated markets Consob extended this obligation to all instruments listed on regulated market (including MOT SeDeX ETFPlus and MTS) MiFID II extends the reporting obligation to all instruments (equity and non equity) listed on European regulated markets MTF and OTF The service offered by Borsa Italiana (PTTS service) to fulfill this obligation will close on 27th November 2017 (release of MIT Platform MiFID II version compliant) LSEG will offer Post Trade Transparency facility for OTC trades via TRADEcho
5 October 2017 London Stock Exchange Group Page 53
TRADEcho
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
PRIIPs Regulation (IDEM) (3)
5 October 2017 London Stock Exchange Group Page 36
bull Available as pdf files free of charge in a dedicated webpage
wwwborsaitalianaitderivatikidskidsenhtm
bull File names with a dedicated convention linked to reference data and downloadable also as
wwwborsaitalianaitderivatikids[filename]pdf
bull Available for download via ftp server (MIT 702)
bull Reviewed at least yearly (or in case of changes to contract specs expected payoff fee structure)
bull Available in Italian English Spanish German and French Additional translations will be evaluated in due course
5 October 2017 London Stock Exchange Group Page 37
Member Portal
Antonello Greco
Technical Account Manager
Client Technology Services Italy
RTS 24 - Requirements
5 October 2017 London Stock Exchange Group Page 38
bull Client Identification code Identifier of the Client (Local Person Identifier or
Legal Entity Identifier) for client orders only
bull Investment Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the investment decision
bull Execution Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the execution decision
Long Code ndash Short Code mapping
5 October 2017 London Stock Exchange Group Page 39
Long Code Short Code
Market messages Client ID Investment Decision Maker Executing Trader
Short Codes ndash Reserved values
5 October 2017 London Stock Exchange Group Page 40
bull 0 None Valid for Client ID and Investment Decision ID
bull 1 AGGR where several orders are submitted to the trading venue together as
an aggregated Valid for Client ID only
bull 2 PNAL where a trading participant allocates an order to its client following
submission of the order to the trading venue and has not yet allocated the
order to its client at the time of the submission of the order Valid for Client ID
only
bull 3 CLIENT valid for Execution Decision ID only
Uploading ndash Three options
5 October 2017 London Stock Exchange Group Page 41
A trading firm will manage the short-long code mappings in a new section of the
Member Portal in the following ways
bull Manual insertion
bull Bulk upload through the Member Portal web interface
bull Bulk upload via SFTP server
Uploading ndash Manual insertion
5 October 2017 London Stock Exchange Group Page 42
bull Short Code numerical value between 4 and 232-1
bull Long Code alphanumerical string of 50 characters Expected values are ndash Local Person Identifier
ndash Legal Entity Identifier
ndash Algorithm
bull Identifier Code Type ndash Natural Person
ndash Client LEI
ndash Algorithm
Uploading ndash Bulk upload (12)
5 October 2017 London Stock Exchange Group Page 43
Field Name
Mandatory
Description
Short Code
Y
4 ndash 4294967295
Long Code
Y
50 alphanumeric chars
Identifier Code Type
Y
L Client LEI
N Natural Person
A Algorithm
Notes
N
Free text field
Operation Type
Y
0 New
1 Update
2 Delete
Uploading ndash Bulk upload (22)
5 October 2017 London Stock Exchange Group Page 44
A new record reporting information on the outcome of the upload is displayed
bull Status ndash In Progress Published Published with errors Not Published
bull UserFile the userrsquos original csv
bull ResultFile a txt file containing the number of records added updated deleted
bull ErrorFile a csv file listing the records containing errors An Error Description field
is added to instruct the user of the error
Uploading ndash SFTP server
5 October 2017 London Stock Exchange Group Page 45
bull The csv file has the same layout as the one used to upload through the
member portal web interface
bull The only difference is that the file must have a specific naming convention
- Venue_ShortLongCodes_YYYYMMDD_NNcsv
bull The root folder of the sFTP server is the Firm ID which in turn contains an IN
and an OUT folder with respectively read-write and read only access
bull The IN folder will contain the bulk upload csv file while the OUT folder will
store Results File and Errors File (if one or more records are rejected)
Upload by difference or laquofrom scratchraquo
5 October 2017 London Stock Exchange Group Page 46
When uploading the file the user can choose to
bull insert modify and delete the existing set of short-long codes hence working by
difference
bull replace the whole list of existing short-long codes with the ones included in the
file hence working from scratch Operation Type can only be populated with 0
Constraints
5 October 2017 London Stock Exchange Group Page 47
bull Two different records can not have the same pair ltShort Code Identifier Code
Typegt
bull Local Person Identifier and Legal Identity Identifiers have to be used
respectively to identify a Natural Person and a LEI
bull Following a cancellation the upload of a new record with the same pair ltShort
Code Identifier Code Typegt will be rejected
When uploading mappings
5 October 2017 London Stock Exchange Group Page 48
bull Short CodeLong Code mappings must be uploaded within the market close
(time limit to be defined) of the same day as they are used as part of the
layout of market messages sent to the exchange
bull Trading participants failing to report the records at day T will be notified and
must download the Missing Short Codes report to find out the discrepancies
to be corrected
bull The Missing Short Code report for the day T is available at T+1 and it lists
the discrepancies of the last five working days
Additional Enhancements
5 October 2017 London Stock Exchange Group Page 49
bull Trader IDs
bull Risk Management users for pre-trade validation functionalities (PTV)
bull Self Execution Prevention
bull Market Making Strategies
bull Mass Cancellation
bull Back Office SELECT
bull Position Report as required by RTS 21 - Application of position limits to
commodity derivatives
Go live
5 October 2017 London Stock Exchange Group Page 50
bull The new Member Portal will go-live on November 2017
bull Trading participant will have a one month window to test the upload of
mappings on the Member Portal before the actual MIFID II go live on
January the 3rd
bull No validations on how short codes are used in the layout of market
messages will be performed except for formal integrity checks
bull The User Manual is already available online on both Borsa Italiana and
EuroTLX websites
5 October 2017 London Stock Exchange Group Page 51
TRADEcho
Roberto Fumagalli
Technical Account Manager
Client Technology Services Italy
POST TRADE TRANSPARENCY OBLIGATION
5 October 2017 London Stock Exchange Group Page 52
MiFID I requires customers to publish OTC trades done on equity instruments listed on European regulated markets Consob extended this obligation to all instruments listed on regulated market (including MOT SeDeX ETFPlus and MTS) MiFID II extends the reporting obligation to all instruments (equity and non equity) listed on European regulated markets MTF and OTF The service offered by Borsa Italiana (PTTS service) to fulfill this obligation will close on 27th November 2017 (release of MIT Platform MiFID II version compliant) LSEG will offer Post Trade Transparency facility for OTC trades via TRADEcho
5 October 2017 London Stock Exchange Group Page 53
TRADEcho
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
5 October 2017 London Stock Exchange Group Page 37
Member Portal
Antonello Greco
Technical Account Manager
Client Technology Services Italy
RTS 24 - Requirements
5 October 2017 London Stock Exchange Group Page 38
bull Client Identification code Identifier of the Client (Local Person Identifier or
Legal Entity Identifier) for client orders only
bull Investment Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the investment decision
bull Execution Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the execution decision
Long Code ndash Short Code mapping
5 October 2017 London Stock Exchange Group Page 39
Long Code Short Code
Market messages Client ID Investment Decision Maker Executing Trader
Short Codes ndash Reserved values
5 October 2017 London Stock Exchange Group Page 40
bull 0 None Valid for Client ID and Investment Decision ID
bull 1 AGGR where several orders are submitted to the trading venue together as
an aggregated Valid for Client ID only
bull 2 PNAL where a trading participant allocates an order to its client following
submission of the order to the trading venue and has not yet allocated the
order to its client at the time of the submission of the order Valid for Client ID
only
bull 3 CLIENT valid for Execution Decision ID only
Uploading ndash Three options
5 October 2017 London Stock Exchange Group Page 41
A trading firm will manage the short-long code mappings in a new section of the
Member Portal in the following ways
bull Manual insertion
bull Bulk upload through the Member Portal web interface
bull Bulk upload via SFTP server
Uploading ndash Manual insertion
5 October 2017 London Stock Exchange Group Page 42
bull Short Code numerical value between 4 and 232-1
bull Long Code alphanumerical string of 50 characters Expected values are ndash Local Person Identifier
ndash Legal Entity Identifier
ndash Algorithm
bull Identifier Code Type ndash Natural Person
ndash Client LEI
ndash Algorithm
Uploading ndash Bulk upload (12)
5 October 2017 London Stock Exchange Group Page 43
Field Name
Mandatory
Description
Short Code
Y
4 ndash 4294967295
Long Code
Y
50 alphanumeric chars
Identifier Code Type
Y
L Client LEI
N Natural Person
A Algorithm
Notes
N
Free text field
Operation Type
Y
0 New
1 Update
2 Delete
Uploading ndash Bulk upload (22)
5 October 2017 London Stock Exchange Group Page 44
A new record reporting information on the outcome of the upload is displayed
bull Status ndash In Progress Published Published with errors Not Published
bull UserFile the userrsquos original csv
bull ResultFile a txt file containing the number of records added updated deleted
bull ErrorFile a csv file listing the records containing errors An Error Description field
is added to instruct the user of the error
Uploading ndash SFTP server
5 October 2017 London Stock Exchange Group Page 45
bull The csv file has the same layout as the one used to upload through the
member portal web interface
bull The only difference is that the file must have a specific naming convention
- Venue_ShortLongCodes_YYYYMMDD_NNcsv
bull The root folder of the sFTP server is the Firm ID which in turn contains an IN
and an OUT folder with respectively read-write and read only access
bull The IN folder will contain the bulk upload csv file while the OUT folder will
store Results File and Errors File (if one or more records are rejected)
Upload by difference or laquofrom scratchraquo
5 October 2017 London Stock Exchange Group Page 46
When uploading the file the user can choose to
bull insert modify and delete the existing set of short-long codes hence working by
difference
bull replace the whole list of existing short-long codes with the ones included in the
file hence working from scratch Operation Type can only be populated with 0
Constraints
5 October 2017 London Stock Exchange Group Page 47
bull Two different records can not have the same pair ltShort Code Identifier Code
Typegt
bull Local Person Identifier and Legal Identity Identifiers have to be used
respectively to identify a Natural Person and a LEI
bull Following a cancellation the upload of a new record with the same pair ltShort
Code Identifier Code Typegt will be rejected
When uploading mappings
5 October 2017 London Stock Exchange Group Page 48
bull Short CodeLong Code mappings must be uploaded within the market close
(time limit to be defined) of the same day as they are used as part of the
layout of market messages sent to the exchange
bull Trading participants failing to report the records at day T will be notified and
must download the Missing Short Codes report to find out the discrepancies
to be corrected
bull The Missing Short Code report for the day T is available at T+1 and it lists
the discrepancies of the last five working days
Additional Enhancements
5 October 2017 London Stock Exchange Group Page 49
bull Trader IDs
bull Risk Management users for pre-trade validation functionalities (PTV)
bull Self Execution Prevention
bull Market Making Strategies
bull Mass Cancellation
bull Back Office SELECT
bull Position Report as required by RTS 21 - Application of position limits to
commodity derivatives
Go live
5 October 2017 London Stock Exchange Group Page 50
bull The new Member Portal will go-live on November 2017
bull Trading participant will have a one month window to test the upload of
mappings on the Member Portal before the actual MIFID II go live on
January the 3rd
bull No validations on how short codes are used in the layout of market
messages will be performed except for formal integrity checks
bull The User Manual is already available online on both Borsa Italiana and
EuroTLX websites
5 October 2017 London Stock Exchange Group Page 51
TRADEcho
Roberto Fumagalli
Technical Account Manager
Client Technology Services Italy
POST TRADE TRANSPARENCY OBLIGATION
5 October 2017 London Stock Exchange Group Page 52
MiFID I requires customers to publish OTC trades done on equity instruments listed on European regulated markets Consob extended this obligation to all instruments listed on regulated market (including MOT SeDeX ETFPlus and MTS) MiFID II extends the reporting obligation to all instruments (equity and non equity) listed on European regulated markets MTF and OTF The service offered by Borsa Italiana (PTTS service) to fulfill this obligation will close on 27th November 2017 (release of MIT Platform MiFID II version compliant) LSEG will offer Post Trade Transparency facility for OTC trades via TRADEcho
5 October 2017 London Stock Exchange Group Page 53
TRADEcho
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
RTS 24 - Requirements
5 October 2017 London Stock Exchange Group Page 38
bull Client Identification code Identifier of the Client (Local Person Identifier or
Legal Entity Identifier) for client orders only
bull Investment Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the investment decision
bull Execution Decision within Firm Identifier of the Person (Local Person
Identifier) or the Algorithm taking the execution decision
Long Code ndash Short Code mapping
5 October 2017 London Stock Exchange Group Page 39
Long Code Short Code
Market messages Client ID Investment Decision Maker Executing Trader
Short Codes ndash Reserved values
5 October 2017 London Stock Exchange Group Page 40
bull 0 None Valid for Client ID and Investment Decision ID
bull 1 AGGR where several orders are submitted to the trading venue together as
an aggregated Valid for Client ID only
bull 2 PNAL where a trading participant allocates an order to its client following
submission of the order to the trading venue and has not yet allocated the
order to its client at the time of the submission of the order Valid for Client ID
only
bull 3 CLIENT valid for Execution Decision ID only
Uploading ndash Three options
5 October 2017 London Stock Exchange Group Page 41
A trading firm will manage the short-long code mappings in a new section of the
Member Portal in the following ways
bull Manual insertion
bull Bulk upload through the Member Portal web interface
bull Bulk upload via SFTP server
Uploading ndash Manual insertion
5 October 2017 London Stock Exchange Group Page 42
bull Short Code numerical value between 4 and 232-1
bull Long Code alphanumerical string of 50 characters Expected values are ndash Local Person Identifier
ndash Legal Entity Identifier
ndash Algorithm
bull Identifier Code Type ndash Natural Person
ndash Client LEI
ndash Algorithm
Uploading ndash Bulk upload (12)
5 October 2017 London Stock Exchange Group Page 43
Field Name
Mandatory
Description
Short Code
Y
4 ndash 4294967295
Long Code
Y
50 alphanumeric chars
Identifier Code Type
Y
L Client LEI
N Natural Person
A Algorithm
Notes
N
Free text field
Operation Type
Y
0 New
1 Update
2 Delete
Uploading ndash Bulk upload (22)
5 October 2017 London Stock Exchange Group Page 44
A new record reporting information on the outcome of the upload is displayed
bull Status ndash In Progress Published Published with errors Not Published
bull UserFile the userrsquos original csv
bull ResultFile a txt file containing the number of records added updated deleted
bull ErrorFile a csv file listing the records containing errors An Error Description field
is added to instruct the user of the error
Uploading ndash SFTP server
5 October 2017 London Stock Exchange Group Page 45
bull The csv file has the same layout as the one used to upload through the
member portal web interface
bull The only difference is that the file must have a specific naming convention
- Venue_ShortLongCodes_YYYYMMDD_NNcsv
bull The root folder of the sFTP server is the Firm ID which in turn contains an IN
and an OUT folder with respectively read-write and read only access
bull The IN folder will contain the bulk upload csv file while the OUT folder will
store Results File and Errors File (if one or more records are rejected)
Upload by difference or laquofrom scratchraquo
5 October 2017 London Stock Exchange Group Page 46
When uploading the file the user can choose to
bull insert modify and delete the existing set of short-long codes hence working by
difference
bull replace the whole list of existing short-long codes with the ones included in the
file hence working from scratch Operation Type can only be populated with 0
Constraints
5 October 2017 London Stock Exchange Group Page 47
bull Two different records can not have the same pair ltShort Code Identifier Code
Typegt
bull Local Person Identifier and Legal Identity Identifiers have to be used
respectively to identify a Natural Person and a LEI
bull Following a cancellation the upload of a new record with the same pair ltShort
Code Identifier Code Typegt will be rejected
When uploading mappings
5 October 2017 London Stock Exchange Group Page 48
bull Short CodeLong Code mappings must be uploaded within the market close
(time limit to be defined) of the same day as they are used as part of the
layout of market messages sent to the exchange
bull Trading participants failing to report the records at day T will be notified and
must download the Missing Short Codes report to find out the discrepancies
to be corrected
bull The Missing Short Code report for the day T is available at T+1 and it lists
the discrepancies of the last five working days
Additional Enhancements
5 October 2017 London Stock Exchange Group Page 49
bull Trader IDs
bull Risk Management users for pre-trade validation functionalities (PTV)
bull Self Execution Prevention
bull Market Making Strategies
bull Mass Cancellation
bull Back Office SELECT
bull Position Report as required by RTS 21 - Application of position limits to
commodity derivatives
Go live
5 October 2017 London Stock Exchange Group Page 50
bull The new Member Portal will go-live on November 2017
bull Trading participant will have a one month window to test the upload of
mappings on the Member Portal before the actual MIFID II go live on
January the 3rd
bull No validations on how short codes are used in the layout of market
messages will be performed except for formal integrity checks
bull The User Manual is already available online on both Borsa Italiana and
EuroTLX websites
5 October 2017 London Stock Exchange Group Page 51
TRADEcho
Roberto Fumagalli
Technical Account Manager
Client Technology Services Italy
POST TRADE TRANSPARENCY OBLIGATION
5 October 2017 London Stock Exchange Group Page 52
MiFID I requires customers to publish OTC trades done on equity instruments listed on European regulated markets Consob extended this obligation to all instruments listed on regulated market (including MOT SeDeX ETFPlus and MTS) MiFID II extends the reporting obligation to all instruments (equity and non equity) listed on European regulated markets MTF and OTF The service offered by Borsa Italiana (PTTS service) to fulfill this obligation will close on 27th November 2017 (release of MIT Platform MiFID II version compliant) LSEG will offer Post Trade Transparency facility for OTC trades via TRADEcho
5 October 2017 London Stock Exchange Group Page 53
TRADEcho
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
Long Code ndash Short Code mapping
5 October 2017 London Stock Exchange Group Page 39
Long Code Short Code
Market messages Client ID Investment Decision Maker Executing Trader
Short Codes ndash Reserved values
5 October 2017 London Stock Exchange Group Page 40
bull 0 None Valid for Client ID and Investment Decision ID
bull 1 AGGR where several orders are submitted to the trading venue together as
an aggregated Valid for Client ID only
bull 2 PNAL where a trading participant allocates an order to its client following
submission of the order to the trading venue and has not yet allocated the
order to its client at the time of the submission of the order Valid for Client ID
only
bull 3 CLIENT valid for Execution Decision ID only
Uploading ndash Three options
5 October 2017 London Stock Exchange Group Page 41
A trading firm will manage the short-long code mappings in a new section of the
Member Portal in the following ways
bull Manual insertion
bull Bulk upload through the Member Portal web interface
bull Bulk upload via SFTP server
Uploading ndash Manual insertion
5 October 2017 London Stock Exchange Group Page 42
bull Short Code numerical value between 4 and 232-1
bull Long Code alphanumerical string of 50 characters Expected values are ndash Local Person Identifier
ndash Legal Entity Identifier
ndash Algorithm
bull Identifier Code Type ndash Natural Person
ndash Client LEI
ndash Algorithm
Uploading ndash Bulk upload (12)
5 October 2017 London Stock Exchange Group Page 43
Field Name
Mandatory
Description
Short Code
Y
4 ndash 4294967295
Long Code
Y
50 alphanumeric chars
Identifier Code Type
Y
L Client LEI
N Natural Person
A Algorithm
Notes
N
Free text field
Operation Type
Y
0 New
1 Update
2 Delete
Uploading ndash Bulk upload (22)
5 October 2017 London Stock Exchange Group Page 44
A new record reporting information on the outcome of the upload is displayed
bull Status ndash In Progress Published Published with errors Not Published
bull UserFile the userrsquos original csv
bull ResultFile a txt file containing the number of records added updated deleted
bull ErrorFile a csv file listing the records containing errors An Error Description field
is added to instruct the user of the error
Uploading ndash SFTP server
5 October 2017 London Stock Exchange Group Page 45
bull The csv file has the same layout as the one used to upload through the
member portal web interface
bull The only difference is that the file must have a specific naming convention
- Venue_ShortLongCodes_YYYYMMDD_NNcsv
bull The root folder of the sFTP server is the Firm ID which in turn contains an IN
and an OUT folder with respectively read-write and read only access
bull The IN folder will contain the bulk upload csv file while the OUT folder will
store Results File and Errors File (if one or more records are rejected)
Upload by difference or laquofrom scratchraquo
5 October 2017 London Stock Exchange Group Page 46
When uploading the file the user can choose to
bull insert modify and delete the existing set of short-long codes hence working by
difference
bull replace the whole list of existing short-long codes with the ones included in the
file hence working from scratch Operation Type can only be populated with 0
Constraints
5 October 2017 London Stock Exchange Group Page 47
bull Two different records can not have the same pair ltShort Code Identifier Code
Typegt
bull Local Person Identifier and Legal Identity Identifiers have to be used
respectively to identify a Natural Person and a LEI
bull Following a cancellation the upload of a new record with the same pair ltShort
Code Identifier Code Typegt will be rejected
When uploading mappings
5 October 2017 London Stock Exchange Group Page 48
bull Short CodeLong Code mappings must be uploaded within the market close
(time limit to be defined) of the same day as they are used as part of the
layout of market messages sent to the exchange
bull Trading participants failing to report the records at day T will be notified and
must download the Missing Short Codes report to find out the discrepancies
to be corrected
bull The Missing Short Code report for the day T is available at T+1 and it lists
the discrepancies of the last five working days
Additional Enhancements
5 October 2017 London Stock Exchange Group Page 49
bull Trader IDs
bull Risk Management users for pre-trade validation functionalities (PTV)
bull Self Execution Prevention
bull Market Making Strategies
bull Mass Cancellation
bull Back Office SELECT
bull Position Report as required by RTS 21 - Application of position limits to
commodity derivatives
Go live
5 October 2017 London Stock Exchange Group Page 50
bull The new Member Portal will go-live on November 2017
bull Trading participant will have a one month window to test the upload of
mappings on the Member Portal before the actual MIFID II go live on
January the 3rd
bull No validations on how short codes are used in the layout of market
messages will be performed except for formal integrity checks
bull The User Manual is already available online on both Borsa Italiana and
EuroTLX websites
5 October 2017 London Stock Exchange Group Page 51
TRADEcho
Roberto Fumagalli
Technical Account Manager
Client Technology Services Italy
POST TRADE TRANSPARENCY OBLIGATION
5 October 2017 London Stock Exchange Group Page 52
MiFID I requires customers to publish OTC trades done on equity instruments listed on European regulated markets Consob extended this obligation to all instruments listed on regulated market (including MOT SeDeX ETFPlus and MTS) MiFID II extends the reporting obligation to all instruments (equity and non equity) listed on European regulated markets MTF and OTF The service offered by Borsa Italiana (PTTS service) to fulfill this obligation will close on 27th November 2017 (release of MIT Platform MiFID II version compliant) LSEG will offer Post Trade Transparency facility for OTC trades via TRADEcho
5 October 2017 London Stock Exchange Group Page 53
TRADEcho
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
Short Codes ndash Reserved values
5 October 2017 London Stock Exchange Group Page 40
bull 0 None Valid for Client ID and Investment Decision ID
bull 1 AGGR where several orders are submitted to the trading venue together as
an aggregated Valid for Client ID only
bull 2 PNAL where a trading participant allocates an order to its client following
submission of the order to the trading venue and has not yet allocated the
order to its client at the time of the submission of the order Valid for Client ID
only
bull 3 CLIENT valid for Execution Decision ID only
Uploading ndash Three options
5 October 2017 London Stock Exchange Group Page 41
A trading firm will manage the short-long code mappings in a new section of the
Member Portal in the following ways
bull Manual insertion
bull Bulk upload through the Member Portal web interface
bull Bulk upload via SFTP server
Uploading ndash Manual insertion
5 October 2017 London Stock Exchange Group Page 42
bull Short Code numerical value between 4 and 232-1
bull Long Code alphanumerical string of 50 characters Expected values are ndash Local Person Identifier
ndash Legal Entity Identifier
ndash Algorithm
bull Identifier Code Type ndash Natural Person
ndash Client LEI
ndash Algorithm
Uploading ndash Bulk upload (12)
5 October 2017 London Stock Exchange Group Page 43
Field Name
Mandatory
Description
Short Code
Y
4 ndash 4294967295
Long Code
Y
50 alphanumeric chars
Identifier Code Type
Y
L Client LEI
N Natural Person
A Algorithm
Notes
N
Free text field
Operation Type
Y
0 New
1 Update
2 Delete
Uploading ndash Bulk upload (22)
5 October 2017 London Stock Exchange Group Page 44
A new record reporting information on the outcome of the upload is displayed
bull Status ndash In Progress Published Published with errors Not Published
bull UserFile the userrsquos original csv
bull ResultFile a txt file containing the number of records added updated deleted
bull ErrorFile a csv file listing the records containing errors An Error Description field
is added to instruct the user of the error
Uploading ndash SFTP server
5 October 2017 London Stock Exchange Group Page 45
bull The csv file has the same layout as the one used to upload through the
member portal web interface
bull The only difference is that the file must have a specific naming convention
- Venue_ShortLongCodes_YYYYMMDD_NNcsv
bull The root folder of the sFTP server is the Firm ID which in turn contains an IN
and an OUT folder with respectively read-write and read only access
bull The IN folder will contain the bulk upload csv file while the OUT folder will
store Results File and Errors File (if one or more records are rejected)
Upload by difference or laquofrom scratchraquo
5 October 2017 London Stock Exchange Group Page 46
When uploading the file the user can choose to
bull insert modify and delete the existing set of short-long codes hence working by
difference
bull replace the whole list of existing short-long codes with the ones included in the
file hence working from scratch Operation Type can only be populated with 0
Constraints
5 October 2017 London Stock Exchange Group Page 47
bull Two different records can not have the same pair ltShort Code Identifier Code
Typegt
bull Local Person Identifier and Legal Identity Identifiers have to be used
respectively to identify a Natural Person and a LEI
bull Following a cancellation the upload of a new record with the same pair ltShort
Code Identifier Code Typegt will be rejected
When uploading mappings
5 October 2017 London Stock Exchange Group Page 48
bull Short CodeLong Code mappings must be uploaded within the market close
(time limit to be defined) of the same day as they are used as part of the
layout of market messages sent to the exchange
bull Trading participants failing to report the records at day T will be notified and
must download the Missing Short Codes report to find out the discrepancies
to be corrected
bull The Missing Short Code report for the day T is available at T+1 and it lists
the discrepancies of the last five working days
Additional Enhancements
5 October 2017 London Stock Exchange Group Page 49
bull Trader IDs
bull Risk Management users for pre-trade validation functionalities (PTV)
bull Self Execution Prevention
bull Market Making Strategies
bull Mass Cancellation
bull Back Office SELECT
bull Position Report as required by RTS 21 - Application of position limits to
commodity derivatives
Go live
5 October 2017 London Stock Exchange Group Page 50
bull The new Member Portal will go-live on November 2017
bull Trading participant will have a one month window to test the upload of
mappings on the Member Portal before the actual MIFID II go live on
January the 3rd
bull No validations on how short codes are used in the layout of market
messages will be performed except for formal integrity checks
bull The User Manual is already available online on both Borsa Italiana and
EuroTLX websites
5 October 2017 London Stock Exchange Group Page 51
TRADEcho
Roberto Fumagalli
Technical Account Manager
Client Technology Services Italy
POST TRADE TRANSPARENCY OBLIGATION
5 October 2017 London Stock Exchange Group Page 52
MiFID I requires customers to publish OTC trades done on equity instruments listed on European regulated markets Consob extended this obligation to all instruments listed on regulated market (including MOT SeDeX ETFPlus and MTS) MiFID II extends the reporting obligation to all instruments (equity and non equity) listed on European regulated markets MTF and OTF The service offered by Borsa Italiana (PTTS service) to fulfill this obligation will close on 27th November 2017 (release of MIT Platform MiFID II version compliant) LSEG will offer Post Trade Transparency facility for OTC trades via TRADEcho
5 October 2017 London Stock Exchange Group Page 53
TRADEcho
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
Uploading ndash Three options
5 October 2017 London Stock Exchange Group Page 41
A trading firm will manage the short-long code mappings in a new section of the
Member Portal in the following ways
bull Manual insertion
bull Bulk upload through the Member Portal web interface
bull Bulk upload via SFTP server
Uploading ndash Manual insertion
5 October 2017 London Stock Exchange Group Page 42
bull Short Code numerical value between 4 and 232-1
bull Long Code alphanumerical string of 50 characters Expected values are ndash Local Person Identifier
ndash Legal Entity Identifier
ndash Algorithm
bull Identifier Code Type ndash Natural Person
ndash Client LEI
ndash Algorithm
Uploading ndash Bulk upload (12)
5 October 2017 London Stock Exchange Group Page 43
Field Name
Mandatory
Description
Short Code
Y
4 ndash 4294967295
Long Code
Y
50 alphanumeric chars
Identifier Code Type
Y
L Client LEI
N Natural Person
A Algorithm
Notes
N
Free text field
Operation Type
Y
0 New
1 Update
2 Delete
Uploading ndash Bulk upload (22)
5 October 2017 London Stock Exchange Group Page 44
A new record reporting information on the outcome of the upload is displayed
bull Status ndash In Progress Published Published with errors Not Published
bull UserFile the userrsquos original csv
bull ResultFile a txt file containing the number of records added updated deleted
bull ErrorFile a csv file listing the records containing errors An Error Description field
is added to instruct the user of the error
Uploading ndash SFTP server
5 October 2017 London Stock Exchange Group Page 45
bull The csv file has the same layout as the one used to upload through the
member portal web interface
bull The only difference is that the file must have a specific naming convention
- Venue_ShortLongCodes_YYYYMMDD_NNcsv
bull The root folder of the sFTP server is the Firm ID which in turn contains an IN
and an OUT folder with respectively read-write and read only access
bull The IN folder will contain the bulk upload csv file while the OUT folder will
store Results File and Errors File (if one or more records are rejected)
Upload by difference or laquofrom scratchraquo
5 October 2017 London Stock Exchange Group Page 46
When uploading the file the user can choose to
bull insert modify and delete the existing set of short-long codes hence working by
difference
bull replace the whole list of existing short-long codes with the ones included in the
file hence working from scratch Operation Type can only be populated with 0
Constraints
5 October 2017 London Stock Exchange Group Page 47
bull Two different records can not have the same pair ltShort Code Identifier Code
Typegt
bull Local Person Identifier and Legal Identity Identifiers have to be used
respectively to identify a Natural Person and a LEI
bull Following a cancellation the upload of a new record with the same pair ltShort
Code Identifier Code Typegt will be rejected
When uploading mappings
5 October 2017 London Stock Exchange Group Page 48
bull Short CodeLong Code mappings must be uploaded within the market close
(time limit to be defined) of the same day as they are used as part of the
layout of market messages sent to the exchange
bull Trading participants failing to report the records at day T will be notified and
must download the Missing Short Codes report to find out the discrepancies
to be corrected
bull The Missing Short Code report for the day T is available at T+1 and it lists
the discrepancies of the last five working days
Additional Enhancements
5 October 2017 London Stock Exchange Group Page 49
bull Trader IDs
bull Risk Management users for pre-trade validation functionalities (PTV)
bull Self Execution Prevention
bull Market Making Strategies
bull Mass Cancellation
bull Back Office SELECT
bull Position Report as required by RTS 21 - Application of position limits to
commodity derivatives
Go live
5 October 2017 London Stock Exchange Group Page 50
bull The new Member Portal will go-live on November 2017
bull Trading participant will have a one month window to test the upload of
mappings on the Member Portal before the actual MIFID II go live on
January the 3rd
bull No validations on how short codes are used in the layout of market
messages will be performed except for formal integrity checks
bull The User Manual is already available online on both Borsa Italiana and
EuroTLX websites
5 October 2017 London Stock Exchange Group Page 51
TRADEcho
Roberto Fumagalli
Technical Account Manager
Client Technology Services Italy
POST TRADE TRANSPARENCY OBLIGATION
5 October 2017 London Stock Exchange Group Page 52
MiFID I requires customers to publish OTC trades done on equity instruments listed on European regulated markets Consob extended this obligation to all instruments listed on regulated market (including MOT SeDeX ETFPlus and MTS) MiFID II extends the reporting obligation to all instruments (equity and non equity) listed on European regulated markets MTF and OTF The service offered by Borsa Italiana (PTTS service) to fulfill this obligation will close on 27th November 2017 (release of MIT Platform MiFID II version compliant) LSEG will offer Post Trade Transparency facility for OTC trades via TRADEcho
5 October 2017 London Stock Exchange Group Page 53
TRADEcho
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
Uploading ndash Manual insertion
5 October 2017 London Stock Exchange Group Page 42
bull Short Code numerical value between 4 and 232-1
bull Long Code alphanumerical string of 50 characters Expected values are ndash Local Person Identifier
ndash Legal Entity Identifier
ndash Algorithm
bull Identifier Code Type ndash Natural Person
ndash Client LEI
ndash Algorithm
Uploading ndash Bulk upload (12)
5 October 2017 London Stock Exchange Group Page 43
Field Name
Mandatory
Description
Short Code
Y
4 ndash 4294967295
Long Code
Y
50 alphanumeric chars
Identifier Code Type
Y
L Client LEI
N Natural Person
A Algorithm
Notes
N
Free text field
Operation Type
Y
0 New
1 Update
2 Delete
Uploading ndash Bulk upload (22)
5 October 2017 London Stock Exchange Group Page 44
A new record reporting information on the outcome of the upload is displayed
bull Status ndash In Progress Published Published with errors Not Published
bull UserFile the userrsquos original csv
bull ResultFile a txt file containing the number of records added updated deleted
bull ErrorFile a csv file listing the records containing errors An Error Description field
is added to instruct the user of the error
Uploading ndash SFTP server
5 October 2017 London Stock Exchange Group Page 45
bull The csv file has the same layout as the one used to upload through the
member portal web interface
bull The only difference is that the file must have a specific naming convention
- Venue_ShortLongCodes_YYYYMMDD_NNcsv
bull The root folder of the sFTP server is the Firm ID which in turn contains an IN
and an OUT folder with respectively read-write and read only access
bull The IN folder will contain the bulk upload csv file while the OUT folder will
store Results File and Errors File (if one or more records are rejected)
Upload by difference or laquofrom scratchraquo
5 October 2017 London Stock Exchange Group Page 46
When uploading the file the user can choose to
bull insert modify and delete the existing set of short-long codes hence working by
difference
bull replace the whole list of existing short-long codes with the ones included in the
file hence working from scratch Operation Type can only be populated with 0
Constraints
5 October 2017 London Stock Exchange Group Page 47
bull Two different records can not have the same pair ltShort Code Identifier Code
Typegt
bull Local Person Identifier and Legal Identity Identifiers have to be used
respectively to identify a Natural Person and a LEI
bull Following a cancellation the upload of a new record with the same pair ltShort
Code Identifier Code Typegt will be rejected
When uploading mappings
5 October 2017 London Stock Exchange Group Page 48
bull Short CodeLong Code mappings must be uploaded within the market close
(time limit to be defined) of the same day as they are used as part of the
layout of market messages sent to the exchange
bull Trading participants failing to report the records at day T will be notified and
must download the Missing Short Codes report to find out the discrepancies
to be corrected
bull The Missing Short Code report for the day T is available at T+1 and it lists
the discrepancies of the last five working days
Additional Enhancements
5 October 2017 London Stock Exchange Group Page 49
bull Trader IDs
bull Risk Management users for pre-trade validation functionalities (PTV)
bull Self Execution Prevention
bull Market Making Strategies
bull Mass Cancellation
bull Back Office SELECT
bull Position Report as required by RTS 21 - Application of position limits to
commodity derivatives
Go live
5 October 2017 London Stock Exchange Group Page 50
bull The new Member Portal will go-live on November 2017
bull Trading participant will have a one month window to test the upload of
mappings on the Member Portal before the actual MIFID II go live on
January the 3rd
bull No validations on how short codes are used in the layout of market
messages will be performed except for formal integrity checks
bull The User Manual is already available online on both Borsa Italiana and
EuroTLX websites
5 October 2017 London Stock Exchange Group Page 51
TRADEcho
Roberto Fumagalli
Technical Account Manager
Client Technology Services Italy
POST TRADE TRANSPARENCY OBLIGATION
5 October 2017 London Stock Exchange Group Page 52
MiFID I requires customers to publish OTC trades done on equity instruments listed on European regulated markets Consob extended this obligation to all instruments listed on regulated market (including MOT SeDeX ETFPlus and MTS) MiFID II extends the reporting obligation to all instruments (equity and non equity) listed on European regulated markets MTF and OTF The service offered by Borsa Italiana (PTTS service) to fulfill this obligation will close on 27th November 2017 (release of MIT Platform MiFID II version compliant) LSEG will offer Post Trade Transparency facility for OTC trades via TRADEcho
5 October 2017 London Stock Exchange Group Page 53
TRADEcho
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
Uploading ndash Bulk upload (12)
5 October 2017 London Stock Exchange Group Page 43
Field Name
Mandatory
Description
Short Code
Y
4 ndash 4294967295
Long Code
Y
50 alphanumeric chars
Identifier Code Type
Y
L Client LEI
N Natural Person
A Algorithm
Notes
N
Free text field
Operation Type
Y
0 New
1 Update
2 Delete
Uploading ndash Bulk upload (22)
5 October 2017 London Stock Exchange Group Page 44
A new record reporting information on the outcome of the upload is displayed
bull Status ndash In Progress Published Published with errors Not Published
bull UserFile the userrsquos original csv
bull ResultFile a txt file containing the number of records added updated deleted
bull ErrorFile a csv file listing the records containing errors An Error Description field
is added to instruct the user of the error
Uploading ndash SFTP server
5 October 2017 London Stock Exchange Group Page 45
bull The csv file has the same layout as the one used to upload through the
member portal web interface
bull The only difference is that the file must have a specific naming convention
- Venue_ShortLongCodes_YYYYMMDD_NNcsv
bull The root folder of the sFTP server is the Firm ID which in turn contains an IN
and an OUT folder with respectively read-write and read only access
bull The IN folder will contain the bulk upload csv file while the OUT folder will
store Results File and Errors File (if one or more records are rejected)
Upload by difference or laquofrom scratchraquo
5 October 2017 London Stock Exchange Group Page 46
When uploading the file the user can choose to
bull insert modify and delete the existing set of short-long codes hence working by
difference
bull replace the whole list of existing short-long codes with the ones included in the
file hence working from scratch Operation Type can only be populated with 0
Constraints
5 October 2017 London Stock Exchange Group Page 47
bull Two different records can not have the same pair ltShort Code Identifier Code
Typegt
bull Local Person Identifier and Legal Identity Identifiers have to be used
respectively to identify a Natural Person and a LEI
bull Following a cancellation the upload of a new record with the same pair ltShort
Code Identifier Code Typegt will be rejected
When uploading mappings
5 October 2017 London Stock Exchange Group Page 48
bull Short CodeLong Code mappings must be uploaded within the market close
(time limit to be defined) of the same day as they are used as part of the
layout of market messages sent to the exchange
bull Trading participants failing to report the records at day T will be notified and
must download the Missing Short Codes report to find out the discrepancies
to be corrected
bull The Missing Short Code report for the day T is available at T+1 and it lists
the discrepancies of the last five working days
Additional Enhancements
5 October 2017 London Stock Exchange Group Page 49
bull Trader IDs
bull Risk Management users for pre-trade validation functionalities (PTV)
bull Self Execution Prevention
bull Market Making Strategies
bull Mass Cancellation
bull Back Office SELECT
bull Position Report as required by RTS 21 - Application of position limits to
commodity derivatives
Go live
5 October 2017 London Stock Exchange Group Page 50
bull The new Member Portal will go-live on November 2017
bull Trading participant will have a one month window to test the upload of
mappings on the Member Portal before the actual MIFID II go live on
January the 3rd
bull No validations on how short codes are used in the layout of market
messages will be performed except for formal integrity checks
bull The User Manual is already available online on both Borsa Italiana and
EuroTLX websites
5 October 2017 London Stock Exchange Group Page 51
TRADEcho
Roberto Fumagalli
Technical Account Manager
Client Technology Services Italy
POST TRADE TRANSPARENCY OBLIGATION
5 October 2017 London Stock Exchange Group Page 52
MiFID I requires customers to publish OTC trades done on equity instruments listed on European regulated markets Consob extended this obligation to all instruments listed on regulated market (including MOT SeDeX ETFPlus and MTS) MiFID II extends the reporting obligation to all instruments (equity and non equity) listed on European regulated markets MTF and OTF The service offered by Borsa Italiana (PTTS service) to fulfill this obligation will close on 27th November 2017 (release of MIT Platform MiFID II version compliant) LSEG will offer Post Trade Transparency facility for OTC trades via TRADEcho
5 October 2017 London Stock Exchange Group Page 53
TRADEcho
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
Uploading ndash Bulk upload (22)
5 October 2017 London Stock Exchange Group Page 44
A new record reporting information on the outcome of the upload is displayed
bull Status ndash In Progress Published Published with errors Not Published
bull UserFile the userrsquos original csv
bull ResultFile a txt file containing the number of records added updated deleted
bull ErrorFile a csv file listing the records containing errors An Error Description field
is added to instruct the user of the error
Uploading ndash SFTP server
5 October 2017 London Stock Exchange Group Page 45
bull The csv file has the same layout as the one used to upload through the
member portal web interface
bull The only difference is that the file must have a specific naming convention
- Venue_ShortLongCodes_YYYYMMDD_NNcsv
bull The root folder of the sFTP server is the Firm ID which in turn contains an IN
and an OUT folder with respectively read-write and read only access
bull The IN folder will contain the bulk upload csv file while the OUT folder will
store Results File and Errors File (if one or more records are rejected)
Upload by difference or laquofrom scratchraquo
5 October 2017 London Stock Exchange Group Page 46
When uploading the file the user can choose to
bull insert modify and delete the existing set of short-long codes hence working by
difference
bull replace the whole list of existing short-long codes with the ones included in the
file hence working from scratch Operation Type can only be populated with 0
Constraints
5 October 2017 London Stock Exchange Group Page 47
bull Two different records can not have the same pair ltShort Code Identifier Code
Typegt
bull Local Person Identifier and Legal Identity Identifiers have to be used
respectively to identify a Natural Person and a LEI
bull Following a cancellation the upload of a new record with the same pair ltShort
Code Identifier Code Typegt will be rejected
When uploading mappings
5 October 2017 London Stock Exchange Group Page 48
bull Short CodeLong Code mappings must be uploaded within the market close
(time limit to be defined) of the same day as they are used as part of the
layout of market messages sent to the exchange
bull Trading participants failing to report the records at day T will be notified and
must download the Missing Short Codes report to find out the discrepancies
to be corrected
bull The Missing Short Code report for the day T is available at T+1 and it lists
the discrepancies of the last five working days
Additional Enhancements
5 October 2017 London Stock Exchange Group Page 49
bull Trader IDs
bull Risk Management users for pre-trade validation functionalities (PTV)
bull Self Execution Prevention
bull Market Making Strategies
bull Mass Cancellation
bull Back Office SELECT
bull Position Report as required by RTS 21 - Application of position limits to
commodity derivatives
Go live
5 October 2017 London Stock Exchange Group Page 50
bull The new Member Portal will go-live on November 2017
bull Trading participant will have a one month window to test the upload of
mappings on the Member Portal before the actual MIFID II go live on
January the 3rd
bull No validations on how short codes are used in the layout of market
messages will be performed except for formal integrity checks
bull The User Manual is already available online on both Borsa Italiana and
EuroTLX websites
5 October 2017 London Stock Exchange Group Page 51
TRADEcho
Roberto Fumagalli
Technical Account Manager
Client Technology Services Italy
POST TRADE TRANSPARENCY OBLIGATION
5 October 2017 London Stock Exchange Group Page 52
MiFID I requires customers to publish OTC trades done on equity instruments listed on European regulated markets Consob extended this obligation to all instruments listed on regulated market (including MOT SeDeX ETFPlus and MTS) MiFID II extends the reporting obligation to all instruments (equity and non equity) listed on European regulated markets MTF and OTF The service offered by Borsa Italiana (PTTS service) to fulfill this obligation will close on 27th November 2017 (release of MIT Platform MiFID II version compliant) LSEG will offer Post Trade Transparency facility for OTC trades via TRADEcho
5 October 2017 London Stock Exchange Group Page 53
TRADEcho
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
Uploading ndash SFTP server
5 October 2017 London Stock Exchange Group Page 45
bull The csv file has the same layout as the one used to upload through the
member portal web interface
bull The only difference is that the file must have a specific naming convention
- Venue_ShortLongCodes_YYYYMMDD_NNcsv
bull The root folder of the sFTP server is the Firm ID which in turn contains an IN
and an OUT folder with respectively read-write and read only access
bull The IN folder will contain the bulk upload csv file while the OUT folder will
store Results File and Errors File (if one or more records are rejected)
Upload by difference or laquofrom scratchraquo
5 October 2017 London Stock Exchange Group Page 46
When uploading the file the user can choose to
bull insert modify and delete the existing set of short-long codes hence working by
difference
bull replace the whole list of existing short-long codes with the ones included in the
file hence working from scratch Operation Type can only be populated with 0
Constraints
5 October 2017 London Stock Exchange Group Page 47
bull Two different records can not have the same pair ltShort Code Identifier Code
Typegt
bull Local Person Identifier and Legal Identity Identifiers have to be used
respectively to identify a Natural Person and a LEI
bull Following a cancellation the upload of a new record with the same pair ltShort
Code Identifier Code Typegt will be rejected
When uploading mappings
5 October 2017 London Stock Exchange Group Page 48
bull Short CodeLong Code mappings must be uploaded within the market close
(time limit to be defined) of the same day as they are used as part of the
layout of market messages sent to the exchange
bull Trading participants failing to report the records at day T will be notified and
must download the Missing Short Codes report to find out the discrepancies
to be corrected
bull The Missing Short Code report for the day T is available at T+1 and it lists
the discrepancies of the last five working days
Additional Enhancements
5 October 2017 London Stock Exchange Group Page 49
bull Trader IDs
bull Risk Management users for pre-trade validation functionalities (PTV)
bull Self Execution Prevention
bull Market Making Strategies
bull Mass Cancellation
bull Back Office SELECT
bull Position Report as required by RTS 21 - Application of position limits to
commodity derivatives
Go live
5 October 2017 London Stock Exchange Group Page 50
bull The new Member Portal will go-live on November 2017
bull Trading participant will have a one month window to test the upload of
mappings on the Member Portal before the actual MIFID II go live on
January the 3rd
bull No validations on how short codes are used in the layout of market
messages will be performed except for formal integrity checks
bull The User Manual is already available online on both Borsa Italiana and
EuroTLX websites
5 October 2017 London Stock Exchange Group Page 51
TRADEcho
Roberto Fumagalli
Technical Account Manager
Client Technology Services Italy
POST TRADE TRANSPARENCY OBLIGATION
5 October 2017 London Stock Exchange Group Page 52
MiFID I requires customers to publish OTC trades done on equity instruments listed on European regulated markets Consob extended this obligation to all instruments listed on regulated market (including MOT SeDeX ETFPlus and MTS) MiFID II extends the reporting obligation to all instruments (equity and non equity) listed on European regulated markets MTF and OTF The service offered by Borsa Italiana (PTTS service) to fulfill this obligation will close on 27th November 2017 (release of MIT Platform MiFID II version compliant) LSEG will offer Post Trade Transparency facility for OTC trades via TRADEcho
5 October 2017 London Stock Exchange Group Page 53
TRADEcho
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
Upload by difference or laquofrom scratchraquo
5 October 2017 London Stock Exchange Group Page 46
When uploading the file the user can choose to
bull insert modify and delete the existing set of short-long codes hence working by
difference
bull replace the whole list of existing short-long codes with the ones included in the
file hence working from scratch Operation Type can only be populated with 0
Constraints
5 October 2017 London Stock Exchange Group Page 47
bull Two different records can not have the same pair ltShort Code Identifier Code
Typegt
bull Local Person Identifier and Legal Identity Identifiers have to be used
respectively to identify a Natural Person and a LEI
bull Following a cancellation the upload of a new record with the same pair ltShort
Code Identifier Code Typegt will be rejected
When uploading mappings
5 October 2017 London Stock Exchange Group Page 48
bull Short CodeLong Code mappings must be uploaded within the market close
(time limit to be defined) of the same day as they are used as part of the
layout of market messages sent to the exchange
bull Trading participants failing to report the records at day T will be notified and
must download the Missing Short Codes report to find out the discrepancies
to be corrected
bull The Missing Short Code report for the day T is available at T+1 and it lists
the discrepancies of the last five working days
Additional Enhancements
5 October 2017 London Stock Exchange Group Page 49
bull Trader IDs
bull Risk Management users for pre-trade validation functionalities (PTV)
bull Self Execution Prevention
bull Market Making Strategies
bull Mass Cancellation
bull Back Office SELECT
bull Position Report as required by RTS 21 - Application of position limits to
commodity derivatives
Go live
5 October 2017 London Stock Exchange Group Page 50
bull The new Member Portal will go-live on November 2017
bull Trading participant will have a one month window to test the upload of
mappings on the Member Portal before the actual MIFID II go live on
January the 3rd
bull No validations on how short codes are used in the layout of market
messages will be performed except for formal integrity checks
bull The User Manual is already available online on both Borsa Italiana and
EuroTLX websites
5 October 2017 London Stock Exchange Group Page 51
TRADEcho
Roberto Fumagalli
Technical Account Manager
Client Technology Services Italy
POST TRADE TRANSPARENCY OBLIGATION
5 October 2017 London Stock Exchange Group Page 52
MiFID I requires customers to publish OTC trades done on equity instruments listed on European regulated markets Consob extended this obligation to all instruments listed on regulated market (including MOT SeDeX ETFPlus and MTS) MiFID II extends the reporting obligation to all instruments (equity and non equity) listed on European regulated markets MTF and OTF The service offered by Borsa Italiana (PTTS service) to fulfill this obligation will close on 27th November 2017 (release of MIT Platform MiFID II version compliant) LSEG will offer Post Trade Transparency facility for OTC trades via TRADEcho
5 October 2017 London Stock Exchange Group Page 53
TRADEcho
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
Constraints
5 October 2017 London Stock Exchange Group Page 47
bull Two different records can not have the same pair ltShort Code Identifier Code
Typegt
bull Local Person Identifier and Legal Identity Identifiers have to be used
respectively to identify a Natural Person and a LEI
bull Following a cancellation the upload of a new record with the same pair ltShort
Code Identifier Code Typegt will be rejected
When uploading mappings
5 October 2017 London Stock Exchange Group Page 48
bull Short CodeLong Code mappings must be uploaded within the market close
(time limit to be defined) of the same day as they are used as part of the
layout of market messages sent to the exchange
bull Trading participants failing to report the records at day T will be notified and
must download the Missing Short Codes report to find out the discrepancies
to be corrected
bull The Missing Short Code report for the day T is available at T+1 and it lists
the discrepancies of the last five working days
Additional Enhancements
5 October 2017 London Stock Exchange Group Page 49
bull Trader IDs
bull Risk Management users for pre-trade validation functionalities (PTV)
bull Self Execution Prevention
bull Market Making Strategies
bull Mass Cancellation
bull Back Office SELECT
bull Position Report as required by RTS 21 - Application of position limits to
commodity derivatives
Go live
5 October 2017 London Stock Exchange Group Page 50
bull The new Member Portal will go-live on November 2017
bull Trading participant will have a one month window to test the upload of
mappings on the Member Portal before the actual MIFID II go live on
January the 3rd
bull No validations on how short codes are used in the layout of market
messages will be performed except for formal integrity checks
bull The User Manual is already available online on both Borsa Italiana and
EuroTLX websites
5 October 2017 London Stock Exchange Group Page 51
TRADEcho
Roberto Fumagalli
Technical Account Manager
Client Technology Services Italy
POST TRADE TRANSPARENCY OBLIGATION
5 October 2017 London Stock Exchange Group Page 52
MiFID I requires customers to publish OTC trades done on equity instruments listed on European regulated markets Consob extended this obligation to all instruments listed on regulated market (including MOT SeDeX ETFPlus and MTS) MiFID II extends the reporting obligation to all instruments (equity and non equity) listed on European regulated markets MTF and OTF The service offered by Borsa Italiana (PTTS service) to fulfill this obligation will close on 27th November 2017 (release of MIT Platform MiFID II version compliant) LSEG will offer Post Trade Transparency facility for OTC trades via TRADEcho
5 October 2017 London Stock Exchange Group Page 53
TRADEcho
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
When uploading mappings
5 October 2017 London Stock Exchange Group Page 48
bull Short CodeLong Code mappings must be uploaded within the market close
(time limit to be defined) of the same day as they are used as part of the
layout of market messages sent to the exchange
bull Trading participants failing to report the records at day T will be notified and
must download the Missing Short Codes report to find out the discrepancies
to be corrected
bull The Missing Short Code report for the day T is available at T+1 and it lists
the discrepancies of the last five working days
Additional Enhancements
5 October 2017 London Stock Exchange Group Page 49
bull Trader IDs
bull Risk Management users for pre-trade validation functionalities (PTV)
bull Self Execution Prevention
bull Market Making Strategies
bull Mass Cancellation
bull Back Office SELECT
bull Position Report as required by RTS 21 - Application of position limits to
commodity derivatives
Go live
5 October 2017 London Stock Exchange Group Page 50
bull The new Member Portal will go-live on November 2017
bull Trading participant will have a one month window to test the upload of
mappings on the Member Portal before the actual MIFID II go live on
January the 3rd
bull No validations on how short codes are used in the layout of market
messages will be performed except for formal integrity checks
bull The User Manual is already available online on both Borsa Italiana and
EuroTLX websites
5 October 2017 London Stock Exchange Group Page 51
TRADEcho
Roberto Fumagalli
Technical Account Manager
Client Technology Services Italy
POST TRADE TRANSPARENCY OBLIGATION
5 October 2017 London Stock Exchange Group Page 52
MiFID I requires customers to publish OTC trades done on equity instruments listed on European regulated markets Consob extended this obligation to all instruments listed on regulated market (including MOT SeDeX ETFPlus and MTS) MiFID II extends the reporting obligation to all instruments (equity and non equity) listed on European regulated markets MTF and OTF The service offered by Borsa Italiana (PTTS service) to fulfill this obligation will close on 27th November 2017 (release of MIT Platform MiFID II version compliant) LSEG will offer Post Trade Transparency facility for OTC trades via TRADEcho
5 October 2017 London Stock Exchange Group Page 53
TRADEcho
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
Additional Enhancements
5 October 2017 London Stock Exchange Group Page 49
bull Trader IDs
bull Risk Management users for pre-trade validation functionalities (PTV)
bull Self Execution Prevention
bull Market Making Strategies
bull Mass Cancellation
bull Back Office SELECT
bull Position Report as required by RTS 21 - Application of position limits to
commodity derivatives
Go live
5 October 2017 London Stock Exchange Group Page 50
bull The new Member Portal will go-live on November 2017
bull Trading participant will have a one month window to test the upload of
mappings on the Member Portal before the actual MIFID II go live on
January the 3rd
bull No validations on how short codes are used in the layout of market
messages will be performed except for formal integrity checks
bull The User Manual is already available online on both Borsa Italiana and
EuroTLX websites
5 October 2017 London Stock Exchange Group Page 51
TRADEcho
Roberto Fumagalli
Technical Account Manager
Client Technology Services Italy
POST TRADE TRANSPARENCY OBLIGATION
5 October 2017 London Stock Exchange Group Page 52
MiFID I requires customers to publish OTC trades done on equity instruments listed on European regulated markets Consob extended this obligation to all instruments listed on regulated market (including MOT SeDeX ETFPlus and MTS) MiFID II extends the reporting obligation to all instruments (equity and non equity) listed on European regulated markets MTF and OTF The service offered by Borsa Italiana (PTTS service) to fulfill this obligation will close on 27th November 2017 (release of MIT Platform MiFID II version compliant) LSEG will offer Post Trade Transparency facility for OTC trades via TRADEcho
5 October 2017 London Stock Exchange Group Page 53
TRADEcho
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
Go live
5 October 2017 London Stock Exchange Group Page 50
bull The new Member Portal will go-live on November 2017
bull Trading participant will have a one month window to test the upload of
mappings on the Member Portal before the actual MIFID II go live on
January the 3rd
bull No validations on how short codes are used in the layout of market
messages will be performed except for formal integrity checks
bull The User Manual is already available online on both Borsa Italiana and
EuroTLX websites
5 October 2017 London Stock Exchange Group Page 51
TRADEcho
Roberto Fumagalli
Technical Account Manager
Client Technology Services Italy
POST TRADE TRANSPARENCY OBLIGATION
5 October 2017 London Stock Exchange Group Page 52
MiFID I requires customers to publish OTC trades done on equity instruments listed on European regulated markets Consob extended this obligation to all instruments listed on regulated market (including MOT SeDeX ETFPlus and MTS) MiFID II extends the reporting obligation to all instruments (equity and non equity) listed on European regulated markets MTF and OTF The service offered by Borsa Italiana (PTTS service) to fulfill this obligation will close on 27th November 2017 (release of MIT Platform MiFID II version compliant) LSEG will offer Post Trade Transparency facility for OTC trades via TRADEcho
5 October 2017 London Stock Exchange Group Page 53
TRADEcho
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
5 October 2017 London Stock Exchange Group Page 51
TRADEcho
Roberto Fumagalli
Technical Account Manager
Client Technology Services Italy
POST TRADE TRANSPARENCY OBLIGATION
5 October 2017 London Stock Exchange Group Page 52
MiFID I requires customers to publish OTC trades done on equity instruments listed on European regulated markets Consob extended this obligation to all instruments listed on regulated market (including MOT SeDeX ETFPlus and MTS) MiFID II extends the reporting obligation to all instruments (equity and non equity) listed on European regulated markets MTF and OTF The service offered by Borsa Italiana (PTTS service) to fulfill this obligation will close on 27th November 2017 (release of MIT Platform MiFID II version compliant) LSEG will offer Post Trade Transparency facility for OTC trades via TRADEcho
5 October 2017 London Stock Exchange Group Page 53
TRADEcho
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
POST TRADE TRANSPARENCY OBLIGATION
5 October 2017 London Stock Exchange Group Page 52
MiFID I requires customers to publish OTC trades done on equity instruments listed on European regulated markets Consob extended this obligation to all instruments listed on regulated market (including MOT SeDeX ETFPlus and MTS) MiFID II extends the reporting obligation to all instruments (equity and non equity) listed on European regulated markets MTF and OTF The service offered by Borsa Italiana (PTTS service) to fulfill this obligation will close on 27th November 2017 (release of MIT Platform MiFID II version compliant) LSEG will offer Post Trade Transparency facility for OTC trades via TRADEcho
5 October 2017 London Stock Exchange Group Page 53
TRADEcho
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
5 October 2017 London Stock Exchange Group Page 53
TRADEcho
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 54
MiFID II regulation introduces the requirement for Investment Firms and venues to make public trading activity Thus trading venues and Investment Firms must publish details of transactions as close to real time as technically possible bull within 1 minute for equity and equity like bull within 15 minutes for non-equity (reducing to 5 minutes) In some circumstances the immediate publication of a trade could lead to a reduction in liquidity and increase execution cost for investors Subsequently deferred publication is available where certain criteria is met such as it being a large trade or a trade in an illiquid product
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
5 October 2017 London Stock Exchange Group Page 55
TRADEcho ndash APPROVED PUBLICATION ARRANGEMENT (APA)
TRADEchorsquos APA provides investment firms with a mechanism to publish trades they have executed and thereby meet their MiFID II post-trade transparency obligations TRADEcho will be operated as an APA applying relevant deferrals to provide the market with a clear and concise tape of your trades Trades will be published across all asset classes in line with the regulatory reporting timeframes Deferred publication may be authorized for certain trades that would expose liquidity providers to undue risk
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
5 October 2017 London Stock Exchange Group Page 56
SMART REPORT ROUTER TRADEchorsquos SRR determines if and when a buy or sell-side counterparty should publish a trade and when there is a requirement routes that trade to an Approved Publication Arrangement (APA) of choice for publication The SRR can help you facilitate Assisted Reporting on behalf of your clients and it is APA agnostic so that firms can use alternate or multiple APAs to make trades public By using SRR instead of connecting directly to multiple APAs firms achieve flexibility while keeping costs down bull By passing a lsquodrop-copyrsquo of every execution to TRADEcho the SRR will ascertain which
trade needs to be reported and which doesnrsquot in real time bull The SRR mitigates all risk in trade reporting correctly bull TRADEcho manage and maintain the rules engine and the significant amount of
reference data required to make this determination
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
5 October 2017 London Stock Exchange Group Page 57
ASSISTED REPORTING TRADEcho provides firms with the ability to perform assisted reporting on behalf of clients Support your clients choice of APA with ease bull Leverage your counterparty connectivity whilst maintaining regulatory oversight bull Real-time visibility of reports submitted by your counterparty bull Facilitates real-time and end of day reconciliation REFERENCE DATA All TRADEcho services are complemented by the large suite of reference data provided by UnaVista (LEI Data Management ISIN Issuance)
TRADEcho - POST TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
5 October 2017 London Stock Exchange Group Page 58
TRADEcho SI Determination An investment firm executing client orders against their own proprietary capital on a frequent and systematic basis may be classified as an SI and will be obliged to provide public firm quotes This is dictated by the asset class liquidity frequency and size in which you are dealing TRADEcho SI Determination Service calculates your status for each instrument and keeps you informed of your SI status TRADEcho SI Quoting With TRADEchos SI Quoting you can validate your quotes and publish them via the LSE market data channels or the TRADEcho website
TRADEcho - PRE TRADE TRANSPARENCY
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
5 October 2017 London Stock Exchange Group Page 59
Access to TRADEcho Service is available bull via web GUIhttps bull FIX
ndash FIX technical specifications available at the following link httpwwwlondonstockexchangecomproducts-and-servicestechnical-librarymillennium-exchange-technical-specificationsmillennium-exchange-technical-specificationshtm
Connectivity to the Service is available bull via Milan ColoCMC Milano bull via Internet VPN connection (LAN-to-LAN) bull Via Internethttps (for web GUI only)
TRADEcho ndash ACCESS AND CONNECTIVITY
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
5 October 2017 London Stock Exchange Group Page 60
Contacts
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
Client Technology Services Italy
5 October 2017 London Stock Exchange Group Page 61
bull Technical Account Management and Professional Services
+39 02 72 42 6 512
Clients-Servicesborsaitalianait
bull Market Access (configurations enablements conformance tests etc)
+39 02 72 42 6 668
market-accessborsaitalianait
bull Service-Desk (customer support desk)
Toll Free 0080026772000 - From mobile +39 02 45411399
service-deskborsaitalianait
5 October 2017 London Stock Exchange Group Page 62
Q amp A
5 October 2017 London Stock Exchange Group Page 62
Q amp A
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