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The Great Dexia Debate – a resolution

Those of you who follow this blog will know that we have been thinking hard about how we should best treat stocks that are listed on multiple order books within Euronext (see The Great Dexia Debate). Below is a note from the labs on the planned changes to address the problem. Given the aim of this site is to examine fragmentation between primary exchanges and the new MTFs I think this approach achieves that goal.

FFI for Dual Listed Stocks
Around 2% of our stock coverage includes dual listed stocks (such as Dexia and Fortis) which are traded on multiple primary exchanges. Currently the FFI tracks these listings as a single stock which looks heavily fragmented between those venues. However, we have decided it will be more informative to view them as separate stocks. This is in line with the new MTFs which trade either one or other of the listings, but not both.

The current calculation of the FFI for the dual listed stocks is higher than it should be, and the corresponding indices also have a higher FFI. Another side-effect is that MTFs and primary exchanges trading one listing are credited with volume against the other listing in another index. This has an affect on the turnover figures and market share figures for the various indices and exchanges.

We will be updating the site over this weekend so that the calculation of the FFI will treat each listing as a separate instrument. Each exchange/MTF will be associated with one or other of the listings, not both. So, when you look at the site on Monday you will notice that the affected stocks and their associated indices have a lower FFI. Also, we will be applying the new calculation retrospectively to ensure the historical charts are correct.

As an example, the FFI for Dexia (traded on Paris and Brussels) was 2.04 for 24th November (regardless of whether you look at the Brussels or the Paris listing). Under the new calculations the FFI for Dexia would be 1.01 on Brussels and 1.12 on Paris; the FFI for the CAC 40 would go down from 1.41 to 1.31.

The stocks/indices affected by this change are listed here:

Stock Description ISIN Cur Primary Index
DX.PA DEXIA BE0003796134 EUR Paris CAC 40
DEXB.BR DEXIA BE0003796134 EUR Brussels BEL 20
GSZ.PA GDF SUEZ FR0010208488 EUR Paris CAC 40
GSZB.BR GDF SUEZ FR0010208488 EUR Brussels BEL 20
MTP.PA ARCELORMITTAL LU0323134006 EUR Paris CAC 40
MT.AM ARCELORMITTAL LU0323134006 EUR Amsterdam AEX
UL.PA UNIBAIL RODAMCO FR0000124711 EUR Paris CAC-40
ULA.PA UNIBAIL RODAMCO FR0000124711 EUR Amsterdam AEX
FORB.BR FORTIS BE0003801181 EUR Brussels BEL-20
FORA.AM FORTIS BE0003801181 EUR Amsterdam AEX
STM.MI STMICROELECTRONICS NL0000226223 EUR Milan MIB-30
STM.PA STMICROELECTRONICS NL0000226223 EUR Paris CAC-40
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