Expert Webinar Series: How to Overcome Challenges of ETF Trading in Europe
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1 Expert Webinar Series: How to Overcome Challenges of ETF Trading in Europe
2 Panellists: LISA PACKHAM Head of European Product Development Bloomberg Tradebook RACHAEL REVESZ Senior Staff Writer ETF.com
3 COMPLIANCE NOTICE 3 Bloomberg Tradebook, LLC is an agency Broker Dealer, member FINRA, SIPC, NFA Bloomberg Tradebook Europe Limited is authorized and regulated by the U.K. Financial Conduct Authority nothing should be considered a solicitation to purchase or sell. or advice or a recommendation all opinions are OURS and not a reflection of Bloomberg or its affiliates
4 About Bloomberg Tradebook Electronic Agency Broker Bloomberg Tradebook is a leading global agency broker that provides anonymous direct market access (DMA) and algorithmic trading to more than 125 global liquidity venues across 40+ countries in all asset classes. Bloomberg Tradebook Provides: Access to high quality liquidity Advanced algorithms with cutting edge technology Fully integrated solution with flexible workflow options Value-Added services: Execution Consulting, Research, CMS Recognized by Institutional Investor as a top broker for global equity trading in its Best Execution League Tables from 2009 to 2014
5 Overview Institutions Liquidity Execution Solutions
6 CHALLENGES IN EUROPE 6 1. Institutional Adoption of ETFs 2. Fragmentation 3. Immature Securities Lending 4. Market Transparency 5. Liquidity
7 GLOBAL ETF & ETP GROWTH 7 EUROPE ETF GROWTH Source: Deborah Fuhr, ETFGI.com
8 WHO 8 25% of European Institutions have AUM in ETFs 7% of AUM in ETFs Strategic and Tactical 22% expect to increase ETF usage in the next 3 years Source: Greenwich Associates, 2014
9 9 Fragmentation Source: BofAML, EuroCCP, Fidessa Fragulator data YTD 2015
10 10 Transparency 66% RM 40% 100% seen? 34% OTC/Dark? US Europe
11 VOLUME vs. LIQUIDITY
12 LSE ETF CONCENTRATED NOTIONAL VOLUME 12 ADV
13 BUCKETING ETFs 13 # of ETFs ETF Notional Value First 37 Next % Notional Value Next 25% of Notional Value Next Next 15% of Notional Value Remaining 1200 ETFs 4 Remaining 10% of Notional Value
14 US ETF CONCENTRATED VOLUME 14 XLU SPY VWO QQQQ EEM XLF EFA IWM Box Size AUM Source: Bloomberg Financial L.P. FSRC<GO>, Bloomberg Tradebook
15 VOLUME CONCENTRATION 15 makes LIQUIDITY the ELEPHANT IN THE ROOM
16 VOLUME vs. LIQUIDITY 16 Volume Liquidity LSE EURO NEXT BORSA ITALIA OSLO BATS CHI-X XETRA SIX SWISS ( Available ) Authorized Participant (AP) Market Maker Statistical Arbitrage liquidity provider Source: Bloomberg Tradebook
17 AVAILABLE LIQUIDITY 17 Available ETF Liquidity Underlying Basket ETF Exchange ADV Related Derivatives Correlated Trading Vehicles Source: David Abner, A Visual Guide to ETFs
18 Execution 18
19 STAZ<GO> STRATEGY ANALYSIS 19 Total size available for your order Liquidity Volume 12MM available Avg 519k trade Manufactured Source: Bloomberg Tradebook STAZ<GO>
20 LESS IMPACT 20 ETF-Adjusted algos Order size Source: Bloomberg Tradebook
21 BLOCKS COST LESS 21 Order size Source: Bloomberg Tradebook
22 CHALLENGES TO BLOCK TRADING 22 Manual Process (Phone, Chat) Speed matters Lack of anonymity SOLUTION Automation 1-click anonymous access Fragmented Market for Blocks Bank Delta One Desks Market-Makers SOLUTION Aggregation Multiple Competing Liquidity Providers Measuring Cost Implicit Cost How do you improve? SOLUTION Transparency Audit Trail and TCA
23 23 TRADEBOOK S RFQ Streaming Actionable Quotes Block Quantity Source: Bloomberg Tradebook BMQ<GO>
24 TRADEBOOK S RFQ AUDIT TRAIL 24 BEST EXECUTION: TIMESTAMPS MULTIPLE QUOTES PRICES vs INAV Source: Bloomberg Tradebook
25 PANEL DISCUSSION 25 Encouraging and managing growth The E in ETF is misleading Liquidity manufactured Direct Access to Authorized Participants Block execution Regulatory Changes
26 Capital Markets An ETFs real Liquidity Traditional Securities Have a limited amount of free float shares available Liquidity is driven by demand/supply Historical volumes and trading patterns are used to predict future trading patterns Exchange Traded Products Price and liquidity are dictated by the underlying securities not the ETP Extremely limited supply/demand effect as the funds are open ended Historical volume is only useful to show popularity not tradability ETFS Wheat Ticker:- WEAT LN Average Daily Volume:- $1.54m CBOT Future Ticker:- W A Comdty Average Daily Volume:- $1,126m Explanation ETFS Wheat trades $1.54m per day on average However, the relevant measure of how much trading can be done in the underlying contract This trades over $1b per day on average - Ratio:- ETC/Future = 0.14% Many times over $1.54m ADV could be traded through the ETC with minimal impact Taking a conservative estimate of 10% of the average underlying trading, this means that $113m can be traded on the ETC without any significant price impact 12 September May
27 Bloomberg Tradebook Disclaimer This communication is directed only at persons who have professional experience in the investments which may be traded over the systems and certain high net worth organizations. Communicated by Bloomberg Tradebook LLC member of FINRA ( SIPC/NFA. Bloomberg Tradebook Europe Limited, registered in England & Wales No , authorized and regulated by the UK Financial Conduct Authority No Bloomberg Tradebook do Brasil is the representative of Bloomberg Tradebook LLC in Brazil registered with the BACEN. Bloomberg Tradebook Services LLC, Bloomberg Tradebook Australia PTY LTD ABN ACN , Bloomberg Tradebook Do Brasil LTDA., Bloomberg Tradebook Canada Company Member of CIPF, Bloomberg Tradebook Limited, Bloomberg Tradebook Hong Kong Limited the first ATS authorized by the SFC AFU 977, Bloomberg Tradebook Japan Limited member of JSDA/JIPF, Bloomberg Trading Services Japan LTD, Bloomberg Tradebook Singapore Pte Ltd Company No R, Bloomberg Trading Services (Singapore) Pte Ltd Company No G. Bloomberg Tradebook Bermuda LTD, licensed to conduct Investment Business by the Bermuda Monetary Authority. BLOOMBERG, BLOOMBERG PROFESSIONAL, BLOOMBERG TRADEBOOK are trademarks and service marks of Bloomberg Finance L.P.("BFLP"), a Delaware limited partnership, or its subsidiaries.
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