November 2017 - LSEG to the Buy Side

November 2017 - LSEG to the Buy Side

8 Nov 2017
Monthly Volume Report

Highlights

Turquoise Plato™

  • The constituents of the FTSE AIM UK 50 index and FTSE AIM UK Reserve List are now available to trade on Turquoise
    -   Total value traded: €139.4mln (57% in Turquoise Plato™) since 16 October
    -   Largest trade was €1.1mln in ASOS, facilitated by Turquoise Plato Block Discovery™

  • Turquoise Plato Block Discovery™ Records in October:
    -   Record Trade = €15.5mln in BASF on 11 October
    -   Record Daily Value Traded = €458mln on 25 October
    -   Record Weekly Value Traded = €1.95bn between 23-27 October
    -   Record Monthly Value Traded = €7.55bn in October 2017

(ABOVE) Data and graph from Fidessa’s Top of the Blocks: Block Trading Report: http://fragmentation.fidessa.com/venuestats/blockvenues/ (The report includes all trades larger than the MiFID I large in scale LIS threshold on the selected venues)
  • Graph above reflecting that Turquoise Plato Block Discovery™ had the highest total value (€mln) traded in LIS Band 5 stocks (week ending 27 Oct)

MiFID II Double Volume Caps

  • Updated analysis on estimated impact of MiFID II DVCs has found that 88 of FTSE 100 stocks are expected to be impacted
    -   The estimated results cover the period of Jan-Sept 2017, using data that will form the basis of the actual ESMA assessment
    -   Calculated for only 95 securities which have been consistently in the FTSE 100 index over the period and so have a complete dataset
    -   Please contact institutionalinvestors@lseg.com for more detail on these figures
DVC as % EU Venua Value Traded Stock Count
0 - 8% 7
8 - 10% 14
10 - 15% 70
15 - 20% 4
20 - 25% 0
> 25% 0

London Stock Exchange

London Stock Exchange Mid Point Pegged Orders

  • Total value traded in Mid-Point Pegged Orders in Q3 2017 was £285mln (+116% YoY)
  • Since the enhancements (below) to Mid-Point Pegged Orders there has been a +148% growth in the value traded through the order type
    -   User defined Minimum Execution Size
    -   Automatically parking of Mid-Price Pegged Order
    -   New IOC/FOK TIF for Mid-Price Pegged Orders

(ABOVE) Monthly value traded through London Stock Exchange Mid-Point Pegged Orders (£mln)

Fixed Income

  • On 11 October, Abu Dhabi issued the second largest sovereign bond from an emerging market seller in 2017 on London Stock Exchange
    -   The $10bn deal is Abu Dhabi's largest ever transaction

Derivatives

  • The latest LSEG Derivatives Newsletter highlights how to use equity derivatives to optimise risk-reward for fundamental managers
  • CurveGlobal achieves record volumes of 226,138 lots in October

Primary Markets

  • Russia’s En+ Group lists on London Stock Exchange
    -   En+ Group raises $1.5 billion from international investors, valuing the company at $8 billion
    -   Largest Russian IPO globally since 2012, reinforcing London Stock Exchange’s position as global partner of choice for international Russian fundraising
  • In October, 3 IPOs on Borsa Italiana, raising €2.93bn

ETFs

  • 15 new ETFs listed on London Stock Exchange in October 
  • Total number of listings YTD is 126
Conferences & Events

PWC Conference on Asset Management
09 November, Geneva

Fixed Income Future Leaders Summit 2017
7-9 November, Amsterdam

FIX Trading Conference
14 November, Paris

LAAG Working Group
23 November, Nairobi

FIA ASIA 2017
28-30 November, Singapore
Did you know that... In October, the FTSE 250 turned 25. The index was first launched on 12 October 1992, and has come a long way in 25 years. It has become a flagship within FTSE Russell’s line-up of indexes. Robust in its ability to mirror a dynamic segment of the UK equity market, the index is trusted and used daily by asset managers, asset owners, brokers and investment banks across the UK and globally.