UT (Tax & Chancery) UT-2022-000134 UT-2022-000135 UT-2022-000137 - [2025] UKUT 00214 (TCC)

Mr Kasapis concluded that the Large Orders of 200 to 500 lots would be easily absorbed by the high immediate liquidity of contracts being traded at that time.

Mr Kasapis looked at traded volumes around the time of the Specified Instances – in the five minutes before the start of the Instance (excluding any MHI trades), the traded volumes whilst the first Large Order was live (excluding any MHI trades) and then aggregating volumes and also looking at mean percentages. He concluded that on average the market was highly liquid both before and during the Specified Instances and could easily absorb the Large Orders.

Mr Shivji criticised this approach, submitting it was flawed in several respects including:

The Tribunal agrees with Mr Shivji’s criticisms of the approach taken. However, the inclusion of the five minutes before the Instances, whilst not, we accept, relevant to the views of market participants at the time (with Mr Creaturo not being persuaded that any market maker would look at liquidity in this way), was helpful to us in understanding levels of traded volumes in the market around the times of the Instances (as otherwise we only had the traded volumes during the Instance itself).

An extract from Mr Kasapis’s table, with the Authority’s addition of the concurrent Large Order size in each Instance, shows the following:

The Tribunal identifies that there is a wide variation in the traded volumes across the Specified Instances, both objectively and by reference to the size of the concurrent Large Orders. We do not agree with Mr Kasapis’s conclusion that this analysis shows high immediate liquidity during all of the Specified Instances.