February 2018- From LSEG to the Buyside

Highlights

LSE Mid-Point Pegged Order

  • Highest ever monthly value of £400.4mln traded via LSE Mid-Point Pegged Order
    - Represents +478% increase from December 2017 volumes
  • £50.7mln on 12 January was largest day by value traded through Mid-Point Pegged Orders
    - Record largest trade in an individual stock was £2.95mln in CSPX.L on 9 January

  • Resting hidden LIS orders are pegged to SETS midpoint, eliminating latency arbitrage risk
    - User defined MES
    - Automatically parking
    - Ability for resting orders to interact with both lit and dark contra liquidity
 
(ABOVE) Total value traded (£mln) through Mid-Point Pegged Orders on London Stock Exchange from Jan 2017 to Jan 2018

Turquoise Plato™ 

  • January 2018 monthly record = €23.4bn (ADV €1.1bn)
  • January highest monthly value traded via Turquoise Plato Block Discovery™ at €9.25bn
    - +22% from previous record of €7.55bn in October 2017
    - More than 5x Jan 2017 = €1.70bn
    - More than 55x Jan 2016 = €0.17bn
    - More than 144x Jan 2015 = €0.06bn
  • Record weekly value traded via Turquoise Plato Block Discovery™ of €2.34bn between 29 January-02 February

  • Record daily traded via Turquoise Plato Block Discovery™ on 11 January was €575.4mln
    - +25% increase on 2017 previous highs
  • Turquoise Plato™ as whole set new weekly record of €5.56bn traded at across all the dark order book (+13% above prior record Brexit)

(Above) Growth of Turquoise Plato Block Discovery™- New Records in 2017 and January 2018 surpass extraordinary June 2016 Source: Turquoise analysis

Turquoise Lit Auctions™

London Stock Exchange Order Book 

  • In January, monthly ADVT traded in LSE Closing Auction was £1.6bn, comprising 27% of on-book volume
    - The closing auction represents the record of reference for passive fund managers

  • £5.96bn ADVT on LSE Order Book in January, up from £5.09bn in December
Calendar Month Daily Value Traded (£bn) ADVT Closing Auction (£bn) % of On-Book Trading
Jan-18 £5.96 £1.6 27%
Dec-17 £5.09 £1.53 30%
Nov-17 £5.5 £1.51 27%
Oct-17 £5.04 £1.33 26%
Sept-17 £5.19 £1.52 29%
Sept-17 £4.7 £1.24 26%
 (Above) Source: London Stock Exchange Group Market Analysis- 05 February 2018
  • £1.34 trillion traded on LSE Order Book in 2017, the highest annual value since 2007
    - New annual record of 258.7mln trades over the year

Borsa Italiana

  • On 29 January, tick sizes assigned to shares traded on MTA, MIV, BIT Eq MTF and AIM Italia/MAC were modified
    - The updated list of shares and the related tick size table available on Borsa Italiana’s website

ETFs

  • On London Stock Exchange:
    - ETPs on-book turnover reached £10.5bn in January 2018, 31% up compared to last year's January
    - China Post Global lists new ETF which provides exposure to 150 Japanese companies
    - UBS lists two socially responsible ETFs, hedged in GBP and USD
  • On Borsa Italiana:
    - Franklin Templeton lists five Smart Beta ETFs listed on ETFplus
    - Listing of PowerShar Ita PIR Mul-Ass Port UCITS ETF

Fixed Income

  • €180mln of the new Carraro International S.E. 2018-2025 bonds distributed on EuroMOT

ELITE

  • ELITE celebrated the completion of its first bond transaction  in partnership with Banca Finint
    - The €122 mln ten-year bond is made up of ten well performing and innovative Italian ELITE companies
    - Lead investors are the European Investment Bank and Cassa Depositi e Prestiti.

Derivatives

  • Four new IOB derivatives made available to trade on LSEDM order book
  • Curve Global open Interest rose to 137,274 lots in January (+31% vs. Nov 2017)
Conferences & Events

Milano European Financial Hub
27 February, Milan


The Trade MiFID II Event
28 February, London
 

Buyside Roadshow- Germany

01 March, Frankfurt

Rosenblatt's Annual European Market Structure Conference
21 March, Paris

Buyside Roadshow-Ireland
March TBC, Dublin

FIX Trading Conference
15 March, London

Trade Tech Conference
25-26 April , Paris

Did you know that...

Last week, FTSE Russell designed the FTSE Women on Boards Leadership Index Series to help investors and other market participants integrate leadership in gender diversity into a broad market benchmark.