February 2018- From LSEG to the Buyside
12 Feb 2018
Highlights
- Record £400mln+ monthly traded via LSE Mid-Point Pegged Order
- Record €9.25bn monthly traded via Turquoise Plato Block Discovery™
- Turquoise Lit Auctions™ to introduce Minimum Execution Size: 5 March
- Borsa Italiana announces changes on tick sizes
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™
- Turquoise will introduce Minimum Execution Size (MES) for orders on Turquoise Lit Auctions™ Order Book; in production on 5 March 2018
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
Buyside Roadshow- Germany 01 March, Frankfurt |
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. |