EXTENT-2016: MiFID 2 Compliant Fixed Income SOR System

EXTENT-2016: Software Testing & Trading Technology Trends
22 June, 2016, 10 Paternoster Square, London

MiFID 2 Compliant Fixed Income SOR System
Ferdinando La Posta, Co-founder and CEO, GATElab

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Transcript

1. Ferdinando La Posta Co-founder and CEO GATElab MiFID 2 – Compliant Fixed Income SOR system
2. MiFID II for non-equity products and GATElab proposition
3. MiFID II key points Page 3 • to reinforce transparency on non-equity markets Commitment • uneven access to price info and to trading opportunities; low quality of trade data Why • to facilitate price formation, portfolio valuation, best execution, higher transparency rules avoiding loopholes such as “dark liquidity” Purpose
4. Page 4 Aggregating multiple venues/multiple counterparty liquidity pools Matching customer orders against super aggregated liquidity depth, following total consideration, speed and likelihood of execution principles Storing in real time snapshots of activities for end-user transparency and publishing post trade reporting to customers and regulators Supporting larger range of products for buy-side benefit Implementing best execution and its rules How we can help: best execution
5. How we can help: mutilateral facilities Page 5 Publishing bid / offer prices and the full price depth on a continuous basis for pre-trade transparency Supporting price improvement for investors Supporting Institutional markets Publishing post trade information for post-trade transparency Implementing multilateral or organized trading venues and their obligations
6. Page 6 Quoting bond instruments, following ESMA liquidity clarification (COFIA/IBIA, dynamic approach for SSTI) and quoting at least 50% of the daily trading hours Defining trading models with pre-trade transparency requirements Publishing transactions in real time for post-trade transparency Supporting larger range of products for buy-side benefit as well as retail presence Implementing bilateral systematic internalization and related obligations How we can help: bilateral facilities
7. Page 7 Reviewing liquidity assessment as regulators will redefine them Extending transparency rules and their monitoring to support regulators Supporting Issuers in transparency obligations How we can help: adapting to changing rules
8. GATElab Smart Order Routing system for OTC and regulated Bonds, and Credits Page 8
9. GATElab smart solution for bonds Page 9 Credit markets are changing. A transition from voice OTC to electronic trading means that markets will be more transparent, margins will be lower and automated trading activities will increase. GATElab Smart Order Routing system for OTC and regulated Bonds and Credits is a MiFID-compliant efficient solution for trading aggregated fixed income and credit liquidity across multiple venues. This flexible system can be tailored and deployed locally at customers’ premises, or it can be offered as a hosted solution within the London Stock Exchange Group data centres.
10. GATElab Smart Order Routing system Aggregated liquidity and price discovery Page 10 Aggregated liquidity across a wide range of bond markets. Executi on Report Aggregated market view Best Execution Liquidity MOT - EuroMOT TLX - EuroTLX Bloomberg Reuters MTS HI-MTF Internal SI LSE ORB HDAT SENAF Bondvision Brokertec Tradeweb Automatic Execution Manual Execution Pre-Trade Analysis TCA
11. MiFID II is coming Page 11 Best Execution Total consideration, speed and likelihood of execution Price Discovery and aggregation Execution and Real-time transaction reporting Real-time burden of proof Historical order and execution data analysis Traceability GATElab Smart Order Routing system can provide a complete MiFID- compliant environment.
12.  Burden of Proof  Trade Reporting  Back Office Integration  Automatic  Manual  Semi-Automatic How does it work? Page 12 GATElab Smart Order Routing system offers flexible access to all OTC and regulated Bond markets. Its straightforward processing, reporting and analysis makes it easy to implement and easy to use.  Regulated Markets  ECN  Price Feeder  SI/OTFs 2. Aggregation/Pri ce Discovery 3. Order Execution Management 4. Post Trade Management  Web Interface/Retail  FIX Wholesale HUB  Remote GUIs  Voice 1. Order Flow
13. Features Order Flow Aggregation/Pr ice Discovery Order Execution Managemen t Post Trade Managem ent Trading venues MOT, EuroMOT,,TLX, EuroTLX, Bloomberg, Reuters, MTS , HI-MTF, Internal MTF, LSE ORB, HDAT, SENAF, Bondvision, Brokertec, Tradeweb Order Management Automatic Semi-Automatic Manual RFQ based Order types Limit, Market, GTD Interactive / Automatic order deletion Technology Java (client), C/C++ (server) Windows, MS SQL Linux, PostgreSQL Best Execution Price Calculation MiFID Total Consideration MM dynamic ranking list (updated hourly) Automatic Management Orders are managed by the system which discovers prices and tries best execution according to several configurable parameters (size, customer, asset class, dealer ranking list, liquidity Automatic Instrument Dictionary OTC Instruments can be created and modified in real-time and are immediately available for trading Strategies SOR behaviour can be easily tuned using strategy trading component SOR Connections FIX 4.x and 5.0, GUI, Web Gateway RFQ Can be received by customers. Can be issued to networks supporting them (Reuters TRFIT, TradeWeb, MTS BondVision) Concurrent RFQs can be handled SOR Administration Segregated users can manage mark-ups, auto/manual thresholds and SOR parameters Frontend Advanced desktop client with virtual desktops, multi-tab windows, filters, full style & colours configuration Auditing, Traceability Every execution, market data and configuration parameter is saved for proof and compliance . Automatic Instrument Dictionary OTC Instruments can be created and modified in real-time and are immediately available for trading Integration MQ, FIX, RDBMS, API, Web service, Murex, Bloomberg Trade feed Page 13
14. Page 14 Many thanks