December 2017- From LSEG to the Buyside

Highlights

  • Turquoise Lit Auctions™ went live on 04 December 2017
  • LSE estimates potential effects of MiFID II tick tables
  • IOB stocks continue to trade in large blocks through CPX
  • FTSE Italia PIR Mid Cap Futures go live on IDEM
  • JP Morgan Asset Management lists first two European ETFs

Turquoise Plato™

(ABOVE) LiquidMetrix independent analysis, October 2017; Source: LiquidMetrix, Turquoise
  • €260mln value traded on Turquoise in AIM securities since admission
    - Trading at mid through Turquoise Plato™ allows investors relevant saving opportunities: 24.6 bps half the average weighted spread of FTSE AIM UK 50 stocks
    - Largest trade was €1.1mln in ASOS, facilitated by Turquoise Plato Block Discovery™

MiFID II Tick Size Changes:

Index Larger Same Smaller
FTSE 100 2 53 45
FTSE 250 126 91 33
FTSE Small Cap 214 2 72
AIM on SETS 78 13 67
Other SETS Securities 83 2 30
Non-SETS 775 40 271
IOB (Cleared) 44 25 9
IOB (Uncleared) 27 - -
(ABOVE) MiFID II Tick Table calculations are based solely on London Stock Exchange data. This assessment assumes that London Stock Exchange is the most relevant market by liquidity for all instruments.

64% of LSE equities and depositary receipts are expected to have a less granular tick
- The majority of FTSE 100 instruments will have either the same or a more granular tick
- Mid and Small Cap securities will, in general, have a less granular tick 

London Stock Exchange and Borsa Italiana Share of Lit Trading

CPX

  • In November, IOB stocks continue to trade in large size during the CPX session
    - Max trade size was Samsung (SMSN.L) for £4.2mln
Date Most Traded Symbol in CPX Total Value Traded Max Trade as a % of LIS
07-Nov LKOD £1.21mln 546%
09-Nov MNOD £2.24mln 1015%
10-Nov MNOD £1.13mln 509%
15-Nov SVST £0.88mln 393%
20-Nov LKOD £2.07mln 928%
21-Nov SMSD £1.5mln 674%
23-Nov NVTK £0.88mln 396%
24-Nov SBER £1.15mln 518%
28-Nov SMSN £4.21mln 1884%
(ABOVE) London Stock Exchange CPX data
  • CPX offers the ability to trade at the Close Price for a 5 minute period after the end of day auction uncross
    - IOB’s CPX session is 20 minutes long (15:40-16:00)

Derivatives 

  • IDEM announces the launch of the new contract futures on the FTSE Italia PIR Mid Cap Total Return Index
    - IDEM has also increased the number of Mid Cap stock options, adding 10 new contracts to the existing 21, to provide investors with wider coverage
    - Exane and Societe Generale are acting as market makers

  • 896,127 lots traded on LSEDM in November (highest since May 2014)

Primary Markets

  • Bakkavor joined London Stock Exchange Main Market with a market capitalisation of over £1bn
    - Overall, 10 IPOs across all markets, raising £2.37bn

  • Two IPOs on AIM Italia in November, raising €46.5mln

ETFs

  • JP Morgan Asset Management lists first two European ETFs on London Stock Exchange
    - 14 new ETFs listed on London Stock Exchange in November
    - Total on-exchange value traded YTD is £298.2bn through 3.5mln trades, up by 2% compared to same period in 2016

  • 14 new ETFs listed on ETF Plus in Milan

Conferences & Events

Buy-Side Team Roadshow in Switzerland
20-21 December, Geneva

Italian Equity Roadshow
15-16 January, London

Trader Forum
17-18 January, Miami

Did you know that...

ELITE welcomed 21 new international companies in November, bringing the total number of ELITE companies to 683. The businesses come from a wide range of sectors, including technology, leisure goods and media. In addition, ELITE also launched in Brazil and West Africa