Cboe periodic auction broker priority allocations drops

Cboe says non-broker priority allocations within its periodic auction book has risen to 80%.

The percentage of broker priority allocations on Cboe Global Markets’ periodic auction dropped in May, according to the exchange group’s monthly statistics for European equities.

According to the group’s statistics, activity on the Cboe periodic auction book as a result of broker priority allocations stood at 30% in the first quarter this year, but this has decreased to 21% in May.

Cboe said the decrease reflects the significant level of multi-lateral matching that takes place on the periodic auction book.

“While volumes in our periodic auctions book have continued to grow, the proportion that is a result of non-broker priority allocations has risen to nearly 80%, which means a significant amount of addressable liquidity is available to market participants,” Cboe’s president for Europe, Mark Hemsley, commented.

Broker priority allocations on periodic auctions have been a topic for debate amongst the institutional trading community since the introduction of MiFID II on 3 January this year.

Last week, a survey of senior buy-siders across Liquidnet’s member network found that the majority support the use of periodic auctions under the new regulatory regime, but half of respondents agreed there is a need for further regulatory tightening to curb broker preferencing activity.

Cboe saw growth in its large in scale (LIS) indication of interest and execution platform last month, with average daily notional value up from €200 million in April to €224.7 million in May. The average daily notional value on Cboe LIS has increased 71% since December 2017, according to the group.   

“As the overall large-in-scale market has grown since the implementation of MiFID II, market participants are increasingly turning to Cboe LIS, which now accounts for 17% of the LIS market since launching just 18 months ago,” Hemsley concluded.