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Deutsche BankEquities
Global Market Structure: EMEA Newsletter
Source: Thomson Reuters, Mar 2011
email: global.marketstructure@list.db.comtel: +44 207 547 4390
Sep 2011 features include:European Liquidity ........................................................... 1-2
European Venue and Market Structure News .................. 3
Index Market Share ............................................................ 5
European LiquiditySeptember saw market turnover decrease following the record highs seen during Aug 2011. Total EMEA market turnover averaged €70.4bn per day (-11.3% MoM). On-exchange turnover also decreased, averaging €41.6bn per day (-16.5% MoM), with the largest percentage decreases seen on the exchanges.OTC turnover fell by -2.4% MoM to €28.8bn per day. Previous data suggests that both on-exchange and OTC turnover will remain high as we move through Q3.
Fig 1 shows European market (exchange & MTF) monthly average daily value (ADV) for 2011 compared to 2010 and 2009. Fig 2 shows European market monthly ADV broken down by lit, non-displayed and OTC turnover. Fig 3 examines European lit market share for the month.
Monthly market ADV (Sep 2011) ADV (€bn) % Gain/Loss
Total European market ADV €70.4bn -11.3% t
Lit market ADV €40.5bn -16.8% t
Public Dark market ADV €1.1bn -5.15% t
OTC market ADV €28.8bn -2.4% t
Total RM market ADV €28.4bn -18.9% t
Total MTF market ADV €13.2bn -10.7% t
2009 2010 201160
50
40
20
30
10
0Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
€bn
Total lit & auction monthly ADV
Total OTC monthly ADV
120
100
80
40
60
20
0
€bn
Total dark on-exchange monthly ADV
Jan-10
Dec-09
Nov-09
Feb-10
Mar-10
Apr-10
May-10
Sep-10
Oct-10
Nov-10
Dec-10
Mar-11
May-11
Apr-11
Jan-11
Feb-11
Jul-10
Aug-10
Jun-10
Jun-11
Jul-11
Aug-11
Sep-11
Source: Thomson Reuters, Oct 2011
Source: Thomson Reuters, Oct 2011
Fig 1: EMEA market monthly ADV (lit & dark on-exchange)
Fig 2: EMEA market monthly ADV(lit, dark & OTC)
Source: Thomson Reuters, Oct 2011
Fig 3: European lit market share - Sep 2011 Fig 4: European lit market share - Sep 2011
BME
Xetra
Chi-X Europe
NYSE Euronext
LSE Group
Burgundy
NYSE Arca Eur
Oslo Bors
Turquoise
Other
BATS Europe
SIX Swiss
NASDAQ OMX
Venue Total Month-on-month % point differenceChi-X Europe 18.46% 2.15% sLSE Group 17.65% 0.55% sNYSE Euronext 16.14% -0.04% tXetra 14.17% -1.32% tSIX Swiss 7.31% -0.39% tNASDAQ OMX 5.76% -0.75% tTurquoise 5.52% -0.27% tBATS 5.15% 0.15% sBME 5.01% 0.12% sOther 3.08% -0.14% tOslo 1.50% 0.00% tBurgundy 0.21% -0.06% tNYSE Arca Europe 0.04% -0.01% t
Source: Thomson Reuters, Oct 2011
Source: Thomson Reuters, Oct 2011
Fig 5: European trading venue lit daily turnover (including auction) - Sep 2011
Fig 6: European trading venue non-displayed daily turnover - Sep 2011
Xetra
NASDAQ OMX
Chi-X Europe
BATS Europe
SIX Swiss
Turquoise
BME
Oslo Bors
(€bn)
14
8
10
6
4
0
2
16
18
20
12
LSE Group
NYSE Euronext
1-Sep
2-Sep
5-Sep
6-Sep
7-Sep
8-Sep
9-Sep
13-Sep
14-Sep
15-Sep
16-Sep
19-Sep
20-Sep
21-Sep
22-Sep
23-Sep
26-Sep
27-Sep
28-Sep
29-Sep
30-Sep
12-Sep
(€bn) 0.30
0.25
0.00
0.15
0.10
0.05
0.20
Xetra
Smartpool
Chi-Delta
Liquidnet
BATS Europe
Nomura NX
Turquoise
UBS MTF
0.40
0.50
0.35
0.45
Sigma X
1-Sep
2-Sep
5-Sep
6-Sep
7-Sep
8-Sep
9-Sep
13-Sep
14-Sep
15-Sep
16-Sep
19-Sep
20-Sep
21-Sep
22-Sep
23-Sep
26-Sep
27-Sep
28-Sep
29-Sep
30-Sep
12-Sep
EMEA Market Structure Monthly Newsletter 02
European Liquidity – continued
The chart below shows total lit daily turnover (including auction) on European trading venues for Sep 2011.
The chart below shows total non-displayed daily turnover on European trading venues for Sep 2011.
Options expiry - 16th Sep
Options expiry - 16th Sep
EMEA Market Structure Monthly Newsletter 03
Trading Venue News Board of LCH.Clearnet approves bid by LSE GroupThe board of LCH.Clearnet has voted to approve a takeover bid from LSE Group. The board chose to approve the LSE offer of €21 per share for 51% of the entity instead of a rival offer from Markit of €12 per share for the whole company (including an “earn-out” clause). The LSE Group offer values LCH. Clearnet at around €1bn.
Financial News reports that the investment banks that own a majority stake in LCH.Clearnet have asked LSE Group to agree to a cap on fees for an extended period in return for control of the business.
The deal must still be approved by LCH.Clearnet’s shareholders.
BaFIN approves Deutsche Börse-NYSE Euronext merger The German regulator, BaFin, has given approval for Deutsche Börse to merge with NYSE Euronext. BaFin’s approval applies particularly to Clearstream and Eurex Clearing. The merger still requires approval from groups including the finance ministry in Deutsche Börse’s home state of Hessen and the EU competition authority.
Turquoise launches FTSE index optionsOn 26 Sep 2011, Turquoise introduced FTSE index options on to its Turquoise Derivatives platform. The new product will join Turquoise’s FTSE futures products, which it launched in Apr 2011.
Turquoise announces plans to offer interoperable clearingTurquoise has announced plans to offer interoperable clearing services to participants trading on its equity platform. Interoperable clearing services will be provided by CC&G, EuroCCP, LCH.Clearnet Ltd and SIX x-clear. Participants will benefit from the opportunity to cross-margin and cross-net trades carried out across different trading venues.
Market Structure and Regulatory News
High volume trade incentives worry FSAThe FT reports that the UK regulator, the FSA, has contacted trading platform operators with concerns that some operators may by offering incentives to high volume traders that the FSA believes may be inappropriate. Concerns apparently centre round volume discount tariffs.
UK to sue ECB over clearing policyThe UK government has announced that it has commenced proceedings against the ECB (European Central Bank), through the European Court of Justice, regarding concerns about the ECB policy on clearing. Earlier this year, the ECB published a policy document requiring clearing houses to be based in the Eurozone if they handle more than 5% of the market in a euro-denominated financial product.
The policy, if enforced, has very serious repercussions on UK financial market infrastructure and could see UK clearing houses forced to relocate to Eurozone countries such as France or Germany. The UK believes that this policy will restrict the free movements of capital and infringes on the right to establish cross-border businesses across a multicurrency European Union.
European Commission publishes proposals on Financial Transaction TaxThe European Commission has published a Directive on a new FTT (Financial Transaction Tax). Under the proposals an equity cash transaction would be taxed at a minimum of 10 bps and a derivative transaction would be taxed at a minimum of 1bp. Each member state will be free to set their own individual rates so long as they are above the minimum stipulated by the Commission.
The proposals are backed by France and Germany but are vehemently opposed by the UK. The FT reports that the Commission’s own impact analysis on the tax concludes that the tax would potentially wipe out or displace 90% of derivatives transactions and reduce the EU’s economic output by nearly 2% in the longterm.
All 27 member states will need to give their approval for the tax to be approved.
Sources: FT; Oslo Børs; Financial News; The Trade; Turquoise; Chi-X Europe
EMEA Market Structure Monthly Newsletter 04
Index market share The charts below show the key European indices broken down by trading venue % market share:
Source: BATS Europe, Oct 2011
OMXS30SMI
CAC 40FTSE 100
IBEX 35DAX
TurquoiseBATS EuropeChi-X Europe NYSE Arca EurNEURO
100%
40%
60%
80%
20%
0%
LSE Group
May
- 1
1
Jun
- 11
Aug
- 1
1
Sep
- 1
1
Oct
- 0
9
Nov
- 0
9
Dec
- 0
9
Jan
-10
Feb
- 10
Mar
- 1
0
May
- 1
0
Apr
- 1
0
Dec
- 1
0
Jan
- 11
Feb
- 11
Mar
- 1
1
Apr
- 1
1
Nov
- 1
0
Oct
- 1
0
Sep
- 1
0
Aug
- 1
0
Jul -
10
Jun
- 10
Jul -
11
TurquoiseBATS EuropeChi-X Europe NYSE Arca EurNEURO Deutsche Börse
100%
40%
60%
80%
20%
0%
May
- 1
1
Jun
- 11
Aug
- 1
1
Sep
- 1
1
Oct
- 0
9
Nov
- 0
9
Dec
- 0
9
Jan
-10
Feb
- 10
Mar
- 1
0
May
- 1
0
Apr
- 1
0
Dec
- 1
0
Jan
- 11
Feb
- 11
Mar
- 1
1
Apr
- 1
1
Nov
- 1
0
Oct
- 1
0
Sep
- 1
0
Aug
- 1
0
Jul -
10
Jun
- 10
Jul -
11
TurquoiseBATS EuropeChi-X Europe NYSE Arca EurNEURO SIX Swiss
100%
40%
60%
80%
20%
0%
May
- 1
1
Jun
- 11
Aug
- 1
1
Sep
- 1
1
Oct
- 0
9
Nov
- 0
9
Dec
- 0
9
Jan
-10
Feb
- 10
Mar
- 1
0
May
- 1
0
Apr
- 1
0
Dec
- 1
0
Jan
- 11
Feb
- 11
Mar
- 1
1
Apr
- 1
1
Nov
- 1
0
Oct
- 1
0
Sep
- 1
0
Aug
- 1
0
Jul -
10
Jun
- 10
Jul -
11
TurquoiseBATS EuropeChi-X Europe NYSE EuronextNEURO
100%
40%
60%
80%
20%
0%
May
- 1
1
Jun
- 11
Aug
- 1
1
Sep
- 1
1
Oct
- 0
9
Nov
- 0
9
Dec
- 0
9
Jan
-10
Feb
- 10
Mar
- 1
0
May
- 1
0
Apr
- 1
0
Dec
- 1
0
Jan
- 11
Feb
- 11
Mar
- 1
1
Apr
- 1
1
Nov
- 1
0
Oct
- 1
0
Sep
- 1
0
Aug
- 1
0
Jul -
10
Jun
- 10
Jul -
11
TurquoiseBATS EuropeChi-X Europe NYSE Arca EurNEURO Deutsche Börse
100%
40%
60%
80%
20%
0%
May
- 1
1
Jun
- 11
Aug
- 1
1
Sep
- 1
1
Oct
- 0
9
Nov
- 0
9
Dec
- 0
9
Jan
-10
Feb
- 10
Mar
- 1
0
May
- 1
0
Apr
- 1
0
Dec
- 1
0
Jan
- 11
Feb
- 11
Mar
- 1
1
Apr
- 1
1
Nov
- 1
0
Oct
- 1
0
Sep
- 1
0
Aug
- 1
0
Jul -
10
Jun
- 10
Jul -
11
TurquoiseBATS EuropeChi-X Europe NYSE Arca EurNEURO NASDAQ OMX
100%
40%
60%
80%
20%
0%
May
- 1
1
Jun
- 11
Aug
- 1
1
Sep
- 1
1
Oct
- 0
9
Nov
- 0
9
Dec
- 0
9
Jan
-10
Feb
- 10
Mar
- 1
0
May
- 1
0
Apr
- 1
0
Dec
- 1
0
Jan
- 11
Feb
- 11
Mar
- 1
1
Apr
- 1
1
Nov
- 1
0
Oct
- 1
0
Sep
- 1
0
Aug
- 1
0
Jul -
10
Jun
- 10
Jul -
11
EMEA Market Structure Monthly Newsletter 05
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