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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