European Equity Liquidity Update FESE General Assembly 2019 4 June, - - PowerPoint PPT Presentation

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Apr 09, 2023 14 likes •100 views

European Equity Liquidity Update FESE General Assembly 2019 4 June, 2019 2 The New Norm: Dark Trading Starts to Stabalise 9 10% 8.91% 8.77% 8.39% 9% 8 7.93% 8% 7.36% 7 7% 6 3.9 4.0 6% 4.1 5.34%

SLIDE 1

European Equity Liquidity Update

FESE General Assembly 2019

4 June, 2019

SLIDE 2

The New Norm: Dark Trading Starts to Stabalise

Source: Rosenblatt Securities, company reports, Cboe Europe Equities, Fidessa, Reuters Includes reporting BCNs and estimates for non-reporting BCNs

€ 1.2 € 2.0 € 2.3 € 2.8 € 3.2 € 4.0 € 3.6 € 3.4 € 0.7 € 1.0 € 1.3 € 1.9 € 2.7 € 3.9 € 4.0 € 4.1 € 3.0 € 3.5 € 3.7 € 3.6 € 3.7 2.79% 3.92% 5.34% 7.36% 7.93% 8.39% 8.91% 8.77% 3.45% 4.57% 4.34% 3.92% 3.75% 0% 1% 2% 3% 4% 5% 6% 7% 8% 9% 10% € - € 1 € 2 € 3 € 4 € 5 € 6 € 7 € 8 € 9 2010 2011 2012 2013 2014 2015 2016 2017 2018 Jan-19 Feb-19 Mar-19 Apr-19 Billions BCN ADVT Dark ADVT Combined Market Share

SLIDE 3

Post-Cap Expiry: Dark Pools Surge; Lit Exchanges Slump

36.53% 33.04%

31.02% 31.54% 18.52% 20.56% 9.45% 8.56%

2.16% 5.13%

2.32% 1.17%

Before After Lit SI OTC Open/Close Dark Periodic

Sources: Rosenblatt Securities, Big XYT Note: Covers 360 stocks belonging to major European indices that were banned from dark pools for six months from March 2018

SLIDE 4

Periodic Auctions Grab Market Share

Source: Cboe Europe and Rosenblatt Securities

2.50% 0% 1% 1% 2% 2% 3% 3% 4% € - € 0.2 € 0.4 € 0.6 € 0.8 € 1.0 € 1.2 € 1.4 € 1.6 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Aug-18 Sep-18 Oct-18 Nov-18 Dec-18 Jan-19 Feb-19 Mar-19 Apr-19 Billions Cboe Periodic Auctions ADVT Sigma X Auction Book ADVT Turquoise Lit Auctions ADVT Nasdaq Auction on Demand ADVT ITG Posit Auction ADVT Aquis Auction on Demand ADVT UBS MTF Auction % Of On-Venue

Introduction of MiFID II Dark- Pool Caps First Set of Dark Caps Expire

SLIDE 5

Sources: Rosenblatt Securities, Big XYT

SI ADVT Breakdown and Market Share of Consolidated Turnover

6.93% 6.92% 8.31% 7.85% 8.23% 7.40% 8.74% 8.30% 10.38% 6.81% 6.18% 7.04% 6.68% 7.23% 6.78% 6.50% 5.29% 6.47% 7.45% 6.82% 6.69% 5.51% 6.68% 6.21% 7.23% 5.75% 4.97% 5.72% 5.92% 6.53% 5.64% 6.38% 2.36% 2.48% 2.44% 2.41% 2.68% 2.57% 3.36% 3.64% 3.44% 3.50% 3.28% 3.29% 3.94% 3.78% 3.55% 3.56%

0% 5% 10% 15% 20% 25% € - € 2 € 4 € 6 € 8 € 10 € 12 € 14 € 16 € 18 € 20 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Aug-18 Sep-18 Oct-18 Nov-18 Dec-18 Jan-19 Feb-19 Mar-19 Apr-19 Billions After Close Adjusted LIS Adjusted Sub-LIS

SLIDE 6

Sources: Rosenblatt Securities, company reports

ELP SIs Emerge as New Liquidity Sources

€ 320 € 314 € 330 € 372 € 424 € 426 € 230 € 226 € 268 € 335 € 352 € 346 € 262 € 263 € 264 € 258 € 264 € 271 € 83 € 85 € 117 € 176 € 207 € 181 € 89 € 107 € 154 € 254 € 196 € 199 € 68 € 63 € 53 € 55 € 59 € 58 1.27% 1.31% 1.55% 1.71% 1.66% 1.48% 0.00% 0.20% 0.40% 0.60% 0.80% 1.00% 1.20% 1.40% 1.60% 1.80% € 0 € 200 € 400 € 600 € 800 € 1,000 € 1,200 € 1,400 € 1,600 Nov-18 Dec-18 Jan-19 Feb-19 Mar-19 Apr-19 Millions TOWER RESEARCH CAPITAL EUROPE SI (TRSi) JANE STREET EQUITY SI (JX-SI) CITADEL CONNECT EUROPE HRT SI XTX SI VIRTU SI

SLIDE 7

Overall European Equity Market Share by Type

Source: Cboe Europe, Fidessa and Rosenblatt Securities

45.47% 42.57% 37.93% 39.02% 21.62% 25.47% 1.41% 20.68% 20.37% 8.77% 9.81% 10.21% 4.82% 3.73% 4.41%

Periodic Auction, 0.025% Periodic Auction, 1.163% Periodic Auction, 1.160%

Open, 0.49% Open, 0.43% Open, 0.46% 0% 20% 40% 60% 80% 100% 2017 2018 2019 YTD Lit OTC SI Close Dark Periodic Auction Open

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