autobahn Equity Market Insight Volume (MM) 6,500 1,000 Volume (MM) 5,000 2,000 3,500 2,000 Volume 29-June Volume Price VIX Close 25-June 29-June

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autobahn Equity Market Insight MARKET MICROSTRUCTURE STATISTICS MAY & JUNE 2009 Europe US 260 235 STOXX 600 Index Volume Price 6,500 5,000 950 Volume Price S&P 500 Index 2,500 2,000 1,500 Price 210

1 autobahn Equity Market Insight MARKET MICROSTRUCTURE STATISTICS MAY & JUNE 2009 Europe US STOXX 600 Index Volume Price 6,500 5, Volume Price S&P 500 Index 2,500 2,000 1,500 Price May 6-May 8-May 12-May 14-May 18-May 20-May 22-May ,500 2,000 Volume (MM) Price Volume (MM) 40 VSTOXX Index 40 CBOE VIX Index VSTOXX Close VIX Close May 6-May 8-May 12-May 14-May 18-May 20-May 22-May Median Bid-Offer Spread (bps) 40 Median Bid-Offer Spread (bps) Spread in bps Spread in bps May 2-June 4-June 8-June 10-June 12-June 16-June 18-June 22-June 26-June 30-June < < The STOXX 600 index closed 0.8% higher for the month of June. Average daily volumes were 7.4% lower than the prior month. < < The VSTOXX closed the month 9.4% lower than May, reflecting lower levels of market volatility in EU for the month of June. < < Median spread costs for June were 7.6% lower than the prior month. < < The S&P 500 index closed the month 2.6% higher. Average daily volumes were 15.1% lower than the prior month. < < The VIX closed the month 8.9% lower, reflecting lower levels of market volatility in US for the month of June. < < Median spread costs were 12% lower than the prior month 1

2 MARKET MICROSTRUCTURE STATISTICS II MAY & JUNE 2009 Europe US Average Trade Size Average Trade Size Average Trade Size Average Trade Size May 2-June 4-June 8-June 10-June 12-June 16-June 18-June 22-June 26-June 30-June Median Top of Book Quote Size Median Top of Book Quote Size Top of Book Quote Size 4,000 3,500 3,000 2,500 2,000 1, Bid Size Bid Size Bid Size Ask Size Ask Size Ask Size Top of Book Quote Size 1, Bid Size Bid Size Bid Size Ask Size Ask Size Ask Size May 2-June 4-June 8-June 10-June 12-June 16-June 18-June 22-June 26-June 30-June Velocity of Fills Velocity of Fills ,000 45,000 Fills per minute Fills per minute 30,000 15, May 2-June 4-June 8-June 10-June 12-June 16-June 18-June 22-June 26-June 30-June < < Average Trade size in June decreased between 2 and 4% across all market capitalization bands when compared to the prior month. < < Median top of book quote size in June increased marginally when compared to the prior month. < < fills per minute in June registered a decline of between 11% and 19% across market capitalization bands when compared to the prior month. < < Average Trade size in June was flat to negative when compared to the prior month. < < Median top of book quote size in June rose 3%, 5% and 14% for Small, Mid and s respectively when compared to the prior month. < < fills per minute in June decreased 20% Small and names, while registering a smaller decline of 11% for s when compared to the prior month. 2

KEY NEWS Europe 1-Jun-09 2-Jun-09 The Financial Services Authority has confirmed that its disclosure regime for significant net short positions in UK financial sector stocks is being extended

3 KEY NEWS Europe 1-Jun-09 2-Jun-09 The Financial Services Authority has confirmed that its disclosure regime for significant net short positions in UK financial sector stocks is being extended indefinitely. The UK regulator said the disclosure regime, which was due to expire on 30 June, would be extended without a time limit. This means that market participants will continue to be required to make disclosures when a net short position exceeds 0.25% of a company s issued shared capital or increases by 0.1% bands above that (e.g. net short position reaches 0.35%, 0.45% etc). Source: Reuters Deutsche Boerse said turnover on its electronic orderbook Xetra fell 38% percent in May to 89.8bn. Deutsche Boerse reported that 14.7mn transactions were executed on Xetra in May, a 2.2% increase compared with the same period in Source: Reuters 2-Jun-09 BATS Europe achieved record market shares of 5.17% of the total value traded on four major European indices on 2 June, compared with 4.99% set on 28 May BATS market share in France s CAC 40 increased to 6.22% from 5.33% on 28 May. In addition, the platform s share of the Netherlands AEX 25 increased to 4.90% from 4.11% on 27 May and its share of Belgium s BEL 20 grew to 3.58% from 3.22% on 28 May. Source: 4-Jun-09 5-Jun Jun-09 Liquidnet has set a new record for daily principal traded in Europe on 2 June. The MTF traded mn, beating its previous one-day record of mn, set in December Meanwhile, Deutsche Börse has announced that its Xetra MidPoint non-displayed order book, launched on 24 November in 2008 achieved an average daily order volume of 12,000 in May, and a peak level of 28,000 orders. Source: NYSE Euronext has reported that the average daily trading volumes across its European cash equities markets in May 2009 were 1.5mn transactions 14.6% up on May April 2009 s ADV of 1.6mn transactions was a 15.5% increase over April Source: Nasdaq OMX Europe has introduced BLNK, a European version of its controversial US FLASH order type. BLNK offers participants the ability to divert orders destined for the primary markets onto the Nasdaq OMX Europe order book for up to 25 milliseconds before being routed on to their destination. Source: 15-Jun-09 BATS Europe announced plans to offer a Market On Close and Trading at Last service starting August Source: Reuters 16-Jun Jun Jun Jun Jun-09 Deutsche Börse declared plans to slash its trading fees by 25% to 0.36 basis points, and its minimum transaction fee to zero, from 0.60, a week after completing an upgrade to its electronic platform, as part of its plans to lure algorithmic traders amid competition from new rivals. The changes, effective November 2, will reduce the average investor s trading bill by 13% based on this year s volumes. Source: Reuters The London Stock Exchange announced its intention to reduce the tick sizes in which they offer trading in the 14 UK stocks for which BATS Europe and Turquoise have introduced finer pricing. Source: BATS Europe is to extend its inverted price promotion for Euronext indices and ETFs to run throughout July. The LSE said it is on track to launch the smart order routing function of its Baikal dark pool and liquidity aggregation service this week following regulatory approval by the UK FSA. The exchange plans to roll out Baikal s order book and further functionality later in Source: In a new report, European multilateral trading facilities: The post-mifid exchange landscape, Aite senior analyst Phillip Silitschanu asserts that MTFs will capture 20% of European equity orders by the end of the year, and expects the new trading venues to achieve an even split with incumbent exchanges by In the first four months of 2009, MTFs accumulated a 15% share of European equity trading. Source: 3

4 KEY NEWS (continued) Americas 5-Jun-09 8-Jun Jun Jun Jun-09 BATS Exchange, a US equities trading venue, has launched BATS Optional Liquidity Technology (BOLT), a tool allowing members to see unfilled portions of marketable orders before the orders are either cancelled or routed elsewhere. Source: The Canadian Securities Administrators (CSA), the council of securities regulators for Canada s provinces and territories, announced that the Toronto Stock Exchange (TSX) will act as a central, consolidated source for the country s equity market data for five years, starting 1 July. Source: Reuters The New York Stock Exchange is likely to extend its temporary rule, which allows companies to remain listed even if its stock price goes down below $1, beyond 30 June. Source: Reuters NYSE Euronext said that it will be offering customers of its NYSE Acra and NYSE Amex options platform reduced transaction fees and in some instances, no fees, in a bid to boost market share and attract electronic order flow. Source: Reuters Two of the US s biggest trading venues, NYSE Euronext and Direct Edge, are upgrading their market data and messaging capabilities as the quest for lower latency and higher capacity continues apace. NYSE Euronext has teamed up with connectivity firm Juniper Networks to design a low-latency network for the exchange s new data centres in the London and New York metropolitan area. Direct Edge will use UME to integrate applications spanning the entire operation, from its front-end gateways to its matching engines to its back-end compliance systems. This is expected to result in lower system latency, increased throughput and greater resiliency. Source: Asia Pacific 22-Jun-09 Alternative trading systems (ATSs) will secure 20% of the total equities value traded across the Asia-Pacific region by the end of 2012, even though their combined share is currently much less than 5%, according to a new report from research and consulting firm Aite Group. The report, The Rise of the Asian ATS Market: The Waiting Game, predicts steady growth and adoption of off-exchange trading venues including brokers internal crossing networks as well as independent platforms, over the next three years. Source: Emerging Markets 19-Jun Jun-09 NYSE Euronext and the State of Qatar have entered a strategic partnership to form Qatar Exchange (QE), a new stock exchange that will be created from the country s existing bourse, the Doha Securities Market (DSM). Euronext invested $200mn in a re-branded stock exchange in Qatar for a 20% stake. Source: Reuters Kuwait Stock Exchange has chosen NASDAQ OMX Group, after rejecting Deutsche Borse s offer, to develop its trading system. Source: Reuters 4

5 VOLUME INFORMATION FOR JUNE 2009 EMEA Volume (mn) Turnover (local mn) % Change in Avg Daily Turnover London SE , , % 285, XETRA , , % 109, Paris SE , , % 105, Chi-X SE , , % 104, Madrid SE C.A.T.S , , % 91, Milan SE , , % 80, Virt-x , , % 50, Saudi SE , , % 38, Euronext Amsterdam , , % 36, Stockholm SE , , % 35, Istanbul SE , , % 29, Johannesburg SE , , % 28, Turquiose , , % 27, BATS Europe , , % 26, Oslo SE , , % 22, Helsinki Ex , , % 13, Copenhagen SE , % 11, Cairo SE , , % 8, Brussels SE , % 8, PLUS Ex , , % 7, Tel Aviv SE , , % 6, Swiss Ex , % 6, Athens SE , % 6, Warsaw SE , , % 3, Vienna SE , % 3, Lisbon SE , % 3, Budapest SE , % 2, Amman SE % 1,

6 VOLUME INFORMATION FOR JUNE 2009 (continued) US Volume (mn) Turnover (local mn) % Change in Avg Daily Turnover NASDAQ , ,163, % 1,163, NYSE Arca , , % 854, BATS , , % 632, NYSE , , % 542, International SE , , % 76, CBOE , % 12, American SE , NA 1, Canada Volume (mn) Turnover (local mn) % Change in Avg Daily Turnover Toronto SE , , % 135, Canadian Venture Ex , , % 1, Latin America Volume (mn) Turnover (local mn) % Change in Avg Daily Turnover Sao Paulo SE , , % 80, Mexico SE , , % 8, Santiago SE , ,633, % 3, Buenos Aires SE % Lima SE % Chile Electronic Ex , , %

7 VOLUME INFORMATION FOR JUNE 2009 (continued) Asia Pacific Volume (mn) Turnover (local mn) % Change in Avg Daily Turnover Tokyo SE , ,031, % 375, Hong Kong SE , ,238, % 159, National SE of India , ,654, % 97, Korea SE , ,281, % 93, Australia SE , , % 90, Taiwan SE , ,759, % 84, Korea Securities DA , ,103, % 35, Bombay SE , ,534, % 32, SE of Singapore , , % 22, SE of Thailand , , % 14, Taiwan OTC SE , , % 13, Osaka SE , ,175, % 12, Kuala Lumpur SE , , % 8, JASDAQ , % 3, Philippine SE , , % 1, New Zealand SE , % 1, Colombo SE , % DEFINITIONS Europe: The top 200 components of the STOXX 600 North America: The constituents of S&P 500 Europe: The mid 200 components of the STOXX 600 North America: The constituents of S&P 400 Europe: The bottom 200 components of the STOXX 600 North America: The constituents of S&P 600 Daily Volatility VSTOXX: Volatility index as calculated for the DJ Eurostoxx 50 CBOE-VIX: Volatility index as calculated for the S&P 500 Median Bid-Ask Spread bps Median Top of Book Quote Size On a per stock per day basis we calculate the mean bid-ask spread on a minute basis expressed in basis points. For a given day we then select the median value over all stocks in the capitalization group. Spread = 20,000*(Ask - Bid)/(Ask + Bid). On a per stock per day basis we calculate the mean quote size at the top of the book, including both bid sizes and ask sizes. For a given day we then select the median value over all stocks in the capitalization group. 7

8 DEFINITIONS (continued) Median Average Trade Size On a per stock per day basis we calculate the mean trade size. For a given day we then select the median value over all stocks in the capitalization group. Velocity of Fills Trades Volume Turnover (local) % Change in Avg Daily Turnover and Volume On a per stock per day basis we calculate total number of trades. For a given day we then select the median value over all stocks in the capitalization group. Now this value is divided by total duration (510 mins. for Europe and 390 mins. for North America) to arrive at daily trades per minute in the capitalization group. Total number of trades executed on the exchange in a given month. Total shares traded on the exchange in a given month. Sum (Price of shares in local currency * shares traded). This metrics is computed on a monthly basis and is in local currency. This is computed as the change from prior month. Daily averages are based on an assumption that every week day is a trading day. 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autobahn Equity Market Insight 1,200 4,500 Volume (MM) 3,500 2,500 1,500 1, Dec Volume (MM) Price VIX Close 30-Dec 31-Dec

autobahn Equity Market Insight MARKET MICROSTRUCTURE STATISTICS NOVEMBER & DECEMBER 29 Europe US 26 STOXX 6 Index 5,5 1,2 S&P 5 Index 3, 24 22 2 Volume 4,5 3,5 1,5 5 Volume (MM) 1,1 1, Volume 2, 1,5 1,