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% € 5 Billions € 2.7 4.57% 5% 4.34% 3.92% € 4 3.92% 3.75% 3.45% € 1.9 4% € 3 2.79% € 1.3 3% € 1.0 € 2 € 4.0 € 3.7 € 3.7 2% € 3.6 € 3.6 € 3.5 € 3.4 € 3.2 € 0.7 € 3.0 € 2.8 € 2.3 € 1 € 2.0 1% € 1.2 € - 0% 2010 2011 2012 2013 2014 2015 2016 2017 2018 Jan-19 Feb-19 Mar-19 Apr-19 BCN ADVT Dark ADVT Combined Market Share Source: Rosenblatt Securities, company reports, Cboe Europe Equities, Fidessa, Reuters Includes reporting BCNs and estimates for non-reporting BCNs
3 Post-Cap Expiry: Dark Pools Surge; Lit Exchanges Slump 36.53% 33.04% 31.02% 31.54% 20.56% 18.52% 9.45% 8.56% 5.13% 2.32% 2.16% 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
4 Periodic Auctions Grab Market Share € 1.6 4% First Set of Dark Caps € 1.4 3% Expire 2.50% € 1.2 3% € 1.0 2% Introduction of MiFID II Dark- € 0.8 Billions Pool Caps 2% € 0.6 1% € 0.4 1% € 0.2 € - 0% 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 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 Source: Cboe Europe and Rosenblatt Securities
5 SI ADVT Breakdown and Market Share of Consolidated Turnover € 20 25% € 18 2.44% € 16 3.44% 20% 2.41% 2.57% 2.68% 3.56% € 14 2.48% 3.78% 3.50% 3.36% Billions 3.55% € 12 15% 7.23% 3.29% 6.82% 2.36% 7.45% 3.94% 3.64% 6.69% 5.51% 3.28% € 10 6.47% 6.68% 6.53% 6.38% 5.29% 5.64% 5.75% € 8 6.21% 5.72% 10% 5.92% 10.38% 4.97% 7.40% 7.85% € 6 8.23% 8.31% 8.74% 6.81% 6.92% 7.04% 6.78% 7.23% 6.50% € 4 5% 8.30% 6.18% 6.68% 6.93% € 2 € - 0% 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 After Close Adjusted LIS Adjusted Sub-LIS Sources: Rosenblatt Securities, Big XYT
6 ELP SIs Emerge as New Liquidity Sources € 1,600 1.80% 1.66% 1.48% 1.71% € 59 € 58 € 55 1.60% € 1,400 € 196 € 199 € 254 1.40% 1.55% € 1,200 € 53 € 207 € 181 1.31% 1.27% Millions 1.20% € 154 € 176 € 63 € 68 € 1,000 € 107 € 89 € 117 € 264 € 271 1.00% € 83 € 85 € 258 € 800 € 264 0.80% € 262 € 263 € 600 € 352 € 346 € 335 0.60% € 268 € 230 € 226 € 400 0.40% € 424 € 426 € 200 € 372 0.20% € 330 € 320 € 314 € 0 0.00% Nov-18 Dec-18 Jan-19 Feb-19 Mar-19 Apr-19 TOWER RESEARCH CAPITAL EUROPE SI (TRSi) JANE STREET EQUITY SI (JX-SI) CITADEL CONNECT EUROPE HRT SI XTX SI VIRTU SI Sources: Rosenblatt Securities, company reports
7 Overall European Equity Market Share by Type Periodic Periodic Auction, Auction, 0.025% Periodic Auction, Open, 0.49% Open, 0.46% Open, 0.43% 1.160% 1.163% 100% 4.82% 3.73% 4.41% 8.77% 9.81% 10.21% 1.41% 80% 20.68% 20.37% 39.02% 60% 21.62% 25.47% 40% 45.47% 42.57% 20% 37.93% 0% 2017 2018 2019 YTD Lit OTC SI Close Dark Periodic Auction Open Source: Cboe Europe, Fidessa and Rosenblatt Securities
8 Contact: Anish Puaar Market Structure Analyst, Europe Rosenblatt Securities apuaar@rblt.com + 44 7739 720 366
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