1

Chi-X Japan Monthly Report

September, 2020

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Markets operated by Chi-X Japan

PTS Trading ToSTNeTReporting

Continuous Matching Periodic Matching

Chi-Alpha

Main PTS8:20-16:00

Chi-Select

Retail & DMM8:20-16:00

Chi-Match

TSE VWAP CrossingPre-Market Open

Kai-X

Broker NeutralDarkpool

9:00-15:00

Chi-Alpha & Select

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Overview - Chi-Alpha & Chi-Select

Chi-Alpha is a venue run by Chi-X Japan operating since the start of the business

Chi-Select is catered to retail focused brokers with features allowing them to provide their clients with better execution

Key Features Continuous matching between 8:20am to 4:00pm for stocks listed on TSE Various order types – Pegged, Post-only, Iceberg, IOC/FOK Robust, resilient, stable, low latency platform

Values Price Improvement opportunities, esp. Mid/Small Caps Market making / Order posting opportunities Faster / higher execution opportunities

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Statistics - Chi-Alpha & Chi-Select

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

0

20

40

60

80

100

120

Jul-

18

Aug-1

8

Sep-1

8

Oct-

18

Nov-1

8

Dec-1

8

Jan-1

9

Feb-1

9

Mar-

19

Apr-

19

May-1

9

Jun-1

9

Jul-

19

Aug-1

9

Sep-1

9

Oct-

19

Nov-1

9

Dec-1

9

Jan-2

0

Feb-2

0

Mar-

20

Apr-

20

May-2

0

Jun-2

0

Jul-

20

Aug-2

0

Sep-2

0

JPY b

illion

Average Daily Execution Market Share - All Large Mid Small

Average PI (bps)

MarketShare (%)

Large 0.6 1.5

Mid 2.8 3.7

Small 3.6 4.2

T2/J/M 9.5 2.3

ETF/REIT 11.4 2.1

Overall 4.2 2.6

Large

24%

Mid

37%

Small

22%

T2/J/M

10%

ETF/REIT

7%

Execution Value Breakdown

Market share: Chi-X’s 2 markets among lit markets (TSE, Chi-Alpha, Chi-Select, JNX-J, JNX-X)PI (Price Improvement): it compares the trade price vs. TSE's best bid for sell or best offer for buy at each point of trade and is calculated from the perspective of the Taker of the trade. The average calculation includes trades at TSE price.

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Statistics - Chi-Alpha & Chi-Select

Top Symbols by Execution

JPY Share %

9984 SOFTBNKG 71,687,161,830 2.5

1570 NFNKLV 37,642,929,302 1.4

7974 NINTEND 36,978,296,900 2.2

3962 CHANGE 20,302,282,700 3.3

9434 SOFTBANK 16,609,459,850 1.3

6920 LASRTEC 16,327,831,900 4.7

2413 M3 16,052,138,200 3.5

4755 RAKUTEN 12,896,313,740 4.2

4689 ZHD 12,632,362,740 3.7

6758 SONY 12,602,917,460 1.4

Chi-Alpha & Chi-Select combinedMarket share of Chi-X’s 2 markets among lit markets (TSE, Chi-Alpha, Chi-Select, JNX-J, JNX-X)

Top Symbols by Market Share

JPY Share %

4041 NP-SODA 808,246,190 11.7

3528 PROSPECT 177,590,930 10.7

6737 EIZO 507,587,190 10.2

2659 SAN-A 487,481,520 9.3

1580 225 BEAR 190,507,422 9

6622 DAIHEN 696,286,330 8.9

7238 AKEBONO 273,929,690 8.8

5967 TONE 9,134,660 8.7

9037 HAMAKYO 234,425,360 8.6

7846 PILOT 529,195,570 8.6

Average Daily Execution JPY 80,336,646,998

Monthly Total Value JPY 1,606,732,939,964

Monthly Total Volume Shares 1,021,452,209

Chi-Match

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Overview – Chi-Match

Chi-Match allows participants to find counterparties to trade at TSE’s VWAP before the market open, hence offload the trading risk in the continuous matching hours.

How does it work?

Order acceptance (from 8:20 to each pre-matching time)

• Order Type: Full-day VWAP / PM VWAP / AM VWAP

Pre-matching time / Sessions

• Full-day VWAP : 8:33, 8:45, 8:52, 8:56

• PM VWAP : 12:15, 12:25

• AM VWAP : 8:45, 8:52

Trade execution (after market close)

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Chi-Match - Execution Value Trend

Spikes on major index rebalance days (MSCI, TOPIX, N225) and SQ days

0.0

5.0

10.0

15.0

20.0

25.0

Jun-19 Jul-19 Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 Jan-20 Feb-20 Mar-20 Apr-20 May-20 Jun-20 Jul-20 Aug-20 Sep-20

JPY b

illion

Record High(9 July 2019)

22.2 billion yen

Execution value is double-sided

September 2020

Average Daily Execution JPY 630,911,419

Max Daily Execution (Sept 18) JPY 1,613,441,098

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Chi-Match Statistics

By Session

8:33 0.9%

8:45 1.1%

8:52 0.8%

8:56 0.0%

12:15 1.8%

12:25 0.8%

Execution Ratio (Trade Lot/Order Lot)

By Market Cap

Large 1.9%

Mid 0.7%

Small 0.9%

TSE2/J/M 0.2%

ETF/REIT 1.0%

0

200

400

600

800

1,000

Large Mid Small TSE2/J/M ETF/REIT

Lot

Average Order Size & Trade Size

Order Trade

0

10

20

30

40

50

60

70

Large Mid Small TSE2/J/M ETF/REIT

JPY m

illion

Order Trade

0

20,000

40,000

60,000

80,000

8:33 8:45 8:52 8:56 12:15 12:25

Order Lot by Session (Daily Average)

Kai-X

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Overview - Kai-X

Kai-X is a broker neutral ToSTNet cross system where participating brokers bring together non-displayed orders and anonymously cross.

It enables brokers to source additional liquidity from others without disclosing their order flows. It also serves as “outsourcing” of dark pool for brokers who wish to reduce system development and maintenance cost.

The same trading hours as that of TSE.

Crossing at a better than TSE price (especially Mid-point of TSE spread) is pursued.

It is designed to equalize the latency gap among participants.

MEQ (Minimum Execution Quantity; single counter party) and Self-Cross Prevention (among the same brokers; among the same institutional investors) available.

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Kai-X Execution Snapshot

0.0

1.0

2.0

3.0

4.0

5.0

Dec-18 Mar-19 Jun-19 Sep-19 Dec-19 Mar-20 Jun-20 Sep-20

JPY b

illio

n

Average Daily Execution Value

Avg PI (bps)

Avg PI (spread)

Avg Order Resting Time (s)

Large 1.6 43.0% 402

Mid 6.6 48.9% 102

Small 9.1 49.4% 165

TSE 2/J/M 11.9 46.8% 185

ETF/REIT 5.3 49.8% 59

Overall 6.9 48.7% 129

Large

8%

Mid

65%

Small

17%

TSE2/J/M

3%

ETF/REIT

7%

Execution Value Breakdown

PI compares the trade price vs. TSE's best bid for sell or best offer for buy at each point of trade and is calculated from the perspective of the Taker of the trade. The average calculation includes trades at TSE price.

Average Daily Execution JPY 2,587,101,708

Average Trade Size 1.3 Lots

% of Mid-point Trade 94.4%

* Execution value is double-sided

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Kai-X Order Snapshot

* Order size is weighted by resting time

0

20

40

60

80

Average Order Size (Lot)

0

200

400

600

800

1000

1200

1400

Average Daily Active Symbol Count

Large

Mid

Small

TSE2/J/M

ETF/REIT

0

50

100

150

200

250

May-19 Jul-19 Sep-19 Nov-19 Jan-20 Mar-20 May-20 Jul-20 Sep-20

JPY b

illion

Average Daily Order Value

(Marketable Mid-Pegged)

Top Symbols by Avg Order Lot Size (Large)

7202 ISUZU 287

2914 JT 222

7733 OLYMPUS 120

9202 ANA 109

8591 ORIX 87

4543 TERUMO 64

9201 JAL 61

6752 PANASNIC 55

4502 TAKEDAP 51

7267 HONDA 34

Top Symbols by Avg Order Lot Size (Mid)

8586 HIT-CAP 886925 USHIO 70

7459 MEDIPAL 65

4689 ZHD 62

8028 FAMILYMA 55

4091 TAIYSANS 51

7984 KOKUYO 49

2768 SOJITZ 45

8697 JPX 40

4732 USS 35

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Disclaimer

© 2020, Chi-X Japan Limited. All rights reserved. Chi-X is a registered trademark.

Chi-X Japan operates PTSs (proprietary trading systems) to match equity orders from participants who are registered broker-dealers in Japan. Chi-X Japan does not provide its services for persons other than Professional Investors. The information provided here (the “Information”) is intended for Professional Investors only. Under no circumstances may the Information be used or relied upon, or otherwise considered as an offer to purchase or sell any security, or as a solicitation or recommendation of the purchase, sale, or offer to purchase or sell any security.

Redistribution or reproduction of this information is prohibited. The copyright of the Information shall be retained by Chi-X Japan, in principle, and redistribution or reproduction of the Information without Chi-X Japan’s permission is prohibited by the Copyright Act.

Chi-X Japan has taken care to ensure that the Information is correct at the time of its preparation, but shall not be liable for any loss or damage arising out of reliance on the contents thereof.

Chi-X Japan Limited.A Financial Instruments Firm registered with the Director of the Kanto Local Finance Bureau of the Ministry of Finance (Kin-sho) No. 2426

Association Memberships: Japan Securities Dealers Association