February 2021 APAC Market Structure Monthly - Virtu Financial
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February 2021
APAC Market Structure Monthly
Average Daily Turnover (Notional USD)
Country Group
Developed Markets
Developing Markets
KOR JPN
33.7B 33.0B
CHN
267.2B
IND TWN
12.2B HKG 15.5B
THA 53.8B
5.8B
SGP
1.0B
AUS
6.1B
NZL
© 2021 Mapbox © OpenStreetMap 0.2B
Country Breakdowns
Hong Kong Taiwan
China India
Japan Thailand
Australia New Zealand
South Korea SingaporeFebruary 2021
Hong Kong
Market Structure News
Trading Tax Increases From 0.10% to 0.13% Hang Seng Index Enhancements Announced
On 24 February, the Hong Kong Stock Exchange (HKSE)
(HKEX) announced a After the close on 1 March 2021, the Hang Seng Indexes Company
stamp duty increase on stock transactions from 10bps to 13bps, effective on announced consultation conclusions on proposed enhancements to the
1 August 2021. HSI. According to the index provider, changes will be implemented starting
with the May 2021 index rebalance. The results and conclusions are:
The announcement sparked a sell-off on the HKEX with the Hang Seng * Enlargement in market coverage
Index (HSI) closing 3% lower that day and a new historical high turnover of • Initial target: reach 80 constituents by mid-2022
HK$353B (US$45.5B), up by 51% compared to the YTD average daily
turnover (ADT). Namely, HSI constituents turnover peaked at HK$152B
• End goal: fix at 100 constituents
(US$19.6B), up by 59.5% from the YTD ADT. By EOD 25 February, HKSE
total turnover closed at HK$257B (US$30.6B), returning to YTD average * Expansion in industrial representation
level. • Constituents selection by seven industry groups
• Combination of the industry groups to be reviewed every two years
The funds raised from the increased trading tax are expected to help bolster
government revenues for the city’s 2021 budget plan. According to the • Effective from the May 2021 Index Review
source, “the government forecasts the measure will bring in HK$12 billion
(US$1.5B) in revenue during its first year of operation”. * Prompt inclusion of new listings
Based on Virtu’s analysis for explicit trading costs in dollar terms: • Shorten the listing history requirement to three months
• Effective from the May 2021 index review
• With a YTD ADT of HK$237B (US$30.5B), an increase of 3bps in stamp
duty (both buys and sells) would suggest an increase of HK$140M * Representation of Hong Kong companies to remain intact
(US$18M) in explicit trading cost on a daily basis, or HK$58M (U$7.5M) for
HSI’s YTD ADT. •Maintain 20 to 25 constituents that are classified as Hong Kong
companies in the HSI
• HSI index constituents are valued at an YTD average market cap of • Number of Hong Kong constituents to be evaluated every two years
HK$28.8T (US$3.7T), the 3bps increase in stamp duty (both buys and sells)
would suggest explicit trading costs could increase by HK$17B (US$2.2B) * Enrichment in constituent weighting distribution
for the index to turn over once.
When implemented, the total market charge of HKEX trading would * Apply 8% weighting cap on all constituents
increase from 10.77 bps to 13.77 bps for both buys and sells - comprising of • Adopt the same for the Hang Seng China Enterprises Index (HSCEI)
the 13 bps stamp duty, a 0.5 bps trading fee, and a 0.27bps transaction
levy–proportional to notional value executed. (Note: per print, or transaction
• Effective from the Index Rebalancing in June 2021
https://www.hkex.com.hk/News/News-Release/2020/201201news?sc_lang=en
count, a few other charges also apply.)
https://www.hkex.com.hk/Services/Rules-and-Forms-and-Fees/Fees/Securities-(Hong- New Initiatives Announced to Promote Capital Market
Kong)/Trading/Transaction?sc_lang=en. On 24 February 2021, in the 2021-2022 Budget speech, Hong Kong
https://www.bloomberg.com/news/articles/2021-02-24/hkex-plunges-most-since-2015-after- Financial Secretary Paul Chan proposed a series of measures to further
deleted-stamp-duty-report
enhance Hong Kong’s role as an international financial center. To
summarize, key themes and messages include:
HKEX Invests in Guangzhou Futures Exchange
On 5 February 2021, HKEX announced its investment of RMB210M • Promoting the development of Green and Sustainable Finance, with
(US$27M) in exchange for a 7% stake in the newly-established Guangzhou consolidated Green and Sustainable Finance Grant Scheme for subsidy
Futures Exchange (GFE). arrangement planned
According to the source, this is "the first-ever equity investment in a
• Promoting further development of the bond market. The government
will raise the borrowing limit of its bond program from HKD200B (US$25.8B)
domestic futures exchange by a non-Mainland Chinese investor. This
to HKD300B (US$38.7B) to allow more room for issuances and increased
investment underscores HKEX’s commitment to supporting the further
internationalization of China’s and the region’s financial markets." In retail participation
addition, HKEX noted in this context that "China Anchored" has been one of • Provide subsidies covering up to 70% (capped by HKD8M (US$1.03M))
the three pillars of its strategic plan. of listing expenses for Real Estate Investment Trusts (REITs)
• Securities market: the government will seek to expand the capacity of
According to the China Securities Regulatory Commission (CSRC) notice Stock Connect, and progressively include ETFs and other types of assets
on 22 January 2021, the establishment of GFE was greenlighted by State as well as expand the scope of eligible securities. HKEX will accelerate its
Council of China and is responsible for real economy and green preparatory work for the launch of MSCI China A-Index Futures contracts.
development.
• Asset and wealth management: subsidies covering up to 70% of
expenses (subject to a cap of HKD1M (US$129K) per OFC) will be provided
Currently, there are five futures exchanges operating in China, including for three years to local professional service providers to either set up
China Financial Futures Exchange, Shanghai International Energy
Open-ended Fund Companies or re-domicile to Hong Kong. The
Exchange, Shanghai Futures Exchange, Zhengzhou Commodity Exchange
government will also introduce tax concessions for carried interest issued by
and Dalian Commodity Exchange. When established, GFE is expected to
private equity funds operating in Hong Kong. The tax concession
be the sixth futures exchange in mainland China.
https://www.hkex.com.hk/News/News-Release/2021/2102052news?sc_lang=en
arrangements are expected to start applying from 2020-21.
http://www.csrc.gov.cn/pub/newsite/zjhxwfb/xwdd/202101/t20210122_391115.html
Full HK 2021-22 budget speech:
https://www.budget.gov.hk/2021/eng/pdf/e_budget_speech_2021-22.pdfHong Kong
Average Daily Turnover (Notional USD)
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2018
2019
40.0B 2020
2021
20.0B
0.0B
>=300%
Trade Size Distribution by Market Cap and %ADT (Notional USD)
200-300%
1500M 100-200%
50-100%
25-50%
1000M 10-25%
Large 5-10%
500M
0M
1500M
1000M
Mid
500M
0M
1500M
1000M
Small
500M
0M
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
Jan
Feb
Mar
Source data: Virtu Financial
Page 2Hong Kong
Market Microstructure Observations
· Monthly T/O recorded at US$53.8B, slightly down 1% MoM but up 80%+ YoY
· Compared to 2020 averages, intraday volume from 10am to noon was higher but lower in the closing hour of the day
· Compared to YTD averages, February intraday volatility was higher during the first half of the day, eventually converging together after 2pm
Volume Curve Intraday Spread (bps)
10 00
10 15
10 30
10 45
11 00
11 15
11 30
11 45
13 00
13 15
13 30
13 45
14 00
14 15
14 30
14 45
15 00
15 15
15 30
15 45
close
9 30
9 45
15
0.10
10
% day's volume
5
0.05
0
0.00 10 AM 11 AM 12 PM 1 PM 2 PM 3 PM 4 PM
Intraday Quotesize (Shares) Intraday Volatility (bps)
100K
20
50K
10
0K 0
10 AM 11 AM 12 PM 1 PM 2 PM 3 PM 4 PM 10 AM 11 AM 12 PM 1 PM 2 PM 3 PM 4 PM
2020 February 2021
Spread Bps
20 Q3 20 Q4 21 Q1
Jul 20 Aug 20 Sep 20 Oct 20 Nov 20 Dec 20 Jan 21 Feb 21
firstHalfHour 17.6 16.7 17.0 17.3 16.8 16.2 16.9 16.6
midday 13.9 13.5 13.3 13.3 13.0 12.9 13.4 13.0
lastHalfHour 13.4 12.8 12.9 13.0 12.6 12.7 12.5 12.1
One Minute Volatility Bps
firstHalfHour 15.9 13.6 11.7 11.6 13.6 12.1 17.6 16.8
midday 7.2 7.3 6.6 6.4 6.8 6.0 8.1 8.8
lastHalfHour 9.2 6.4 6.8 6.8 7.3 6.7 6.9 6.9
Quotesize in Shares
firstHalfHour 30,895 29,501 29,248 29,429 35,285 28,860 29,369 28,259
midday 50,675 54,851 52,922 59,646 67,190 59,993 52,420 49,671
lastHalfHour 85,097 88,503 86,562 92,522 112,401 93,657 80,787 82,321
Median used for all metrics
One minute volatility is calculated using the difference between the high and low price within a one minute time bin, divided by that bin’s VWAP
Source data: Virtu Financial
Page 3February 2021
China
Market Structure News
Scale of China's Public Offering Funds Hits Record High Futures Market Saw Record Turnover in 2020
According to the source, the data published by the Asset Management According to industrial data from China’s Futures Association, the 2020 YoY
Association of China (AMAC) shows that by year end 2020, the scale of notional turnover in China's futures market increased by 50.56% to
China's public offering funds (POFs) hit a new record high, with the total RMB437.5T (US$67.9T) and total traded volume increased by 55.29% to
asset under management reaching RMB19.89T (US$3.08T). According to 6.15B lots.
the data, these POFs are operated by 132 fund management companies, of The source noted, that from a global perspective, the aggregated futures
which 88 are domestic firms and the rest are joint ventures. trading volume in Chinese futures markets accounted for 13.2% of global
The source notes that China's asset management industry has grown "at a total in 2020 and 1.7% higher YoY. Among the five domestic Chinese
slower pace in recent years" as tighter de-risk regulations impact wealth futures exchanges, the Shanghai Futures Exchange ranked highest in
management products, such as the guidelines requiring all financial transacted contracts (notional terms), accounting for 34.92% of the total
institutions to set leverage ceilings across asset management products in turnover onshore last year.
2017. http://www.xinhuanet.com/english/2021-02/13/c_139741536.htm
http://www.xinhuanet.com/english/2021-01/31/c_139710486.htm
FTSE Russell to add Shanghai STAR Market stocks
SSE STAR Market Securities Eligible for Inclusion in On 19 February 2021, FTSE Russell announced that it will add 11 stocks
MSCI china indexes from the Shanghai STAR Market to its global benchmarks, FTSE GEIS,
To recap a previous edition of our Monthly Market Structure Newsletter, the effective 22 March 2021. FTSE Russell confirmed that it will include eligible
Shanghai Stock Exchange (SSE) and HKEX announced the inclusion of Science and Technology Innovation Board securities (SSE’s STAR Market)
eligible A-shares listed on SSE’s Sci-Tech Innovation Board (STAR Market) onto its FTSE GEIS and FTSE China A Share Indexes.
into Stock Connect with an effective trade date of 1 February 2021.
The STAR50 Index is comprised of 50 of largest full market capitalization
According to the MSCI notification dated 29 January 2021, the STAR Market stocks listed on the SSE’s STAR Market. The STAR50 index has a
securities will be eligible for inclusion in the MSCI China Index and other free-float market capitalization weighting and the weight of each stock is
related indexes starting in the May 2021 semiannual index review—provided capped at 10%. The aggregate weight of the top five constituents shall not
that it meets all other relevant eligibility requirements. exceed 40%.
https://app2.msci.com/webapp/index_ann/DocGet?pub_key=dSruZcSVmjc%3D&lang=en&for- https://mondovisione.com/media-and-resources/news/ftse-russell-to-add-shanghai-star-mar-
mat=html ket-stocks-to-ftse-china-a-index-series-and/
Shenzhen Exchange Merges Main and SME Boards STAR50 Index Rebalance Effective on March 15, 2021
On 10 February 2021, Shenzhen Stock Exchange (SZSE) announced that According to the source, there are five inclusions and five deletions in the
the CSRC has approved the merger between the Main and the Small and upcoming rebalance. There can be no more than five adds and deletes to
Medium-Enterprise (SME) Boards. After the merger, SZSE will operate with the index in a single review. Five ETFs track this index, they are managed
two sectors, including the Main Board and the existing ChiNext Board, in by China AMC, E Fund Management, Huatai-PineBridge Fund
pursuit of better efficiency. Management, ICBC Credit Suisse Asset Management, and KraneShares.
As at 26 February, assets under management for ETFs passively tracking
According to the exchange notice, SME Board-listed companies are the index was estimated to be ~US$4.5B. We have seen a steady inflow of
increasing their market value, performance and transaction characteristics assets since its initial launch in September 2020, when it raised US$3.2B.
and becoming comparable to Main Board-listed companies. Furthermore, http://www.sse.com.cn/market/sseindex/diclosure/c/c_20210226_5328101.shtml [Chinese
source]
the general operating framework and rules have been consistent between
the two boards.
NYSE To Commence Delisting Proceedings Against
From an industry preparation perspective, SZSE noted that "securities codes CNOOC Limited
and securities abbreviations remain unchanged", which should have no On 27 February 2021, NYSE announced the delisting of CNOOC Limited’s
effect on investor trading methods and habits. Also, there is no impact on ADR shares (NYSE: CEO). Trading would be suspended starting on 9
fixed income, futures, and/or options products, or the Stock Connect March 2021at 04:00 ET and 60 days after CNOOC was added to the
between SZSE and HKEX. restricted list.
However, relevant index classification, data classification, sector naming This is a direct result of the implementation of US Executive Order (EO)
could be impacted and require adjustments. The exchange estimates that issued on 12 November 2020 that restricts US investors from transacting in
the transition will take about two months to complete. It plans to organize certain Chinese securities with alleged military ties. Between December
market-wide tests in due time, based on the technical preparation. 2020 and January 2021, the list of affected companies and the EO’s
applicability was communicated via several FAQ updates from the US Office
http://www.szse.cn/English/about/news/szse/t2021hong 0210_584764.html of Foreign Assets Control (OFAC) causing investors and index providers to
http://www.szse.cn/English/about/news/szse/t20210210_584765.html adjust and readjust their positions accordingly.
SZ SME board indices name change Chinese PDF: CNOOC is also and primarily listed on HKEX (ticker 883.HK)—we continue
http://docs.static.szse.cn/www/disclosure/notice/W020210205764242591609.pdf
to see heightened stock activity which is driven, in part, by the EO liquidity
events.
https://home.treasury.gov/system/files/126/13959.pdf
https://home.treasury.gov/policy-issues/financial-sanctions/recent-actions/20201228
https://www.nyse.com/trader-update/history#110000341165
Page 4China
Average Daily Turnover (Notional USD)
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
80.0B 2018
60.0B 2019
China:
Shanghai 40.0B 2020
20.0B 2021
80.0B
60.0B
China:
Shenzhen 40.0B
20.0B
80.0B
SH-HK 60.0B
Connect - 40.0B
Northbound
20.0B
80.0B
SHENZHEN-
60.0B
HKG STOCKC
ONNECT NO. 40.0B
. 20.0B
Trade Size Distribution by %ADT (Notional USD)
China: Shanghai China: Shenzhen
>=300%
200-300%
12B 100-200%
50-100%
25-50%
10B
10-25%
5-10%
8B
6B
4B
2B
0B
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
Jan
Feb
Mar
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
Jan
Feb
Mar
Source data: Virtu Financial
Page 5China
Market Microstructure Observations
· Shanghai, Shanghai-HK NB and Shenzhen-HK NB volumes were down 15.3%, 13.7%, 13.4% respectively MoM
· Compared with 2020 averages, intraday spreads were consistently lower in Shanghai but similar in Shenzhen
· Intraday volatility in Shanghai and Shenzhen were consistently higher than 2020 avg
Volume Curve Intraday Spread (bps)
China: Shanghai China: Shenzhen
10 00
10 15
10 30
10 45
11 00
11 15
13 00
13 15
13 30
13 45
14 00
14 15
14 30
14 45
close
9 30
9 45
15% 10
China: 10%
Shanghai
5% 5
15%
China: 10% 0
Shenzhen
5% 11 AM 1 PM 3 PM 11 AM 1 PM 3 PM
Intraday Quotesize (Shares) Intraday Volatility (bps)
China: Shanghai China: Shenzhen China: Shanghai China: Shenzhen
40
40K
20
20K
0K 0
11 AM 1 PM 3 PM 11 AM 1 PM 3 PM 11 AM 1 PM 3 PM 11 AM 1 PM 3 PM
2020 February 2021
Spread Bps
China: Shanghai China: Shenzhen
20 Q3 20 Q4 21 Q1 20 Q3 20 Q4 21 Q1
Jul Aug Sep Oct Nov Dec Jan Feb Jul Aug Sep Oct Nov Dec Jan Feb
firstHalfHour 12.3 11.9 11.2 10.9 11.3 10.6 10.6 10.8 9.4 8.5 8.3 7.8 8.3 8.3 9.3 9.3
midday 10.8 10.0 10.2 10.1 10.3 9.5 9.2 9.5 6.9 6.4 6.6 6.3 6.7 6.5 7.0 7.1
lastHalfHour 10.2 9.5 9.9 9.6 9.6 8.9 8.6 8.9 6.0 5.9 6.1 5.7 5.9 5.9 6.1 6.2
One Minute Volatility Bps
firstHalfHour 22.2 18.1 15.5 13.6 16.3 16.5 23.2 23.2 31.2 24.8 22.4 19.3 22.7 22.3 31.4 31.0
midday 11.5 8.5 7.1 5.9 7.4 8.0 11.6 11.4 15.2 11.8 10.9 9.6 11.2 11.0 15.0 14.7
lastHalfHour 10.1 7.3 6.7 5.7 6.6 7.5 9.7 9.6 12.2 10.0 9.8 8.3 8.8 9.0 12.0 12.2
Quotesize in Shares
firstHalfHour 37K 33K 26K 30K 31K 23K 19K 18K 10K 8K 7K 8K 8K 7K 7K 7K
midday 39K 38K 31K 33K 35K 26K 21K 20K 10K 9K 8K 9K 9K 8K 8K 7K
lastHalfHour 54K 50K 42K 44K 47K 36K 31K 29K 14K 12K 11K 12K 12K 12K 11K 10K
Median used for all metrics
One minute volatility is calculated using the difference between the high and low price within a one minute time bin, divided by that bin’s VWAP
Source data: Virtu Financial
Page 6Japan
2018
Average Daily Turnover (Notional USD)
2019
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2020
2021
30.0B
20.0B
10.0B
0.0B
Trade Size Distribution by Market Cap and %ADT (Notional USD)
6B
4B
Large
2B
0B
1000M
Mid
500M
0M >=300%
200-300%
100M 100-200%
Small 50-100%
50M 25-50%
10-25%
0M
5-10%
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
Jan
Feb
Mar
Market Structure News
New Anti-Money Laundering System Unveiled Bank of Japan become Japan's largest stockholder
Effective 1 April, Japan’s Financial Service Agency will roll out a new For the first time, the Bank of Japan (BOJ) has exceeded the Government
Anti-Money Laundering system that uses artificial intelligence to combat tax Pension Investment Fund (GPIF) as the largest domestic stockholder.
evasion and identify fraudulent money transfers between exchanges, and According to Nomura Securities estimates, BOJ held about US$442B in
national and regional banks. This system will monitor transaction data, Japanese shares—exceeding GPIF’s holdings of US$415B.
account openings and money transfers to flag suspected illegal activity and
inform relevant financial institutions. Further details on operational This milestone highlights the enormous scale of the BOJ's ETF buying
construction and expenses will be released after the new system undergoes initiative—launched to rekindle inflation—with a target of 2%. According to
tests in March. BOJ Governor Haruhiko Kuroda, the BOJ’s Nikkei ETF breakeven point
http://www.japanindnews.com/current-affairs/japans-fsa-plans-to-roll- was set at 21K points on the Nikkei Stock Average.
out-anti-money-laundering-system-in-2021/
Although this benchmark has now exceeded the BOJ exposure by nearly
9K points, inflation remains far below the target. In light of this, the BOJ
now looks to adapt more flexible tactics and alternative buying options for
First Digital Stock Exchange Expected By 2022 their portfolio.
SBI Holdings and Sumitomo Mitsui Financial Group are expected to launch
the country's first digital stock exchange using blockchain technology in 2022.
It is scheduled to begin managing digital securities in 2023, allowing brokers https://asia.nikkei.com/Business/Markets/BOJ-tops-pension-whale-
to sell securities in smaller units and at a faster rate. as-Japan-s-largest-stockhold-
er#:~:text=TOKYO%20%2D%2D%20The%20Bank%20of,equi-
https://internationalfinance.com/japan-launch-digital-stock-exchange/
ties%20for%20the%20first%20time.
Source data: Virtu Financial
Page 7Japan
Market Microstructure Observations
· Volumes were up 7% from December to US$33.0B and up 25% YoY
· Intraday volume was more skewed towards the first half of day, representing 51% of total day volume (48% is the 2020 average)
· One Minute Volatility was at its lowest and quotesize was at its highest since April 2020
Volume Curve Intraday Spread (bps)
40
10 00
10 15
10 30
10 45
11 00
11 15
12 30
12 45
13 00
13 15
13 30
13 45
14 00
14 15
14 30
14 45
close
open
9 00
9 15
9 30
9 45
30
20
10%
10
5% 0
0% 9 AM 10 AM 11 AM 12 PM 1 PM 2 PM 3 PM
Intraday Quotesize (Shares) Intraday Volatility (bps)
30
2K
20
1K
10
0K 0
9 AM 10 AM 11 AM 12 PM 1 PM 2 PM 3 PM 9 AM 10 AM 11 AM 12 PM 1 PM 2 PM 3 PM
2020 February 2021
Spread Bps
20 Q3 20 Q4 21 Q1
Jul 20 Aug 20 Sep 20 Oct 20 Nov 20 Dec 20 Jan 21 Feb 21
firstHalfHour 30.5 30.9 29.5 29.7 32.0 29.6 29.3 33.1
midday 24.2 23.3 23.0 23.2 24.1 23.2 22.9 24.6
lastHalfHour 23.2 22.6 22.2 22.1 23.4 21.9 21.7 22.6
One Minute Volatility Bps
firstHalfHour 19.0 18.8 15.2 16.1 18.8 14.9 15.1 15.7
midday 8.3 7.5 6.6 6.8 7.8 6.6 6.8 6.5
lastHalfHour 7.3 7.1 6.5 7.0 7.3 6.9 7.3 6.7
Quotesize in Shares
firstHalfHour 1,009 990 1,091 1,089 988 1,146 1,202 1,248
midday 1,673 1,754 1,896 1,940 1,774 2,092 2,260 2,167
lastHalfHour 2,195 2,435 2,468 2,548 2,214 2,693 2,814 2,559
Median used for all metrics
One minute volatility is calculated using the difference between the high and low price within a one minute time bin, divided by that bin’s VWAP
Source data: Virtu Financial
Page 8Australia
Average Daily Turnover (Notional USD)
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2018
6.0B 2019
4.0B 2020
2021
2.0B
Venue Market Share (Notional USD)
100%
85.1% 84.5% 84.4% 84.4% 85.0% 84.1% 83.6% 84.1% 83.2% 82.3% ASX
87.5% 87.4%
50% CHI-X
0% 12.5% 12.6% 14.9% 15.5% 15.6% 15.6% 15.0% 15.9% 16.4% 15.9% 16.8% 17.7%
Mar 20 Apr 20 May 20 Jun 20 Jul 20 Aug 20 Sep 20 Oct 20 Nov 20 Dec 20 Jan 21 Feb 21
Trade Size Distribution by Market Cap and %ADT (Notional USD)
>=300%
3B
200-300%
Large 2B
100-200%
1B 50-100%
25-50%
3B
10-25%
Mid 2B 5-10%
1B
3B
Small 2B
1B
Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Market Structure News
Superannuation Funds to Face Greater Scrutiny MSCI Builds Domestic Indexes in Australia
The Australian Prudential Regulatory Agency (APRA) plans to closely monitor Lured both by the rise of Australia’s superannuation sector and its shift
the maturing superannuation industry throughout 2021. The superannuation towards environment, social and corporate ESG, MSCI has chosen
industry was heavily-disrupted in 2020 and warrants increased levels of Australia—only the second share market in the world—to build a set of
scrutiny in areas of policy and supervision. Speaking at the February ASFA domestic indexes. The global index provider released over fifty domestic
Conference, APRA Deputy Chair Helen Rowell, remarked that “[APRA] indexes in early February after liaising with several superannuation funds,
intends to intensify our focus on areas of the superannuation industry…where ETF providers and fund managers. The indexes are grouped by market
it is clear there is more work to do – governance, underperformance, and capitalization, factor, theme and ESG.
member’s best interests”. The superannuation industry has grown significantly
in recent years and the level of governance will continue to increase.
https://www.afr.com/chanticleer/super-s-green-push-lures-msci-
20210208-p570lv
https://www.regulationasia.com/australian-super-funds-to-face-greater-
scrutiny-in-2021-apra/
https://www.apra.gov.au/news-and-publications/apra-deputy-chair-helen-
rowell-speech-to-asfa-conference ..
Source data: Virtu Financial
Page 9Australia
Market Microstructure Observations
· Chi-X venue market share represented 17.7% of the market, the highest since April 2019
· Volume in the closing auction slightly decreased slightly to 15% of total day volume (17% is the 2020 average)
· Intraday spreads, volatility and quotesize all traced below 2020 averages
Volume Curve Intraday Spread (bps)
10 00
10 15
10 30
10 45
11 00
11 15
11 30
11 45
12 00
12 15
12 30
12 45
13 00
13 15
13 30
13 45
14 00
14 15
14 30
14 45
15 00
15 15
15 30
15 45
20
close
open
15% 10
10%
0
5%
0% 10 AM 11 AM 12 PM 1 PM 2 PM 3 PM 4 PM
Intraday Quotesize (Shares) Intraday Volatility (bps)
10K 30
20
5K
10
0K 0
10 AM 11 AM 12 PM 1 PM 2 PM 3 PM 4 PM 10 AM 11 AM 12 PM 1 PM 2 PM 3 PM 4 PM
2020 February 2021
Spread Bps
20 Q3 20 Q4 21 Q1
Jul 20 Aug 20 Sep 20 Oct 20 Nov 20 Dec 20 Jan 21 Feb 21
firstHalfHour 21.9 20.8 20.8 19.9 19.5 18.7 19.8 20.2
midday 16.8 16.5 16.9 15.2 16.0 15.3 15.0 15.5
lastHalfHour 17.5 17.2 17.8 16.8 16.7 15.7 15.0 15.5
One Minute Volatility Bps
firstHalfHour 22.9 22.6 21.5 17.7 18.4 15.2 14.4 16.6
midday 5.9 5.5 5.5 5.0 5.1 4.3 4.1 4.6
lastHalfHour 5.1 4.3 5.3 4.4 4.3 3.7 3.7 3.4
Quotesize in Shares
firstHalfHour 3,002 3,135 3,551 3,258 3,208 2,917 2,583 2,326
midday 5,034 6,228 6,892 6,767 7,424 6,268 5,358 4,931
lastHalfHour 11,468 13,092 14,938 15,112 15,132 13,233 11,014 9,734
Median used for all metrics
One minute volatility is calculated using the difference between the high and low price within a one minute time bin, divided by that bin’s VWAP
Source data: Virtu Financial
Page 10South Korea
2018
Average Daily Turnover (Notional USD)
2019
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2020
2021
30.0B
20.0B
10.0B
0.0B
Trade Size Distribution by %ADT (Notional USD)
>=300%
3B 200-300%
100-200%
50-100%
25-50%
2B
10-25%
5-10%
1B
0B
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
Jan
Feb
Mar
Market Structure News
FSC Korea to Allow Partial Resumption of Short-selling KRX BBIG K-New Deal Indices Have First Rebalancing
in May The Korea Exchange conducted the first rebalance of five KRX K-New Deal
On 3 February, South Korea’s Financial Services Commission (FSC) Indices, including the KRX BBIG K-New Deal Index, on 26 February 2021.
announced an extension to the short-selling ban until 2 May 2021 and a Launched on 7 September 2020, four of indices feature leading companies
partial resumption of short-selling starting 3 May on KOSPI 200 and that correspond to their respective namesake verticals: secondary battery,
KOSDAQ 150 Index stocks. By May, new rules will be in place to guard bio, internet and gaming—also collectively referred to as BBIG indices.
against illegal short-selling and increase retail investor access to
short-selling opportunities. A total of nine companies are subject to the rebalance: one in the KRX
BBIG K-New Deal and two in each of the four BBIG indices. Seven
Imposed in March 2020, initially for six months, the short-selling ban was KOSDAQ-listed companies are to be added to the index family while six are
subsequently extended and set to expire on 15 March 2021. The FSC being removed. Kakao Games will be added to two indices.
commented in November that it would lift the ban as scheduled, but it has
since come under pressure to keep it in place. h ps://global.krx.co.kr/contents/GLB/02/0203/0203000000/GLB0203000000.js
The FSC believes that the on 3 May partial resumption of short-selling is p#ab8758eced0475769e200e7e309baf77=1&view=20592
expected to have a limited impact on markets and stock prices, as KOSPI
200 and KOSDAQ 150 Index-listed stocks have large market caps and
liquidity. The short-selling ban will remain in place for more than two
thousand stocks for the time being.
h ps://www.regula onasia.com/fsc-korea-to-allow-par al-resump on-of-
short-selling-in-may/
Source data: Virtu Financial
Page 11South Korea
Market Microstructure Observations
· Turnover at US$37.9B was down 11% MoM but up 150% YoY
· Volume curve remains heavily skewed towards the morning with 25% of the day’s volume executing in the first 30 minutes of the day
· Intraday volatility and spreads traced below 2020 averages
Volume Curve Intraday Spread (bps)
20
10 00
10 15
10 30
10 45
11 00
11 15
11 30
11 45
12 00
12 15
12 30
12 45
13 00
13 15
13 30
13 45
14 00
14 15
14 30
14 45
15 00
15 15
close
9 00
9 15
9 30
9 45
10% 10
5% 0
0% 9 AM 10 AM 11 AM 12 PM 1 PM 2 PM 3 PM
Intraday Quotesize (Shares) Intraday Volatility (bps)
30
2K
20
1K
10
0K 0
9 AM 10 AM 11 AM 12 PM 1 PM 2 PM 3 PM 9 AM 10 AM 11 AM 12 PM 1 PM 2 PM 3 PM
2020 February 2021
Spread Bps
20 Q3 20 Q4 21 Q1
Jul 20 Aug 20 Sep 20 Oct 20 Nov 20 Dec 20 Jan 21 Feb 21
firstHalfHour 18.8 18.3 18.1 17.9 17.6 17.4 18.0 17.3
midday 17.6 16.8 17.0 17.0 16.3 15.4 15.9 15.6
lastHalfHour 17.6 16.8 17.1 17.1 16.3 15.6 15.8 15.6
One Minute Volatility Bps
firstHalfHour 16.1 19.3 16.8 15.2 15.6 13.9 20.9 18.0
midday 10.9 12.0 11.0 11.0 10.8 10.6 11.4 11.1
lastHalfHour 13.8 15.1 13.3 14.2 15.3 14.3 11.4 11.4
Quotesize in Shares
firstHalfHour 1,305 1,359 1,196 1,069 1,368 1,607 1,353 1,139
midday 2,439 2,353 2,254 2,043 2,618 3,044 2,399 1,994
lastHalfHour 2,771 2,918 2,670 2,400 3,099 3,574 2,928 2,457
Median used for all metrics
One minute volatility is calculated using the difference between the high and low price within a one minute time bin, divided by that bin’s VWAP
Source data: Virtu Financial
Page 12Taiwan
Average Daily Turnover (Notional USD)
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
15.0B 2018
2019
10.0B 2020
2021
5.0B
0.0B
Trade Size Distribution by Market Cap and %ADT (Notional USD)
2000M
1500M
Large 1000M
500M >=300%
200-300%
100-200%
1500M
50-100%
Mid 1000M
25-50%
500M
10-25%
2000M 5-10%
1500M
Small 1000M
500M
Mar
Mar
Nov
Aug
Sep
Dec
Feb
Apr
M..
Jun
Jul
Oct
Jan
Feb
Market Structure News
Revenues of All Listed Companies Rose by 24.25% YoY Taiwan Punishes Deutsche Bank In Currency
On 17 February, Taiwan Stock Exchange (TWSE) announced that 946 listed Speculation Case
companies have completed their revenue filings (excluding TWSE: 6452). The The Taiwan dollar is at a peak high against USD—and for the first
summary shows that the total revenue of listed companies in January 2021 was time in more than 23 years. The island’s trade-dependent boom has
NT$3.673T (US$130B), which is NT$598.8B (US$21B), or 24.25%, higher than
been fueled by a rise in global demand for tech products due to
the total revenue in January 2020. A total of 755 companies experienced revenue
work-from-home measures.
growth, while 191 companies experienced a decline.
https://www.twse.com.tw/en/news/newsDetail/ff8080817751e57d0177b339ce8500a8
The Taiwan central bank has been particularly concerned about a
case which claimed that foreign banks helped grain companies
Taiwan's Weight in MSCI Index Unchanged in 1Q21 engage in currency speculation through deliverable forwards which
MSCI conducts regular index reviews every February, May, August and affected the stability of Taiwan’s foreign exchange market.
November, and publishes the results and effective date on its website. The
announcement and effective dates for Q1 2021 results are 9 February and 1
March and Q2’s are scheduled for 11 and 28 May (dates in Central European On 7 February, Taiwan central bank confirmed that as part of its
crackdown on speculation, it had banned Deutsche Bank from trading
Time Zone, UTC+1).
Taiwan dollar deliverable and non-deliverable forwards and a
imposed a two-year suspension on trading FX derivatives.
Per the MSCI Q1 index review announcement on 9 February, Taiwan's market The source also reported that the Taiwan central bank also sent
capitalization has increased by 0.14%. Taiwan's weight in the MSCI All Country letters outlining sanctions to Citigroup Inc, ING and Australia and New
World Index (MSCI ACWI) remains unchanged, and weights in the MSCI
Zealand Banking Group Ltd (ANZ) for their involvement.
Emerging Markets (MSCI EM) and the MSCI AC Asia ex-Japan, have declined by https://www.reuters.com/article/us-taiwan-forex-idUSKBN2A705J
0.10 and 0.11% respectively. The weights, after adjustment, become 1.83%,
13.27% and 14.91%, respectively.
https://www.twse.com.tw/en/news/newsDetail/ff8080817751e57d01778a8377df0073
Source data: Virtu Financial
Page 13Taiwan
Market Microstructure Observations
· Turnover at US$15B was up 3% MoM at US$15.5B
· Intraday spread levels match closely with the 2020 averages
· Quotesize throughout the second half of day traced above 2020 averages
Volume Curve Intraday Spread (bps)
10 00
10 15
10 30
10 45
11 00
11 15
11 30
11 45
12 00
12 15
12 30
12 45
13 00
13 15
close
open
30
9 00
9 15
9 30
9 45
median spread bps
15% 20
10% 10
5% 0
0% 9 AM 10 AM 11 AM 12 PM 1 PM
Intraday Quotesize (Shares) Intraday Volatility (bps)
median quotesize bps
20K median vlty bps
20
10K 10
0K 0
9 AM 10 AM 11 AM 12 PM 1 PM 9 AM 10 AM 11 AM 12 PM 1 PM
2020 February 2021
Spread Bps
20 Q3 20 Q4 21 Q1
Jul 20 Aug 20 Sep 20 Oct 20 Nov 20 Dec 20 Jan 21 Feb 21
firstHalfHour 29.4 29.4 31.0 29.0 28.0 27.8 28.5 28.3
midday 24.4 24.6 25.7 24.7 23.8 24.0 24.0 23.3
lastHalfHour 24.2 24.0 25.1 24.9 23.4 23.6 24.1 23.1
One Minute Volatility Bps
firstHalfHour 14.5 15.4 15.4 12.6 12.4 13.7 15.5 15.7
midday 6.9 7.4 7.4 6.6 6.3 6.8 7.2 6.8
lastHalfHour 7.5 9.2 10.2 10.3 11.0 11.3 7.7 8.4
Quotesize in Shares
firstHalfHour 12,340 12,131 12,498 13,333 14,756 14,647 12,798 12,216
midday 20,536 21,179 21,893 24,798 26,988 25,017 20,042 21,454
lastHalfHour 21,248 21,921 22,480 23,059 27,157 25,049 20,321 22,767
Median used for all metrics
One minute volatility is calculated using the difference between the high and low price within a one minute time bin, divided by that bin’s VWAP
Source data: Virtu Financial
Page 14India
2018
Average Daily Turnover (Notional USD)
2019
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2020
2021
10.0B
5.0B
0.0B
Venue Market Share (Notional USD)
100% BSE
NSE
50% 93.5% 95.4% 95.2% 94.2% 94.5% 93.3% 94.8% 95.4% 95.2% 93.5% 93.5% 93.5%
0%
Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Trade Size Distribution by Market Cap and %ADT (Notional USD)
>=300%
6B 200-300%
4B 100-200%
Large
50-100%
2B
25-50%
0B
10-25%
300M 5-10%
Mid 200M
100M
200M
Small 100M
0M
Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Market Structure News
NSE Trading Halt Due to Glitch RBI Governor Says There Was Room For An ARC
On 24 February, the National Stock Exchange (NSE) halted trading in its cash Funded By Banks
and derivatives segments for over three hours. The exchange cited technical On 25 February, the Reserve Bank of India Governor Shaktikanta Das,
issues with its telecom service providers as the cause for the freeze of live commented that there was room for a strongly-funded national asset
price feeds. The outage was discovered within the first hour of trading and reconstruction company (ARC)and that the public sector banks
affected multiple vendors and participants. It has been recorded as the worst themselves had proposed creating a new national ARC that would
NSE outage to date. purchase a specific stressed assets from banks and resolve them in a
timely manner—and without jeopardy to existing ARC activities. Mr. Das
https://www.business-standard.com/article/markets/sebi-finmin-seek-detailed-report-from-nse-
also brought up new topics to be discussed post-COVID.
as-trading-halts-due-to-glitch-121022401328_1.html
https://www.bloombergquint.com/economy-finance/rbi-governor-says-there-was-room-for-
an-arc-funded-by-banks
Source data: Virtu Financial
Page 15India
Market Microstructure Observations
· Monthly turnover at US$10.6B was up 18% MoM and 93% YoY
· Volume curve remains heavily skewed towards the morning with 20% of the day’s volume executing in the first hour of the day
· One minute volatility rose to its highest since Q2 2020 while quotesize continued to fall since July 2020
Volume Curve Intraday Spread (bps)
4
10 00
10 15
10 30
10 45
11 00
11 15
11 30
11 45
12 00
12 15
12 30
12 45
13 00
13 15
13 30
13 45
14 00
14 15
14 30
14 45
15 00
15 15
close
open
9 15
9 30
9 45
3
10%
2
1
5%
0
0% 9 AM 10 AM 11 AM 12 PM 1 PM 2 PM 3 PM
Intraday Quotesize (Shares) Intraday Volatility (bps)
1000 20
500 10
0 0
9 AM 10 AM 11 AM 12 PM 1 PM 2 PM 3 PM 9 AM 10 AM 11 AM 12 PM 1 PM 2 PM 3 PM
2020 February 2021
Spread Bps
20 Q3 20 Q4 21 Q1
Jul 20 Aug 20 Sep 20 Oct 20 Nov 20 Dec 20 Jan 21 Feb 21
firstHalfHour 3.5 3.3 3.6 3.4 3.4 3.2 3.1 3.2
midday 3.0 2.8 3.0 3.0 2.7 2.7 2.7 2.6
lastHalfHour 2.8 2.7 2.9 2.7 2.6 2.5 2.5 2.6
One Minute Volatility Bps
firstHalfHour 17.2 15.5 19.1 16.9 16.6 15.6 17.3 19.8
midday 7.6 6.4 8.4 7.4 7.3 6.4 7.8 8.8
lastHalfHour 9.7 8.8 11.7 9.5 9.4 9.1 10.1 11.0
Quotesize in Shares
firstHalfHour 1,089 1,039 877 860 814 789 684 626
midday 1,238 1,119 960 947 892 876 781 757
lastHalfHour 1,449 1,427 1,246 1,157 1,220 1,239 1,080 1,041
Median used for all metrics
One minute volatility is calculated using the difference between the high and low price within a one minute time bin, divided by that bin’s VWAP
Source data: Virtu Financial
Page 16Thailand
2018
Average Daily Turnover (Notional USD)
2019
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2020
6.0B 2021
4.0B
2.0B
0.0B
Trade Size Distribution by %ADT (Notional USD)
>=300%
200-300%
1000M
100-200%
50-100%
900M
25-50%
10-25%
800M
5-10%
700M
600M
500M
400M
300M
200M
100M
0M
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
Jan
Feb
Mar
Market Structure News
Recovery Objective Highlighted in New Strategic Plan
On 11 February, Thailand’s Securities and Exchange Commission (SEC) announced its 2021-2023 Strategic Plan. The goals,
among other things, include changes to the regulatory framework and international connectivity both aimed at enhancing
competitiveness and creating opportunity.
https://www.sec.or.th/EN/Pages/News_Detail.aspx?SECID=8789&NewsNo=29&NewsYear=2021&Lang=EN
Source data: Virtu Financial
Page 17Thailand
Market Microstructure Observations
· Intraday volatility after lunchbreak at 2:15pm was 50bps higher than 2020 averages
· Volume curve remains heavily skewed towards the morning with 18% of the day’s volume executing in the first 30 minutes of the day
· Quotesize throughout the continuous trading session were at their highest since Q3 2020
Volume Curve Intraday Spread (bps)
60
10 00
10 15
10 30
10 45
11 00
11 15
11 30
11 45
12 00
12 15
14 15
14 30
14 45
15 00
15 15
15 30
15 45
16 00
16 15
close
open
9 45
40
10%
20
5%
0
0% 10 AM 11 AM 12 PM 1 PM 2 PM 3 PM 4 PM
Intraday Quotesize (Shares) Intraday Volatility (bps)
200
400K
100
200K
0K 0
10 AM 11 AM 12 PM 1 PM 2 PM 3 PM 4 PM 10 AM 11 AM 12 PM 1 PM 2 PM 3 PM 4 PM
2020 February 2021
Spread Bps
20 Q3 20 Q4 21 Q1
Jul 20 Aug 20 Sep 20 Oct 20 Nov 20 Dec 20 Jan 21 Feb 21
firstHalfHour 63.2 62.7 64.5 66.0 64.9 60.3 59.5 61.8
midday 62.8 62.1 63.7 65.5 64.3 59.7 58.8 61.3
lastHalfHour 62.9 62.5 64.6 66.0 64.5 60.3 59.5 61.5
One Minute Volatility Bps
firstHalfHour 177.5 200.0 203.2 182.9 48.1 43.7 163.6 249.4
midday 180.5 185.2 191.7 186.6 169.5 163.1 229.8 231.9
lastHalfHour
Quotesize in Shares
firstHalfHour 322,489 295,460 262,933 249,775 304,860 281,362 329,239 333,863
midday 494,657 479,032 441,342 410,387 519,714 469,149 511,597 531,652
lastHalfHour 502,118 498,373 431,692 423,223 502,252 486,137 524,220 541,490
Median used for all metrics
One minute volatility is calculated using the difference between the high and low price within a one minute time bin, divided by that bin’s VWAP
Source data: Virtu Financial
Page 18New Zealand
2018
Average Daily Turnover (Notional USD)
2019
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2020
2021
0.1B
0.0B
>=300%
200-300%
Trade Size Distribution by Market Cap and %ADT (Notional USD)
100-200%
50-100%
25-50%
10-25%
100.. 5-10%
800M
600M
400M
200M
0M
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
Jan
Feb
Mar
Market Structure News
NZX to focus on tech for 2021
Following a tough year for the NZX, which saw at least two separate outages, the NZX plans to increase their spend on tech to avoid
similar issues occurring in future. After reporting strong earnings for FY 2020, the NZX “acknowledged the issues that have affected
its technology platforms and market participants in 2020 and recognised the need for further investment in technology to enhance
platform stability and resilience, and deliver other improvements, confirming additional spend on people and systems in 2021”.
http://nzx-prod-s7fsd7f98s.s3-website-ap-southeast-2.amazonaws.com/attachments/NZX/367687/340454.pdf
Source data: Virtu Financial
Page 19New Zealand
Market Microstructure Observations
· Volume continues to be skewed towards the second half of the day with the last hour of trading representing 15.8% of full day volume
· Intraday spreads traced above 2020 averages while intraday volatility and quotesize traced below
Volume Curve Intraday Spread (bps)
40
10 00
10 15
10 30
10 45
11 00
11 15
11 30
11 45
12 00
12 15
12 30
12 45
13 00
13 15
13 30
13 45
14 00
14 15
14 30
14 45
15 00
15 15
15 30
15 45
16 00
16 15
16 30
close
open
30
6% 20
4% 10
2% 0
0% 11 AM 1 PM 3 PM
Intraday Quotesize (Shares) Intraday Volatility (bps)
6K
30
4K
20
2K 10
0K 0
11 AM 1 PM 3 PM 11 AM 1 PM 3 PM
2020 February 2021
Spread Bps
20 Q3 20 Q4 21 Q1
Jul 20 Aug 20 Sep 20 Oct 20 Nov 20 Dec 20 Jan 21 Feb 21
firstHalfHour 32.4 29.9 29.1 33.0 31.6 30.9 33.6 32.4
midday 17.5 16.9 18.3 20.2 20.4 21.4 22.0 22.2
lastHalfHour 18.3 17.3 19.2 19.0 19.3 18.4 22.0 22.2
One Minute Volatility Bps
firstHalfHour 8.4 6.8 8.3 7.2 6.8 8.2 6.0 7.4
midday 4.7 4.2 4.1 3.4 3.7 3.5 3.7 3.6
lastHalfHour 4.5 3.8 3.0 3.8 3.5 4.4 4.7 4.4
Quotesize in Shares
firstHalfHour 3,585 3,668 2,707 3,225 3,302 3,465 2,934 2,863
midday 4,238 4,456 3,922 4,023 4,341 4,878 4,261 4,306
lastHalfHour 4,882 5,193 5,462 4,548 5,448 6,196 5,198 5,319
Median used for all metrics
One minute volatility is calculated using the difference between the high and low price within a one minute time bin, divided by that bin’s VWAP
Source data: Virtu Financial
Page 20Singapore
Year of Date
Average Daily Turnover (Notional USD) 2018
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2019
1.5B 2020
2021
1.0B
0.5B
0.0B
Trade Size Distribution by Market Cap and %ADT (Notional USD)
400M >=300%
200-300%
Large 100-200%
200M 50-100%
25-50%
0M 10-25%
5-10%
400M
Mid
200M
0M
400M
Small
200M
0M
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
Jan
Feb
Mar
Market Structure News
MAS Proposes Revisions to Requirements for Insurers Singapore’s Enhanced Personal Data Protection Act
The Monetary Authority of Singapore (MAS) has proposed to improve the Takes Effect
current prerequisites identifying with big business hazard management, Singapore's new Personal Data Protection Act (PDPA) took effect on 1
investment hazard management and public disclosure practices for February 2021 and granted organizations a wider ability to use consumer
insurers. The adjustments focus on aligning MAS' rules and guidelines with personal data while also increasing responsibility for data breaches.
refreshed insurance core principles. The goal is to strengthen insurance risk Singapore’s Personal Data Protection Commission commented that “the
management practices, by incorporating: amendments will strengthen organizational accountability and consumer
protection while giving organizations the confidence to harness personal
• Improvement to liquidity hazards by maintaining a portfolio of data for innovation”. See the link below for more details.
unencumbered liquid assets and liquidity contingency plan
• Stress-test processes https://www.regulationasia.com/singapore-enhanced-personal-data-protection-act-takes-ef-
This is in a bid to help prevent insurance sector vulnerability from fect/
developing into systemic risks.
https://www.regulationasia.com/mas-proposes-revisions-to-requirements-for-insurers/
Source data: Virtu Financial
Page 21Singapore
Market Microstructure Observations
· Volumes were down 10% MoM and YoY at US$1.0B
· Intraday spreads in February were back to pre-COVID levels at ~25bps
· Intraday volatility continued to fall though remains elevated versus Jan/Feb 2020 levels
Volume Curve Intraday Spread (bps)
30
10 00
10 15
10 30
10 45
11 00
11 15
11 30
11 45
12 45
13 00
13 15
13 30
13 45
14 00
14 15
14 30
14 45
15 00
15 15
15 30
15 45
16 00
16 15
16 30
16 45
close
open
9 00
9 15
9 30
9 45
20
8% 10
6%
4% 0
2%
10 AM 12 PM 2 PM 4 PM
Intraday Quotesize (Shares) Intraday Volatility (bps)
20
200K
10
100K
0K 0
10 AM 12 PM 2 PM 4 PM 10 AM 12 PM 2 PM 4 PM
2020 February 2021
Spread Bps
20 Q3 20 Q4 21 Q1
Jul 20 Aug 20 Sep 20 Oct 20 Nov 20 Dec 20 Jan 21 Feb 21
firstHalfHour 28.2 27.6 28.6 28.0 25.5 25.0 23.4 24.7
midday 29.1 28.7 29.5 28.4 25.3 24.7 24.4 25.3
lastHalfHour 28.9 28.6 29.3 28.2 25.4 24.5 24.3 24.0
One Minute Volatility Bps
firstHalfHour 7.2 7.3 5.4 5.8 8.7 6.6 7.1 7.7
midday 5.8 5.1 4.9 5.2 5.3 6.0 5.4 5.7
lastHalfHour 2.4 5.0 5.0 5.0 5.2 6.3 5.7 3.9
Quotesize in Shares
firstHalfHour 59,611 57,709 64,203 64,266 60,875 66,394 59,630 65,948
midday 167,527 168,396 168,251 210,740 196,271 177,331 161,583 189,564
lastHalfHour 160,036 172,302 161,722 211,276 221,777 179,991 180,964 195,173
Median used for all metrics
One minute volatility is calculated using the difference between the high and low price within a one minute time bin, divided by that bin’s VWAP
Source data: Virtu Financial
Page 22Glossary
Volume curve - average of value traded during the month, per 15-minute time bin.
Intraday volatility - Median of difference between the high and low price within a one minute time bin, divided by that bin’s
VWAP
Spread - median of bid-ask spread of the index.
Quotesize - Median bid and ask size of all stocks in the index.
Average daily turnover - average daily value traded in the market.
Indices used:
Australia: ASX 200
Japan: TOPIX
China: CSI 300
Hong Kong: Hang Seng Index
Taiwan: TWSE
India: NIFTY 50
Korea: MSCI Korea 25-50 Index
New Zealand: MSCI New Zealand IMI 25/50 Index
Singapore: MSCI Singapore Index
Thailand: MSCI Thailand IMI 25/5 Index
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