Best Execution &The Changing Landscape of European Equity Markets
September 2008
Best execution? Best check Chi-X!
The Historic Model
Trading ClearingSettlement
UK
Euronext
German
Swiss
Nordic
Ltd
SA
Bi-lateral settlement
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Trading
Clearing
Settlement
Live Sept 2008
ProjectProject
SA
Post MiFID : The Competition
LIVE March 2007
EMCF
Project
EMCF EMCF
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FASTER
CHEAPER
SMARTER
Check
Check
Check
Standard FIX 4.2 ConnectivityLow Latency
High message capacity
Lower trading fees Free market data
Lower clearing fees No connection or membership
charges
Anonymous order driven marketPan European CCP
Innovative pricing modelPrice Improvement
Why has Chi-X succeeded where others have failed ?
* Based on a 50/50 aggressive/passive ratio
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Connectivity Options
Client
500 microseconds
Chi-X Equinix Suite
Co-lo1.4 - 2 ms
NetworkServiceProvider
Leasedline
+/- 5 - 7ms
Equinix Service Provision
Connectivity Layer
Order entry
Quotes
+/- 3ms
Round trip latency in all cases
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Trading Tariff
Trading fees on Chi-X
Aggressive execution fee 0.30bps
Passive execution rebate 0.20bps
Order entry, amendments & deletions no charge
Membership & application no charge
Market data FREE
OTC trade reporting (optional) £210 pcm Aggressive execution Order hits Chi-X order book and immediately results in execution Passive execution Order is placed on Chi-X order book and executed as a result of being hit by an incoming order
The Chi-X business model is based on the principle that the user pays only for services consumed
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Trading Costs: Chi-X ‘vs’ Exchanges
* based on a passive/aggressive execution ratio of 50:50.
Source: Statistics based on average daily DMA trades, volume and consideration, supplied by Chi-X trading participants
Trading Venue Trading Costs (bps)*
Chi-X Europe Ltd 0.05
Turquoise 0.10
Euronext Amsterdam 0.40
London Stock Exchange 0.43
Deutsche Börse Xetra 0.58
Euronext Paris 0.65
SWX Europe 0.71
OMX Helsinki 0.78
OMX Stockholm 1.07
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EMCF Clearing Fees
EMCF has introduced further fee cuts with effect from 1st August 2008
All clearing fees are stated in Euros
Market Initial fees1 October
20071 March
20081 May 2008
1 July 2008
1 August 2008
Overall difference
Netherlands 0.30 0.28 0.19 0.14 0.10 0.05 -83.3%
Germany 0.25+0.075 bp 0.20+0.075 bp 0.19 0.14 0.10 0.05 -80.0%
UK 0.18 0.17 0.15 0.12 0.10 0.05 -72.2%
France n/a 0.28 0.19 0.14 0.10 0.05 -82.1%
Switzerland n/a n/a 0.10 0.08 0.08 0.05 -50.0%
Scandinavia n/a n/a 0.19 0.14 0.10 0.05 -73.7%
Internal / Self 0.03
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Basis Points Savings on Chi-X
Month% of trade better than the
spread Price Improvement
(BPS)
August 2008 40% 2.61
July 2008 41% 2.66
June 2008 36% 2.37
May 2008 34% 2.00
Apr 2008 37% 1.95
Mar 2008 45% 2.76
Feb 2008 48% 2.66
Jan 2008 53% 2.89
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Nordic Basis Points Savings on Chi-X
Month Finland Sweden Norway Denmark
August 2008 7.55 7.35 5.75 6.04
July 2008 7.71 9.78 8.61 7.40
June 2008 6.05 8.11 3.41 7.02
May 2008 3.81 5.60 n/a n/a
Apr 2008 7.11 5.28 n/a n/a
Mar 2008 12.69 5.48 n/a n/a
Price Improvement (bps) per market
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Chi-X Gross Consideration (EUR billions)
4.51 4.7810.92
13.86 12.728.03
21.28 19.49
33.4140.65 38.89
52.97
73.5568.02
96.97
€ 0
€ 20
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€ 120J
ul-
07
Au
g-0
7
Se
p-0
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Oc
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No
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Au
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(to
26
th)
Proof of Fragmentation of Liquidity Chi-X Monthly Volumes
In September 2008 to date, a gross consideration of over €96 billion has been traded in just 20 days, with 2 more trading days remaining in the month
A value of over €68 billion was traded over 21 trading days in August
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Daily Trading Trend Analysis
In September 2008 alone, Chi-X has seen 5 record days in terms of gross consideration traded on the platform
Chi-X achieved a gross consideration of €4.5 billion on 2nd September, €4.6bn on the 4th and €5.4bn on 5th September, before topping those records on 9th September with over €6 billion worth of shares traded in one day. The 16th of September saw Chi-X achieve a gross consideration of €7.1bn.
Chi-X Europe ADC (Single Counted, Euros mm)
€ 0
€ 500
€ 1,000
€ 1,500
€ 2,000
€ 2,500
€ 3,000
€ 3,500
€ 4,000
€ 4,500
€ 5,000
May
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TD
Best execution? Best check Chi-X!
Market Share Growth by Market
Market shares based on those stocks that are tradable on Chi-X.
Selected FTSE 250 stocks launched in March 2008
AMX 25 stocks launched in September 2008
Chi-X Average Market Share - France
1.2% 0.8%1.2%
2.2%2.7%
4.1%
5.8% 5.8%6.7%
10.2%
13.5%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%
16.0%
Oct
-07
No
v-0
7
De
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Jan
-08
Fe
b-0
8
Ma
r-0
8
Ap
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Ma
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Jun
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Jul-
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Au
g-0
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Chi-X Average Market Share - Holland
4.0%3.0%
3.9%
5.4%4.8%
6.4%7.3%
8.5% 8.3%
11.0%
14.8%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%
16.0%
Oct
-07
No
v-0
7
De
c-0
7
Jan
-08
Fe
b-0
8
Ma
r-0
8
Ap
r-0
8
Ma
y-0
8
Jun
-08
Jul-
08
Au
g-0
8
Chi-X Average Market Share - Germany
2.9%2.2%
1.4%2.1% 2.4%
3.8%
5.5% 5.8%
7.5%
8.7%
11.5%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%
Oct
-07
No
v-0
7
De
c-0
7
Jan
-08
Fe
b-0
8
Ma
r-0
8
Ap
r-0
8
Ma
y-0
8
Jun
-08
Jul-
08
Au
g-0
8
Chi-X Average Market Share - UK
1.9% 2.0%2.6% 2.7%
4.3%
8.8%
10.2%11.2%
12.2%12.7%
16.7%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%
16.0%
18.0%
Oct
-07
No
v-0
7
De
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7
Jan
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Fe
b-0
8
Ma
r-0
8
Ap
r-0
8
Ma
y-0
8
Jun
-08
Jul-
08
Au
g-0
8
(Combines FTSE 100 and FTSE 250)
Chi-X Average Market Share - UK
1.9% 2.0%2.6% 2.7%
4.3%
8.8%
10.2%11.2%
12.2%12.7%
16.7%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%
16.0%
18.0%
Oct
-07
No
v-0
7
De
c-0
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Jan
-08
Fe
b-0
8
Ma
r-0
8
Ap
r-0
8
Ma
y-0
8
Jun
-08
Jul-
08
Au
g-0
8
(Combines FTSE 100 and FTSE 250)
Best execution? Best check Chi-X!
UK45.68%
Finland1.10%
France18.97%
Belgium0.37%
Germany18.57%
Sweden1.42%
Denmark0.17%
Switzerland3.16%
Norway0.34%
Netherlands10.17%
Austria0.06%
Proof of Fragmentation of Liquidity Market share highlights to date
Chi-X Gross Consideration by Market, August 2008
Index Highest Chi-X share
Date
FTSE 100 22.36% 20 Aug 08 ETFs (5 iShares) 20.46% 17 June 08 AEX 25 18.42% 20 Aug 08 CAC 40 16.12% 20 Aug 08 DAX 30 15.44% 20 Aug 08 FTSE 250 (171) 14.29% 20 Aug 08 OMX H 25 8.54% 17 Sept 08 SMI 20 7.47% 20 Aug 08 BEL 20 6.41% 20 Aug 08 OMX S 30 5.51% 23 July 08 ATX 20 4.08% 3 Sept 07 OBX 25 3.23% 5 Sept 08 OMX C 20 3.06% 1 Sept 08
Chi-X has achieved intraday market shares of up to 25% of the FTSE 100
Prior to close on 20th August 08, Chi-X had a market share of 24.37% of the FTSE 100 and 20.16% of the AEX 25
Best execution? Best check Chi-X!
Chi-X market share of FTSE 100 – Aug 08
FTSE 100 stocks at 4.15pm - Chi-X market share thresholds in August 08
0
20
40
60
80
100
01/0
8/20
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03/0
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11/0
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13/0
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15/0
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17/0
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19/0
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23/0
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25/0
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27/0
8/20
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29/0
8/20
08
Nu
mb
er o
f st
ock
s
10% +
15% +
20% +
Best execution? Best check Chi-X!
European Order Book Volumes
Figures sourced from FESE, Chi-X Europe figures inserted for comparison
1,324,900,00027,444Prague Stock Exchange15
1,362,700,00097,830Budapest Stock Exchange14
2,891,400,000580,162Warsaw Stock Exchange13
2,988,500,000437,653Athens Stock Exchange12
3,691,800,000452,316SWX Swiss Exchange11
4,925,100,000412,871Wiener Borse10
15,912,200,000864,435Oslo Bors9
47,729,200,0003,179,678OMX Nordic Exchange8
51,012,500,0004,015,200Borsa Italiana7
54,098,900,0002,288,316SWX Europe6
67,189,600,0002,120,080Spanish Exchanges (BME)5
68,023,864,873 7,319,096Chi-X Europe4
122,431,500,0006,623,281Deutsche Borse3
154,305,800,00012,751,289London Stock Exchange2
163,063,000,00012,466,223Euronext1
Order Book Turnover €Order Book TradesExchange / MTF
Value of Equity trading, August 2008
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Where to find the best market
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client<CONSOLIDATED TICKER> EQUITY MDM <GO> e.g. RBS EU
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European Roadmap
Switzerland 23rd November 2007
Sweden 14th March 2008
Netherlands 30th March 2007
Finland 4th April 2008
UK 29th June 2007
France 28th September 2007
Germany 30th March 2007
Live Markets & Future Launch Dates
To Be Announced
Italy 13th October 2008
Spain
Norway 20th June 2008
Belgium 4th July 2008
Portugal
Austria 8th August 2008
Denmark 20th June 2008
Ireland
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©2008 Chi-X Europe Ltd (“Chi-X”). All rights reserved. Chi-X is a registered mark. Chi-X Europe Limited is authorised and regulated by the Financial Services Authority. Chi-X Europe Limited is a majority owned subsidiary of Instinet Incorporated.
This information is provided for informational purposes only. It does not take into account the particular investment objectives, financial situation, or needs of any individual or entity. Under no circumstances is it to be used or 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. While the information has been obtained from sources deemed reliable, neither Chi-X nor its licensors, nor any other party through whom the user obtains any such information: (i) makes any guarantees that it is accurate, complete, timely, or contains correct sequencing of information; (ii) makes any warranties with regard to the results obtained from its use; or (iii) shall have any liability for any claims, losses, or damages arising from or occasioned by any inaccuracy, error, delay, or omission, or from the use of the information or actions taken in reliance on the information. Reproduction or redistribution of this information is prohibited except with written permission from Chi-X.
System response times may vary for a number of reasons including market conditions, trading volumes and system performance.