Deutsche Bank Equities Global Market Structure Asia Pacific Newsletter
Issue 22, 2012 Welcome to the APAC Market Structure Newsletter containing the news relating to market microstructure,exchange updates and regulatory developments.
Hong Kong ...... Page 2 First Dual-counter security listed in Hong Kong HKEx - LME merger update
China...... Page 4 Capital Gains tax @ 10% proposed for QFIIs Shenzhen Stock Exchange to develop next gen Trading Platform with RedHat Taiwan...... Page 7 Taiwanese banks allowed to trade Chinese stocks TW Futures Exchange signs MoU with NYSE Euronext India...... Page 9 SEBI unveils major IPO reforms, tightens regulation MCX-SX to launch operations after 18th Nov after registering 350 members Japan...... Page 13 TSE – OSE merger update – business plan for Japan Exchange Group Japan Securities Clearing Corporation launches first Asia-Pacific CCP South Korea...... Page 15 FSC mulling to limit Short selling, increase surveillance of thematic stocks Korea get faster connectivity through IPC – Koscom partnership
Australia...... Page 16 ASIC finalising rules for automated trading ASX issues draft rules on continuous disclosures
ASEAN...... Page 18 Singapore consults on transparency of clearing and settlement processes SET joins the ASEAN trading link, update on milestones released
Quant Fact Sheet...... Page 21
Contact: Email: [email protected] Tel: +852 2203 5710 +44 207 547 5552 +1 212 250 4170 Deutsche Bank Equities Global Market Structure Hong Kong Newsletter Issue 22
Hong Kong Market Structure Update Fig 1: Equities Hong Kong market monthly ADT (lit, auction & non-displayed order types) 10.00 9.00 Total (USD$) %loss/gain 2010 2011 2012 8.00 Monthly ADT (Oct 2012) USD$5.29bn 0.35% 7.00 Source: Thomson Reuters, 2012 6.00 5.00
Dual-counter issues listed (USD bn) 4.00 The HKEx listed the first dual-counter (DC) security - the Harvest MSCI 3.00 China A Index ETF in October. A DC security offers two counters (e.g. a 2.00 RMB and a HKD counter) for trading and settlement and has two stock 1.00 codes. Investors can, if their brokers offer the service, buy shares in one 0.00 unit and sell in the other unit and thus can trade in either of the currencies. JanFeb Mar Apr May Jun Jul AugSep Oct NovDec The benefit for issuers is that they can target a wider audience. Source: Thomson Reuters, 2012
Also in October the HKEx listed the first RMB-traded equity outside Fig 2: Futures HKFE HSI monthly ADT mainland China. Hopewell Highway Infrastructure Limited is set up as a 16.00 DC security. Various mixed transactions such as borrowing RMB-traded 2010 2011 2012 14.00 securities and selling HKD-traded securities (regarded as a covered short sell) are possible. 12.00 Further information can be found at: 10.00 8.00 http://www.hkex.com.hk/eng/newsconsul/hkexnews/2012/121011news.htm (USD bn) 6.00 http://www.hkex.com.hk/eng/newsconsul/hkexnews/2012/121025news.htm 4.00 Regulations for overseas market participants 2.00 0.00 While welcoming market participants from overseas, the current JanFeb Mar Apr May Jun Jul AugSep Oct NovDec chairman of the SFC highlighted that rigorous regulations and Source: Bloomberg, 2012 enforcement schemes need to be in place to deal with specialized trading mechanisms such as dark pools and high-frequency trading.
Capital rules HKMA and Clearstream merger A set of revised capital requirements for locally incorporated AIs was The HKMA and Clearstream announced on October 17th a cooperation gazetted on Friday, 19th October in order to implement the first phase of to provide cross-border collateral management and liquidity services in Basel III requirements. They are scheduled to take effect in January 2013. Hong Kong. Under the cooperation, international financial institutions
The(USD bn) Banking (Amendment) Ordinance 2012 was enacted by the Legislative can use their collateral posted with Clearstream (the total collateral pool Council in February 2012 to provide the legal framework for implementation of Clearstream stands at EUR550bn) to conduct repo transactions with of the Basel III regulatory capital, liquidity and disclosure standards. and obtain liquidity from members of the HKMA’s Central Moneymarkets Unit (CMU). This arrangement will also benefit general liquidity in HKD and offshore RMB in Hong Kong by enhancing the development of a cost Environmental guideline effective and efficient repo market in Hong Kong. The HKEx recommended that listed companies follow the environmental, socialSource: Thomsonand governance Reuters, 2012 practices it has issued in conjunction with the Currency peg WWF. Listed companies that agreed to adhere to the guidelines need to address workplace quality, environmental protection and operative The HKMA defended the peg of the HKD to the USD a total of seven practices. Examples are turning off the air conditioning systems after times within a two-week period in October, selling more than HKD14.4bn working hours and serving sustainable seafood in the canteen. (buying in excess of USD1.85bn). As money continued to flow into Hong Kong due to monetary easing in Europe and the US, the HKMA had to sell HKD and buy USD to keep the exchange rate in the official band of QFII and RQFII 7.75-7.85 HKD to the USD. Some in the market have called for a review
The(USD bn) CEO of the SFC, Mr. Ashley Alder, expects investment activities of the peg and to look into alternatives, such as a basket of currencies using RQFII to get more active in 2013. In a move to attract more foreign or a complete free-float. The exchange fund, which is utilized to defend investors, the asset requirement for QFII was lowered from USD5bn to the Hong Kong Dollar, has assets totaling HKD2.65trn at the end of USD6mn. September, HKD85.8bn higher from a month before. Similar upward pressures as in the HKD have been witnessed in other emerging markets currencies as well. Source: Thomson Reuters, 2012 Hong Kong Market Structure Monthly Newsletter 3
Venue News HKEx other news The HKEx announced it was restructuring its business and focusing resources on the joint venture with the Shanghai Stock Exchange and the HKEx - LME merger update LME merger amongst others. Trading volumes on the LME hit record highs in September with 13.09m The evening futures trading introduction will be delayed to March 2013. lots. Average daily volumes on the LME are up 8.5% compared to 2011. Meanwhile, the chief executive of the LME, Martin Abbot, said that he The hacker who was responsible for hacking the HKEx website causing a expects regulators to approve the deal by the end of the year. trading halt for seven stocks, a 28-year old IT boss, was found guilty and will be sentenced at a later date. One area the LME is already making changes in is the minimum load- out rate for its warehouses. Delays for clients wanting to retrieve metal from one of the warehouses have been called unacceptable by the HKEx. The issue was a potential deal-breaker in the merger negotiations. Slow Personnel Changes release from warehouses also affects the contango in several metals markets and the resulting storing of the metals by speculators with negative impact on actual users of the metal. Chief Regulatory Officer The LME also announced that it aims to expand its product offering to The HKEx has created the new position of Chief Regulatory Office (CRO) iron-ore, coking coal and iron-ore shipping. This latest initiative is seen and appointed David Graham to this new position. Mr. Graham will as catering to Chinese demand. Additionally the LME is aiming to open oversee the listing division as well as all legal, compliance and regulatory warehouses in China. functions. He has more than 30 years of experience in legal as well as in financial services and will start in early January 2013. The HKEx emphasized again that it does not plan to fundamentally change the way the LME does business but rather build and expand on Further information can be found here: the existing foundation. As an example the HKEx announced it is not in a http://www.hkex.com.hk/eng/newsconsul/hkexnews/2012/121008news.htm rush to discontinue the open-outcry system. Securities regulator HKEx Software update The Hong Kong government has appointed Carlson Tong, former The HKEx intends to upgrade its HKATS software on November 12th. The chairman of KPMG China, as the chairman of the SFC. Mr. Carlson, who upgrade will include the introduction of data compression in central gateway, will succeed Eddy Fong, will serve for 3 years until October 2015. Leading enhanced CLICK trade software and dynamic price banding mechanisms. figures in the industry gathered for a farewell reception at the Hong Kong Club as Mr. Fong looked back on his tenure. Market Share Report Sources The HKEx have released a summary of the market share between the www.reuters.com http://www.businessweek.com difference participants. The categories are defined as follows: www.sfc.hk http://www.financialexpress.com — Category A: Position 1 – 14 www.bloomberg.com http://www.scmp.com — Category B: Position 15 - 65 www.hkex.com.hk http://www.aastocks.com — Category C: Over 65 http://www.chinascopefinancial.com http://www.cityam.com http://www.thestandard.com.hk http://www.mining-journal.com Category A Category B Category C (Position 1 to 14) (Position 15 to 65) (Position > 65) http://www.hkma.gov.hk http://www.amm.com http://7thspace.com http://www.miningweekly.com Average Total Total Total Total Daily Date Range (%) Range (%) Range (%) Turnover (%) (%) (%) Turnover ($Bil) ($Mil) OCT 11 8.32 - 2.71 57.74 2.33 - 0.21 32.11 0.20 - 0.00 10.15 1,438.81 71,940.49 NOV 11 8.40 - 2.32 59.65 2.09 - 0.20 30.58 0.19 - 0.00 9.77 1,328.40 60,381.74 DEC 11 8.14 - 2.63 58.78 2.40 - 0.20 31.50 0.19 - 0.00 9.72 947.45 47,372.48 JAN 12 8.26 - 2.69 57.52 2.58 - 0.22 32.49 0.21 - 0.00 9.99 1,006.98 55,943.24 FEB 12 7.01 - 2.55 55.83 2.37 - 0.21 33.33 0.21 - 0.00 10.84 1,444.02 68,763.06 MAR 12 6.81 - 2.61 58.06 2.41 - 0.19 32.17 0.19 - 0.00 9.77 1,436.19 65,281.56 APR 12 6.88 - 2.70 58.23 2.48 - 0.20 32.17 0.19 - 0.00 9.60 910.17 50,565.13 MAY 12 8.52 - 2.83 58.79 2.69 - 0.18 32.12 0.17 - 0.00 9.09 1,215.92 55,268.90 JUN 12 8.44 - 2.92 58.28 2.84 - 0.20 32.63 0.19 - 0.00 9.09 965.79 45,990.09 JUL 12 8.60 - 2.86 59.35 2.72 - 0.20 31.42 0.20 - 0.00 9.23 918.70 43,747.64 AUG 12 8.23 - 2.74 58.73 2.31 - 0.21 31.56 0.20 - 0.00 9.71 1,014.04 44,088.49 SEP 12 7.67 - 2.46 59.80 2.34 - 0.22 30.48 0.21 - 0.00 9.72 1,062.62 53,131.02
Past 12 Months Total ($ Bil) 13,689.09
Monthly Average ($ Bil) 1,140.76 Contact http://www.hkex.com.hk/eng/stat/epstat/exreport.htm Email: [email protected] Tel: +852 2203 5710 +44 207 547 5552 +1 212 250 4170 Deutsche Bank Equities Global Market Structure Chinese Newsletter Issue 22
Chinese Market Structure Update Fig 1: Equities Chinese market monthly ADT (lit, auction & non-displayed order types) 70.00
Total (USD$) %loss/gain 60.00 2010 2011 2012
Monthly ADT (Oct 2012) USD$16.17bn 12.63% 50.00 Source: Thomson Reuters, 2012 40.00
CSRC restarts IPO approvals (USD bn) 30.00
CSRC has given Beijing Zhongkuang Environmental Protection Science 20.00 and Technology Co Ltd IPO the green light to list on ChiNext board at Shenzhen Stock Exchange. CSRC also announced that it would resume 10.00 IPO application examinations after the October holidays are over. There are 0.00 at least 758 domestic companies in the IPO pipeline awaiting regulatory JanFeb Mar Apr May Jun Jul AugSep OctNov Dec approval and 153 companies have already gone public this year. Source: Thomson Reuters, 2012 Fig 2: Equities Daily Turnover per venue - October 2012 CSRC to streamline approval and strengthen regulation 12.00 of companies Shanghai Shenzen 10.00 CSRC announced that it will split the listed company supervision department into two, one for the ChiNext board and the other for the 8.00 main board on Shanghai stock exchange and the Shenzhen small- 6.00 and medium sized enterprises board. The commission also clarified (USD bn) that stock issuing plan to raise money amounting to less than 20% 4.00 of the company’s net asset value within a year will not require the 2.00 commission’s approval. With so many IPOs in the pipeline, the CSRC is considering transitioning from an examination and approval system to a 0.00 registration and recording system for IPOs. 01-Oc t 02-Oc t 03-Oc t 04-Oc t 05-Oc t 08-Oc t 09-Oc t 10-Oc t 11-Oc t 12-Oc t 15-Oc t 16-Oc t 17-Oc t 18-Oc t 19-Oc t 22-Oc t 23-Oc t 24-Oc t 25-Oc t 26-Oc t 29-Oc t 30-Oc t 31-Oc t Unlisted public companies with more than 200 holders of privately issued Source: Thomson Reuters, 2012 shares will also be included in the commission’s regulatory system Fig 3: Futures HKFE HHI monthly ADT beginning 2013. 5.00 CSRC also canceled 32 administrative approval procedures subjected to 4.50 2010 2011 2012 central government approval. 4.00 3.50 7 Foreign Investors get QFII licenses with more likely to follow 3.00 2.50 (USD bn) CSRC has approved QFII applications of 7 foreign investors allowing 2.00 them to invest in Chinese capital markets. CSRC has approved a total 1.50 of 52 QFII licenses and has granted quotas worth $9.18 billion so far 1.00 this year. CSRC and SAFE are likely to accelerate the approval process 0.50 to reignite the stagnant domestic markets. Latest recipients of the QFII 0.00 quota include JanFeb Mar Apr May Jun Jul AugSep OctNov Dec — Australia’s Macquarie Bank Source: Bloomberg, 2012 — Sweden’s Andra AP-fonden Fig 4: Futures Daily Turnover per venue - October 2012 — Hong Kong’s Hai Tong Asset Management 16.00 14.00 HKFE HHI SGX FTSE China A50 — IDG Capital Management 12.00
— Duke University 10.00
— EFG Bank 8.00 (USD bn) — Qatar Investment Authority 6.00 4.00 The total number of QFII licenses issued is now 188, with a combined quota adding up to $31B. 2.00 0.00 Also, more than 30 Institutional Investors have applied for licenses to additional quotas from CSRC to further increase their investments in the 01-Oc t 02-Oc t 03-Oc t 04-Oc t 05-Oc t 08-Oc t 09-Oc t 10-Oc t 11-Oc t 12-Oc t 15-Oc t 16-Oc t 17-Oc t 18-Oc t 19-Oc t 22-Oc t 23-Oc t 24-Oc t 25-Oc t 26-Oc t 29-Oc t 30-Oc t 31-Oc t Source: Bloomberg, 2012 Chinese Market Structure Monthly Newsletter 5
Chinese market. Specifically Abdu Dhabi Investment Authority wants public better monitor and report suspected cases of insider trading to the to boost its investment to $1B and Kuwait Investment Authority hopes securities authorities. to exceed the $1B investment cap. The increased interest in the QFII program indicates stronger optimism about the outlook of the Chinese economy. China launches 2 RMB ETFs for HK Stocks China has launched two RMB denominated ETFs tracking Hong Kong Capital Gains tax of 10% for QFII stocks. The new ETFs will allow mainland investors to indirectly trade HK shares and diversify their portfolios. The ETF rollout is a part of a broader China’s regulators have drafted rules which will impose a 10% linearization by the tightly-controlled financial sector. The ETF tracking the capital gains tax on QFIIs. No timetable was mentioned regarding Hang Seng China Enterprises Index is managed by E Fund Management implementation of the tax levy. Co while the Hang Seng Index-tracking ETF is managed by China Asset Management Co. The proposed tax will not apply to Chinese retail or institutional investors. A formal policy will be announced to remove uncertainty and doubts for investors who wish to invest through QFII. The QFII program started in CSRC published revised version of pilot measures for fund 2003 and till now it was considered too small and immature to levy any management firms taxes. Recently the market has matured enough for Chinese authorities to consider a capital gains tax. However, with returns already low due to The newly published CSRC policy which lifts a restriction on public fund the Chinese equity market, potential investors may fear that taxes would management firms in privately offered funds business stipulates that squeeze profits further. they can invest clients’ money in “equities, bonds and other property rights that are not exchanged through a securities exchange.” Public fund China may apply a sliding scale to tax dividends managers can now buy and trade equities in non-listed companies. Firms must establish a subsidiary to manage their PE investment accounts, In a proposal, investors holding a stock for more than a month would which should be insulated financially from the rest of their assets. Further gain preferential tax treatment, while holding a stock for more than a year restrictions exist on the number of investors, limits, and the amount of would win deeper tax cuts. China’s government has rolled out a series capital investors must commit. The person must have at least 30 million of measures recently in an effort to stabilize the slumping stock market, yuan in the account if the asset management account is for only one which is down 6% this year. client. If it is combined with multiple investors, the minimum for each individual is 1 million yuan. QDII Funds Profit Surge in Q3; First overseas direct bond fund under QDII launched Foreigners can increase stake in securities firms QDII funds posted surging profits during Q3, jumping to $557.05M CSRC has announced that foreign investors can now own up to 49% of USD. This represents a substantial reversal from the RMB 4.08B loss the securities firms they invest in, up from 33% earlier. Chinese investors in Q2. QDII funds performance in Q2 was mainly dragged down by the must maintain at least 49% shareholding in the foreign-invested securities deepening European debt crisis and slowing US economy. firms. CSRC also said that securities firms (including JVs) can apply for China’s Huaxia Asset Management has received approval from CSRC to permission to expand their businesses two years after operating in China. launch the first overseas direct bond fund under the QDII regime. This move is expected to replenish the capital pools of Chinese securities firms in the short-term although this does not address the long term Hedge Funds continue to make their way into China profitability of these firms. Currently brokers generate more than half of their revenues from transfer and service fees compared to only 10% for Winton Capital Asia’s fund with Lyxor and its JV partner Fortune, overseas brokers. launched their first CTA in mainland China targeting sophisticated investors, including institutions and high net worth individuals. China’s Money Supply Rose Fastest in 15 Months, Current Account Additionally, two hedge fund associations, The Hedge Fund Association’s Surplus Rises Shanghai Chapter and the Shanghai Hedge Fund Association (SHFA) were also launched during the last month. SHFA also launched an offer M2 climbed 14.8% in September from a year earlier vs. 13.7% census for creating strategic partnerships with foreign firms interested in offering from a Bloomberg survey. Foreign-exchange reserves rose to $3.29 hedge funds in China. Meanwhile Shanghai Chapter of the HFA hosted trillion at the end of September from $3.24 trillion at the end of June. a symposium on hedge funds in China at the Cheung Kong Graduate With inflation below the government’s target of 4%, PBOC may inject School of Business in Beijing. further liquidity to simulate the Chinese economy. Many of the current restrictions on investing in China lie with the currency New local-currency loans in September were RMB 623.2B. Exports also issues. The Greater China-focused strategies have grown over time and climbed at the fastest pace in three months while imports rose 2.4%. now account for 13.5% of the $125B in Asian hedge funds assets. This China’s current account surplus totaled $70.6B in the third quarter up class of funds however has disappointed on the returns front with losses from $53.7B in the second quarter. averaging -13.05% last year. PBOC said on October 19th that China’s FX purchases rose USD $20.7B in September after falling for two months. The National Bureau of China promotes more transparency in a bid to combat Statistics said that corporate profits expanded 7.85% YoY to 464.3 billion insider trading yuan in September. The figure was a rebound from a 6.2% drop in August. CSRC has announced that it would start publishing information on restructuring plans and M&As proposed by mainland-listed companies on a weekly basis. The move highlights CSRC’s determination to promote transparency and information disclosure amid a call for greater public scrutiny of restructuring and M&A activities. This will likely help CSRC’s stance to curb insider trading as more information is made available online and investors can look for abnormal activities before a proposed M&A or restructuring plan. This will help the Chinese Market Structure Monthly Newsletter 6
Venue News
SZSE and Redhat to Build Next Generation Trading Platform Redhat Technologies and SZSE plan to build a centralized cross-market trading system to provide next generation reliability, scalability and security. The system will include 99.99% availability, failover time of three minutes or less, latency time of less than 10 milliseconds and support to process 300 million orders daily with more than 50,000 securities. The system will run on Red Hat enterprise Linux and JBoss Enterprise Middleware.
Shenzhen Stock Exchange and the Options Industry Council Sign MOU Regarding Options Research The Shenzhen Stock Exchange and The Options Industry Council have signed an MoU regarding joint options research and education. The ceremony was held with members of the OIC and SZSE in Shenzhen. As China focuses efforts on diversifying investment products, both OIC and SZSE recognize the need for investor education and research programs. The MoU also addresses mutual cooperation and sharing of information and stressed the need to contribute to the development and responsible use of suitable financial products.
Sources http://www.4-traders.com http://www.equities.com http://gulfnews.com http://www.nasdaq.com http://www.china.org.cn http://www.globaltimes.cn http://english.cri.cn http://english.peopledaily.com.cn http://english.caixin.com http://www.marketwatch.com http://www.opalesque.com http://www.capitalvue.com http://www.chinadaily.com.cn http://articles.chicagotribune.com http://www.todayonline.com http://www.morningwhistle.com http://www.bloomberg.com http://online.wsj.com http://www.ifrasia.com
Contact Email: [email protected] Tel: +852 2203 5710 +44 207 547 5552 +1 212 250 4170 Deutsche Bank Equities Global Market Structure Taiwan Newsletter Issue 22
Taiwan Market Structure Update Fig 1: Equities Taiwan market monthly ADT (lit, auction & non-displayed order types) 5.00 4.50 Total (USD$) %loss/gain 2011 2012 4.00 Monthly ADT (Oct 2012) USD$2.06bn 25.01% 3.50 Source: Thomson Reuters, 2012 3.00 2.50
FSC Urges Cut in Lending Rates to Stimulate Business (USD bn) 2.00 The Financial Supervisory Commission (FSC) will coordinate with 1.50 securities firms to cut the lending rates for margin trading and evaluate 1.00 the cut and to help solve the problem of low trading volumes and also to 0.50 lower the costs for investors. A ranking FSC official said that in order to 0.00 expand trading volume one can bolster confidence and lower investment JanFeb Mar Apr May Jun Jul AugSep OctNov Dec costs. In addition, FSC will encourage listed companies to purchase Source: Thomson Reuters, 2012 treasury stocks. Fig 2: Cash Equities Daily Turnover per venue - October 2012
There are only three securities financing firms and the credit is provided 5.00 at much higher rate than what is charged internationally. Despite the 4.50 Taiwan ROC OTC claim of higher funding costs, the FSC hopes these firms can cut their 4.00 lending interest rates. 3.50 3.00 2.50
Companies Rushing to List (USD bn) 2.00 At least 17 companies are rushing to list their shares on the stock 1.50 market before the end of the year. This is ahead of the levy of securities 1.00 transaction gains tax next year. TWSE predicted that the number of new 0.50 share listings on the market will reach 23 this year, including 13 in the 0.00 fourth quarter alone. Another cited reason for the delay of companies 01-Oc t 02-Oc t 03-Oc t 04-Oc t 05-Oc t 08-Oc t 09-Oc t 10-Oc t 11-Oc t 12-Oc t 15-Oc t 16-Oc t 17-Oc t 18-Oc t 19-Oc t 22-Oc t 23-Oc t 24-Oc t 25-Oc t 26-Oc t 29-Oc t 30-Oc t 31-Oc t until the fourth quarter is the lingering European-debt crisis. Source: Thomson Reuters, 2012
Fig 3: Futures FTX TAIEX monthly ADT
New Unified Platform Not a Threat 9.00 TWSE Chairman has said that a unified Southeast Asian trading platform 8.00 2010 2011 2012 will not adversely affect foreign investor’s willingness to invest in the 7.00 local markets. The exchange will instead focus on exploiting opportunities 6.00 created by a new currency clearing mechanism between Taiwan and mainland China. The currency settlement mechanism will allow 5.00 (USD bn) Chinese yuan deposits and loans to be available in Taiwan. Schive’s 4.00 remarks came as ASEAN Exchanges announced that the Thailand Stock 3.00 Exchange (in addition to Bursa Malaysia and Singapore Exchange) had 2.00 become the third member to be connected to the ASEAN Trading Link. 1.00
The ASEAN Trading Link allows connected brokers to execute trades 0.00 directly without having to be licensed in that market. The three markets JanFeb Mar Apr May Jun Jul AugSep OctNov Dec offer investors access to more than 2,200 companies with a market Source: Bloomberg, 2012 capitalization of US$1.4 trillion. Fig 4: Futures Daily Turnover per venue - October 2012
12 Taiwanese Banks Allowed to Buy Shares in China Using QFII 7.00 SGX MSCI Taiwan FTX TAIEX 6.00 An MoU was signed to relax the qualifications of China QFII and Taiwan allowing domestic banks to buy shares in China. New QFII rules apply to 5.00 12 Taiwanese banks that are allowed to invest in securities in China. The 4.00 banks include
(USD bn) 3.00
— Bank of Taiwan 2.00
— Taiwan Cooperative Bank 1.00
— First Commercial Bank 0.00
— Hua Nan Bank 01-Oc t 02-Oc t 03-Oc t 04-Oc t 05-Oc t 08-Oc t 09-Oc t 10-Oc t 11-Oc t 12-Oc t 15-Oc t 16-Oc t 17-Oc t 18-Oc t 19-Oc t 22-Oc t 23-Oc t 24-Oc t 25-Oc t 26-Oc t 29-Oc t 30-Oc t 31-Oc t Source: Bloomberg, 2012 Taiwan Market Structure Monthly Newsletter 8
— Chang Hwa Bank — Cathay United Bank — Chinatrust Commercial Bank — Taipei Fubon Commercial Bank — Mega International Commercial Bank — E. Sun Bank — Taiwan Shin Kong Commercial Bank — Taishin International Bank The qualifications for QFII include having been in banking for over 10 years, Tier 1 capital exceeding US$300 million, and securities assets exceeding US$5 billion.
TWSE Chairman urges lower tax on warrants and ETFs TWSE Chairman said that lowering stock transaction tax on warrants and ETFs from 0.3% to 0.1% would restore trading volumes. Brokerage firms in Taiwan pay 40% of the income from trading warrants as transaction tax. The Chairman explained that warrants accounts for 20-30% of Hong Kong’s volumes and 20% of US trading volumes.
Venue News
NYSE Euronext and TW Futures Exchange sign MoU NYX and Taifex signed a MoU to explore bilateral business opportunities and connect customer bases in Asia, Europe and the US. The agreement will serve as a framework for cooperation to develop innovative products, establish two-way order routing and explore distribution channels for key products. The MOU was signed by executives from both exchanges at a ceremony in Taipei and paves way for joint business initiatives.
China-based Firms Seeking to List on TWSE Airmate, an appliance maker of home appliances (electric fans, heaters, and air cleaners), seeks to issue 12.25 million new shares. Airmate aims to raise about NT$735 million (US$25.08 million) tentatively with the use of proceeds going to working capital and future expansion and repaying bank loans. In 2011, Airmate had a net profit of NT$204 million on sales of NT$10.43 billion. In the first half of this year, Airmate posted a net profit of NT$432M Casetek Holdings Ltd, a contract computer component maker, is planning to issue 35M new shares for its primary listing. Casetek is expected to raise NT$2.21B from the share sale as working capital. Casetek posted a net profit of NT$112m in 2011. In the first 6 months of 2012, the company made NT$807 in net profit.
Sources: http://news.cens.com www.chinapost.com.tw www.4-traders.com http://www.finextra.com http://www.hedgeweek.com http://focustaiwan.tw http://www.taipeitimes.com Contact Email: [email protected] Tel: +852 2203 5710 +44 207 547 5552 +1 212 250 4170 Deutsche Bank Equities Global Market Structure Indian Newsletter Issue 22
Indian Market Structure Update Fig 1: Equities Indian market monthly ADT (lit & auction types) 6.00 2010 2011 2012 Total (USD$) %loss/gain 5.00 Monthly ADT (Oct 2012) USD$2.60bn 5.27% 4.00 Source: Thomson Reuters, 2012 3.00
FIIs embrace Indian markets amid renewed resolve to (USD bn) push reforms 2.00
Buoyed by the newfound resolve of the Indian authorities to push 1.00 market reforms to boost economy and investment climate, the FIIs investments into the local markets have picked up pace since August 0.00 JanFeb Mar Apr May Jun Jul AugSep OctNov Dec when the big ticket reform announcements started. The total net inflows from FII in 2012 have already crossed the US$ 18bn mark Source: Thomson Reuters, 2012 in October. This is the second highest level after the US$ 29.3bn Fig 2: Equities Daily Turnover per venue - October 2012 investments made by them in 2010. 4.50 The revival of FII net inflows has also meant that P-Note investments are 4.00 NSE India BSE India once again seeing a rise as a preferred route for investments into the 3.50 local markets and rose to the highest levels in past 6 months. 3.00 Also, the average monthly stock delivery volumes on the Bombay Stock 2.50
Exchange (BSE) and the National Stock Exchange have risen to 43 per (USD bn) 2.00 cent in September, the highest levels since October 2011. 1.50 1.00 http://www.business-standard.com/india/news/fiis-net-inflows-cross-18-bn/490979/ 0.50 http://www.hindustantimes.com/business-news/WorldEconomy/Economic-reforms- boost-P-Note-investments/Article1-953275.aspx 0.00
http://www.business-standard.com/india/news/delivery-based-volumes-touch-11- 01-Oc t 02-Oc t 03-Oc t 04-Oc t 05-Oc t 08-Oc t 09-Oc t 10-Oc t 11-Oc t 12-Oc t 15-Oc t 16-Oc t 17-Oc t 18-Oc t 19-Oc t 22-Oc t 23-Oc t 24-Oc t 25-Oc t 26-Oc t 29-Oc t 30-Oc t 31-Oc t month-high/489605/ Source: Thomson Reuters, 2012
Fig 3: Futures NSE Nifty monthly ADT
SEBI unveils major IPO reforms and strict criteria for rejection of 3.50 offer documents 2010 2011 2012 3.00 SEBI has amended the regulations governing the issue of capital through IPOs with greater disclosure requirements from the companies looking to 2.50 raise public funds. SEBI has also applied greater scrutiny to the actual use 2.00 of such funds. Following are the major reforms notified by the regulator (USD bn) 1.50 — Inst itutional participation is now mandatory for IPOs and issues failing to get at least 65% subscription from the institutional bucket will either 1.00
have to withdraw the offer or will need to be underwritten by merchant 0.50 bankers 0.00 — T he issue will need to open at least three working days from the date of JanFeb Mar Apr May Jun Jul AugSep OctNov Dec registering the red herring prospectus with the Registrar of Companies Source: Bloomberg, 2012
— T he price band must be announced at least five days before the Fig 4: Futures Daily Turnover per venue - October 2012
opening of the offer period 4.00 — Each retail investor will be eligible for a minimum amount of shares to 3.50 NSE Nifty SGX Nifty
be allotted depending on availability. They can also revise / withdraw 3.00 their bids until finalization of share allocation 2.50
— Companies coming through the ‘profitability route’ must have a 2.00
minimum average pre-tax operating profit of Rs 15 crore in three of the (USD bn) 1.50 preceding five years 1.00 — For companies eyeing the SME platform or compulsory book building 0.50 route, the minimum QIB participation has been raised to 75% 0.00 — A maximum 10% of the stake can be sold to Alternative Investment Funds (AIFs) 01-Oc t 02-Oc t 03-Oc t 04-Oc t 05-Oc t 08-Oc t 09-Oc t 10-Oc t 11-Oc t 12-Oc t 15-Oc t 16-Oc t 17-Oc t 18-Oc t 19-Oc t 22-Oc t 23-Oc t 24-Oc t 25-Oc t 26-Oc t 29-Oc t 30-Oc t 31-Oc t Source: Bloomberg, 2012 Indian Market Structure Monthly Newsletter 10
— Upto 5% discount on the price can be offered during Qualified SEBI wants QFI’s to be exempted from filing IT returns Institutional Placement, subject to shareholder’s approval In a bid to promote the QFI route for foreign individual investors, SEBI — Non-retail investors will not be allowed to modify / withdraw their bids has suggested the Finance Ministry to ease certain requirements for QFI at any point during the offer registration. SEBI after discussions with custodians and market experts has recommended that QFIs should not be required to present their — The companies will not be allowed to deploy more than 25% of funds physical PAN card to the custodian and should also be exempted from raised in the name of “general corporate purposes”. Also, this category Advance Tax and filing of IT returns. cannot include expenses related to the issue itself http://timesofindia.indiatimes.com/business/india-business/Exempt-QFIs-from-filing-I- SEBI also notified the framework for rejection of draft offer documents T-returns-Sebi-to-govt/articleshow/16818456.cms saying it will be rejecting offer documents in cases with inadequate disclosures or high risk perception. Such companies will not be allowed to access the markets for at least one year after rejection. Strict criteria SEBI to draft a new ‘annulment’ policy; Exchanges up the ante to have been notified for scrutinizing the capital structure, objective for fund avoid future ‘flash crashes’ raising, business model and financial performance of applicants. SEBI will In the aftermath of ‘flash crash’ at NSE on 5th Oct caused by an be rejecting the offer documents if erroneous trade entered by one of the brokers, both the regulator as well — There is an unreasonably long gap between raising of funds and their as the exchanges have sprung into action to put checks and balances in proposed utilisation place to avoid a repetition of such events. — The proceeds from the issue are used towards repayment of loan or Although the rogue trades on Oct 5th were not annulled, SEBI has inter-corporate deposits or a major portion is proposed to be utilised announced that it is working on an annulment policy for erroneous trades for the purpose which does not create any tangible asset but it will take some time to finalise the same as the regulator does not want to tinker with the rules in a hurry. “We will work on a policy on — Business model of a company is exaggerated, complex or misleading trade annulment. It will take some time. We want to be very cautious in creating confusion in investor’s minds whatever structures we come out with. We will not be in a hurry.” said — There is a sudden spurt in financial performance ahead of filing the Sebi Chairman UK Sinha. draft offer document On the other hand, both NSE and BSE have tightened up the risk — There are any pending litigation(s) or regulatory actions to the extent management requirements from their brokers and asked them to enforce that the company’s survival is dependent on the outcome of the same trading limits on their terminals to ensure that each order is placed within the prescribed limits. The brokers also need to submit their compliance SEBI amendments to ICDR: http://www.sebi.gov.in/cms/sebi_data/ attachdocs/1350292380663.pdf reports to the exchanges on a quarterly basis which should include the limits prescribed after assessing the risks associated with each user of Framework For Rejection Of Draft Offer Documents: http://www.sebi.gov.in/cms/ the trading terminal and that of the individual branches. sebi_data/attachdocs/1349953955224.pdf http://business-standard.com/india/news/sebi-notifies-ipo-reforms-brings-funds- The exchanges are also learned to have approached SEBI with a request usage-under-scrutiny/191343/on to narrow down the trading limit for all stocks to 8% – 9% to limit the http://www.business-standard.com/india/news/institutional-participation-must-for- impact of any such rogue trades. Also industry experts have urged SEBI ipos-says-sebi/490594/ to apply the price limits on the derivatives segment as well. http://www.business-standard.com/india/news/institutional-participation-must-for- ipos-says-sebi/490594/ The broker responsible for the erroneous trade is learnt to have met its obligations and settled the trades with NSE. Consequently the suspension http://www.livemint.com/Money/R74FckFLf21SjweFfblgQJ/Sebi-issues-rejection- rules-for-offer-documents.html on the broker was lifted by the NSE. http://www.hindustantimes.com/business-news/Markets/SEBI-sets-out-tough-norms- http://articles.economictimes.indiatimes.com/2012-10-12/news/34412829_1_uk-sinha- for-public-offers/Article1-945131.aspx sebi-chairman-annulment http://www.moneylife.in/article/bse-seeks-extra-caution-by-brokers-to-avoid-flash- crash/29476.html Government still for finalise GAAR provisions and Retrospective Tax http://www.business-standard.com/india/news/nse-asks-brokers-to-define-order- amendments limits-experts-demand-more-steps-in-derivatives/192699/on The Shome panel has submitted its final report on the retrospective tax http://articles.economictimes.indiatimes.com/2012-10-10/news/34363358_1_ amendments related to indirect transfer of Indian assets, suggesting erroneous-trades-emkay-global-financial-services-freak-trades that the provisions should only be applied prospectively and invoked retrospectively in rarest of rare cases where no burden should be fixed SEBI to draft uniform guidelines, sign bilateral MoUs to attract on the payer for non-deduction of tax at source. foreign investment The government is studying the final reports and firming up its SEBI has announced that it is in the process of drafting uniform rules for policy which will be implemented. There are reports that all the all the different classes of Foreign Investors including FIIs, NRIs, FVCIs recommendations of the Shome panel might not be accepted especially and QFIs. The move is aimed at simplifying the investment process for related to deferment of GAAR by three years and only prospective foreign entities and strengthen their surveillance. taxation on indirect asset transfers. The government has indicated that it is working on removing the unintended consequences by changing the SEBI will also be signing bilateral MoUs with six countries Argentina, definitions in the IT act and GAAR proposals. Turkey, Kuwait, Qatar, Ireland and Latvia to attract foreign investors from these countries to the Indian markets. SEBI will also request the market http://www.business-standard.com/india/news/finmin-for-partial-okay-to-shome- regulators across these countries to allow Indian market intermediaries panels-retro-tax-suggestions/491357/ operating in their jurisdictions to solicit business from interested qualified http://www.thehindubusinessline.com/industry-and-economy/shome-panel-submits- final-report-on-indirect-transfers/article4051283.ece foreign investors (QFIs) at those places. http://www.indianexpress.com/news/sebi-to-frame-uniform-guidelines-for-all-classes- of-foreign-investors/1013044/ http://www.moneylife.in/article/sebi-to-sign-mous-with-seven-countries-to-attract- foreign-investors/29060.html Indian Market Structure Monthly Newsletter 11
IDR fungibility enhanced http://www.business-standard.com/india/news/nse-chief-to-head-world-bourses- panel/489801/ The ministry of corporate affairs (MCA) has notified amendments to the http://articles.economictimes.indiatimes.com/2012-10-17/news/34525780_1_wfe- IDR rules effective 1st October, which will allow any holder to transfer the member-exchanges-ceo IDRs, ask the domestic depository to redeem them or seek re-issuance of IDRs by conversion of underlying equity shares subject to the provisions of Foreign Exchange Management Act and SEBI rules at the time. Venue Updates http://articles.economictimes.indiatimes.com/2012-10-08/news/34323045_1_indian- depository-receipts-idr-conversion-fungibility MCX-SX will launch its trading infrastructure on 18th Nov, trading to start after 350 members are registered SEBI for special courts, faster probes and strong legislation to curb collection of public funds MCX-SX has announced that it will be launching its trading infrastructure on the 18th of November but will wait to achieve a total of 350 member SEBI has requested the government to set up special courts to handle registrations before going live with trading in Equities, F&O and other the cases of market manipulation, market frauds and financial crimes in segments. The exchange had earlier announced that it has received a a bid to expedite the cases which have been pending for years. SEBI has record 700 applications for its membership even before launching the also set an internal timeline to complete the probes for all market crimes platform. SEBI has already completed its inspection of the exchange and within a maximum timeframe of a year. member’s connectivity will be tested on November 19th. The ministry of Corporate Affairs has also been asked to formalise a “We are in complete state of readiness and shall go live any time after more stringent legislation to curb the practice of raising large sums of November 18, as soon as we reach the critical mass of 350 members,” public funds by companies taking advantage of certain loopholes in the said Joseph Massey, MD & CEO, MCX-SX. regulatory framework and bypassing mandatory approvals from the The exchange is also planning to launch an SME platform in the next year. market watchdog. “Our entrepreneurs are best in class. They require risk capital. If China http://www.moneycontrol.com/news/market-news/sebi-seeks-special-courts-for- can raise $12 billion in fresh capital, I think we have to aspire to raise a speedy-trialsmkt-frauds_772094.html minimum USD10-20 million of fresh capital by SMEs,” Shah said http://www.hindustantimes.com/business-news/WorldEconomy/Sebi-sets-1-yr-target- for-probes-warns-manipulators-of-action/Article1-948006.aspx http://articles.economictimes.indiatimes.com/2012-11-02/news/34876273_1_mcx-sx- today-ceo-joseph-massey-equity-and-other-segments http://www.business-standard.com/india/news/sebi-seeks-law-to-curb-public-money- http://business-standard.com/india/news/mcx-sx-signs700-members-undecidedequity- collection/490623/ launch/192397/on http://www.financialexpress.com/news/jignesh-shah-hints-at-launching-sme-platform- SEBI approves 2 more AIFs on-mcxsx/1012476/ SEBI has given its approval to two more Alternative Investment Funds (AIFs) taking the total registered funds in the country to 9. The two AIFs are NSE announces plans to list next year Real Estate Opportunities Trust and Dicci Trust. As on August 31st 2012, The National Stock Exchange is planning to go public in the next year around 20 applications were pending with SEBI for registration as AIFs. according to a report in the Wall Street Journal. “The exchange is http://www.financialexpress.com/news/sebi-oks-2-alternative-investment- planning to take advantage of the opportunity afforded by the regulator’s funds/1012438/0 move in April to allow domestic exchanges to go public, with the timing of the decision likely to be finalised by early next year,” CEO Ravi Narain Personnel Changes told WSJ. http://www.moneycontrol.com/news/market-news/nse-loggedlargest-equity- tradesworld-during-sept_776385.html BSE appoints Ashishkumar Chauhan as the new MD & CEO http://www.thehindubusinessline.com/markets/stock-markets/nse-logged-in-most- The Bombay Stock Exchange (“BSE”) has announced the appointment of equity-trades-in-world-during-sept/article4054335.ece Mr Ashishkumar Chauhan as its new MD & CEO effective immediately. Mr Chauhan had joined BSE as the deputy CEO in 2009 and has been the NSE became world’s number 1 exchange in terms of number of interim CEO since May when Mr Kannan moved out. trades in September An official statement stated that the chairman and board of directors of According to the latest data compiled by the World Federation of the bourse took the decision based on the recommendation of a selection Exchanges (WFE), the NSE was the world’s largest exchange in committee and help from an executive search firm and that all necessary September in terms of number of trades executed followed by the Korea approvals from market regulator SEBI have already been received. Exchange (KRX) and NYSE Euronext. NSE executed a total of 11.64 crore http://www.thehindu.com/business/markets/ashishkumar-chauhan-appointed-md-ceo- trades during the month. The NSE also maintained its top spot for the of-bse/article4057993.ece ninth month running in the Asia-Pac region. http://www.vccircle.com/news/2012/11/02/ashishkumar-chauhan-named-new-ceo-bse The Indian exchanges NSE, MCX and BSE are also included in the top 20 derivatives exchanges according to a list compiled by the Futures NSE Chief to head up the working committee at WFE Industry Association (FIA) for trading volumes between the period January - June 2012. The NSE is placed 5th while MCX is at 10th and The World Federation of Exchanges (WFE) has announced the induction the BSE at 18th position. of Ravi Narain, MD & CEO of the NSE as the new Chairman of its http://www.moneycontrol.com/news/market-news/nse-loggedlargest-equity- Working Committee at its annual meeting held in Taipei. tradesworld-during-sept_776385.html Mr Andreas Preuss, Deutsche Börse AG’s deputy CEO was also selected http://www.thehindubusinessline.com/markets/stock-markets/nse-logged-in-most- as the WFE chairman succeeding Mr Ron Arculli while Thomas A Kloet, equity-trades-in-world-during-sept/article4054335.ece chief executive of TMX Group, was announced the vice-chairman of http://www.thehindubusinessline.com/markets/stock-markets/indias-nse-mcx-bse- WFE’s working committee. among-top-20-global-derivative-bourses/article4022734.ece Indian Market Structure Monthly Newsletter 12
NSE to hold special trading sessions on 11th and 13th Nov BSE, NSE publish the list of illiquid stocks, advice caution The NSE will be holding a special trading session for Gold ETFs in the As per the SEBI directive to safeguard the interest of investors, both BSE equity segment on Nov 11 from 11AM to 3:30PM to cash in on the and NSE have published lists of illiquid stocks on their websites and festival season and the occasion of ‘Dhanteras’ which is considered advised caution to investors looking to trade in those scrips. auspicious to buy gold. http://articles.economictimes.indiatimes.com/2012-10-08/news/34322713_1_illiquid- NSE has also announced its schedule for the special ‘Mahurat Trading’ stocks-illiquid-securities-jaybharat-textiles session on Diwali, 13th November. The trading will open at 3:45PM for 45 http://www.bseindia.com/markets/MarketInfo/DispNoticesNCirculars. minutes and close at 4:30PM aspx?page=20121004-9 http://articles.economictimes.indiatimes.com/2012-11-02/news/34876231_1_gold- exchange-etfs-nse-platform http://articles.economictimes.indiatimes.com/2012-10-30/news/34817277_1_muhurat- nse-diwali
BSE incorporates an advisory panel consisting of trading members Pursuant to the SEBI directive for stock exchanges to create a committee of trading members for their expert advice, the BSE has created a 16 member panel consisting of trading members to advise the governing board of the exchange on matters such as product design, technology, charges and levies etc. This panel will be headed by the current non- executive chairman S Ramadorai. http://www.business-standard.com/india/news/bse-setsadvisory-paneltrading- members-/192093/on
Nifty futures trading on SGX overtakes that on NSE The FII exposure to Nifty futures on SGX has overtaken that on the NSE and hit a record high in the last month. The average daily value of FII’s Open Interest on SGX was recorded at Rs 21.7K crore as against Rs 14.6K crore on the NSE. The uncertainty created by the GAAR proposals is believed to be the reason behind the rising trend of volumes shifting from NSE to SGX. http://articles.economictimes.indiatimes.com/2012-11-05/news/34925493_1_nifty- futures-nse-futures-open-interest
IIM-A study reveals that call auctions at NSE do not have any positive impact The Indian Institute of Management - Ahemdabad working paper on Impact of the Introduction of Call Auction on price discovery: Evidence from the Indian Stock Market Using High-Frequency Data researched and created by faculty members Sobhesh Kumar Agarwalla, Joshy Jacob and Ajay Pandey has concluded that the call auctions do not have any positive impact on the overall market. The study has found that the call auctions attract insignificant volume and that the intraday volume and volatility dynamics remain unaffected except for, the delay induced by call auctions. There is also a tendency for price reversal in the continuous normal market from the price discovered in the call auction. The study also says that introduction of call auction for opening the market has merely shifted the intraday volatility and volume pattern without changing the time taken by the Indian market to settle down from the higher volume and volatility experienced in the opening hours. “There are low volumes at the call auction at the opening of daily trades. This makes institutions wary of disclosing their trade information. Also, due to low volumes at the call auction, trade will not get completed and there are fears of information getting revealed to the rest of the market,” said Ajay Pandey, co-author of the working paper http://business-standard.com/india/news/call-auctions-have-no-positive-impact-iim-a- study/191663/on http://timesofindia.indiatimes.com/business/india-business/NSE-call-auctions-do-not- Contact have-a-positive-impact-says-study/articleshow/16890787.cms Email: [email protected] Tel: +852 2203 5710 +44 207 547 5552 +1 212 250 4170 Deutsche Bank Equities Global Market Structure Japanese Newsletter Issue 22
Japanese Market Structure Update Fig 1: Equities Japanese market monthly ADT (lit & auction types) 30.00 2010 2011 2012 Total (USD$) %loss/gain 25.00 Monthly ADT (Oct 2012) USD$16.88bn 3.27% 20.00 Source: Thomson Reuters, 2012 15.00 Japan Securities Clearing Corporation launches first Asia- (USD bn) Pacific CCP 10.00
The Japan Securities Clearing Corporation has launched the first over- 5.00 the-counter (OTC) derivatives clearinghouse in the Asia Pacific region. 0.00 The central clearing service has been introduced for yen-denominated JanFeb Mar Apr May Jun Jul AugSep OctNov Dec interest rate (IRS) derivatives which represent a significant portion of the Source: Thomson Reuters, 2012 OTC derivatives market. The yen-denominated IRS rank as the third-largest contract type behind euro- and dollar-denominated IRS. The company Fig 2: Equities Daily Turnover per venue - October 2012 intends to expand its services to other products in the near future. 25.00 Major traders from both Japan and overseas are already using the clearing services provided by JSCC making it the largest CCP in the 20.00 region in terms of number of members. However it is reported that the Tokyo Stock Exchange and Osaka Securities Exchange also plan 15.00 to merge their derivatives settlement businesses by next year creating (USD bn) competition for JSCC. 10.00 Chi-X Japan Kabu Sapporo Fukuoka Nagoya SBI Japannext 5.00 FSA extends temporary measures regarding restrictions on short Instinet Japan Osaka Tokyo selling and purchase of own stocks by listed companies 0.00
The FSA has decided to further extend all the temporary measures in 01-Oc t 02-Oc t 03-Oc t 04-Oc t 05-Oc t 08-Oc t 09-Oc t 10-Oc t 11-Oc t 12-Oc t 15-Oc t 16-Oc t 17-Oc t 18-Oc t 19-Oc t 22-Oc t 23-Oc t 24-Oc t 25-Oc t 26-Oc t 29-Oc t 30-Oc t 31-Oc t force currently regarding restrictions on short selling and purchase Source: Thomson Reuters, 2012 of own stocks by listed companies until April 30, 2013. To this end, Fig 3: Futures OSE NIKKE monthly ADT the Cabinet Office Ordinances and FSA Regulatory Notices necessary 14.00 for these extensions have been promulgated before expiry of these 2010 2011 2012 measures by the end of October, 2012. 12.00
Additionally, the FSA has announced that it will be considering a more 10.00 perpetual system pertaining to short selling, taking into account trends 8.00 of restrictions in the United States and Europe, etc. (USD bn) 6.00 Venue Updates 4.00 2.00
0.00 TSE-OSE merger update JanFeb Mar Apr May Jun Jul AugSep OctNov Dec A business plan and management structure for the Japan Exchange Source: Bloomberg, 2012 Group (JEG) created as the holding company into which TSE and the Fig 4: Futures Daily Turnover per venue - October 2012
OSE will merge on 1st Jan 2013 has been decided at board meetings 9.00 of the two companies. Both exchanges will hold extraordinary 8.00 OSE NIKKEI SGX NIKKEI shareholder meetings on Nov 20th to seek approval of the merger 7.00 agreement from shareholders. 6.00
The board has planned to merge the Cash Equities businesses under the 5.00 TSE group in July 2013 and the companies listed on the OSE’s First and
(USD bn) 4.00 Second sections will be moved to the TSE’s First and Second sections, 3.00 while the derivatives businesses are slated to be combined under the 2.00 OSE umbrella between Jan and Mar 2014 with OSE changing its name to just Osaka Exchange. Emerging markets such as TSE’s Mothers and 1.00 OSE’s Jasdaq will continue separately. 0.00 01-Oc t 02-Oc t 03-Oc t 04-Oc t 05-Oc t 08-Oc t 09-Oc t 10-Oc t 11-Oc t 12-Oc t 15-Oc t 16-Oc t 17-Oc t 18-Oc t 19-Oc t 22-Oc t 23-Oc t 24-Oc t 25-Oc t 26-Oc t 29-Oc t 30-Oc t 31-Oc t
Source: Bloomberg, 2012 Japanese Market Structure Monthly Newsletter 14
The new management structure has also been announced where TSE trading overview — Hiroyuki Iwakuma, TSE’s senior executive vice president, will be The monthly statistics for the TSE are as detailed in this table. appointed as the new TSE President Equity Market (Including ToSTNeT) — Motoharu Fujikura, OSE deputy president and a former Ministry of (Volume: mil. Shares/mil. units, Value: 100mil yen) Finance official, will be appointed as the new OSE head Trading Trading Volumes Value Change Change Daily — Current TSE President Atsushi Saito will become the chief executive from last from month average officer of Japan Exchange Group month last year
— OSE President Michio Yoneda will become the chief operating officer of 1st Section 41,529 256,189 + 40,207 + 23,838 11,644 Japan Exchange Group 2nd Section 434 524 + 127 + 91 23
TSE to create a special category for companies providing greater Mothers 289 3,814 + 1,755 + 1,266 173 opportunities to women ETF 111.9 1,479 + 252 - 832 67 In a bid to attract wider range of investors to the equities markets amid slowing trading, the Tokyo Stock Exchange is planning to apply a special REIT 1.6 4,104 + 1,599 + 2,194 186 tag “Nadeshiko stocks” (which means pink flower, and is a Japanese (Including foreign stocks) byword for women) to the 15 best-performing listed companies that have provided more opportunities to women in terms of promotions, child-care measures and other specific criteria. Derivative Market (Including ToSTNeT) (Volume/Open Interest: Units) TSE will initially select 100 companies from its 2200 listed companies Trading Open based on proportion of women in managerial posts, corporate systems Volumes Interest Change Change Daily to help workers raise their children and other measures related to their at end from last from month average of month female employees. Finally the 15 best companies will be selected amongst month last year the selected 100 based on their return on equity and other figures from Index their earnings reports. TSE may also create a separate index to track 1,057,381 - 1,271,725 + 239,806 48,063 573,624 Futures performance of such companies. (TOPIX 843,051 - 1,158,011 + 50,292 38,321 405,255 Futures) Japan exempts Proprietary Trading Systems (PTS) from the Take- JGB-Futures 630,134 - 159,343 + 148,614 28,642 82,369 Over-Bid (TOB) rules (10-year JGB 629,514 - 158,963 + 147,994 28,614 81,731 Futures) Japan’s financial regulator the FSA has announced that effective 31st Index October, the Proprietary Trading Systems will be exempt from the Take- 596 -555 + 328 27 1,716 Options Over-Bid (TOB) rule of the Financial Instruments and Exchange Act which Options on requires investors who approach a five percent stake in a company’s 155,798 + 37,360 - 37,513 7,082 18,811 JGB-Futures outstanding shares to launch a tender offer if they are trading at an off Individual exchange venue. SBI Japannext and Chi-X Japan Ltd are the only two PTS 45,228 +23,738 + 19,120 2,056 73,503 Options venues operational in Japan. The FSA is said to have relaxed the rule to encourage competition in the wake of the merger of Japan’s two largest exchanges TSE and OSE which were already exempted from this rule. ETF Market (Including ToSTNeT) (Volume: thou. units, Value: mil. yen ‘‘We expect to see results into the first and second quarter of next year. The buyside community understands the benefit of competition and that there Trading Trading is price improvement on PTSs and they want to take advantage of these Volumes Value Change Daily average trading opportunities.’’ - Yasuo Hamakake, CEO of Chi-X Japan said. from last Domestic 98,862 130,838 + 25,844 5,947 Stocks TSE imposes a record $2.5mn fine on Nomura TOPIX 79,059 59,026 + 8,052 2,683 The Tokyo Stock Exchange (TSE) has levied a record 200 million yen Nikkei 225 6,368 57,262 + 18,024 2,603 ($2.5mn) penalty on the Nomura Japan after it was found guilty of the insider trading charges due to which the chief executive Kenichi Watanabe Other 13,436 14,551 - 232 661 and chief operating officer Takumi Shibata had to resign earlier this year. REIT 2,791 3,002 + 1,261 136 The bourse has also ordered a “business improvement report” asking for details pertaining to the measures that have been taken to prevent a Foreign Stocks 5,149 3,885 + 906 177 repetition. Foreign Bonds 8 293 + 86 13
Commodities 5,117 9,933 - 2,892 452
Total 111,927 147,951 +25,205 6,725
http://www.tse.or.jp/english/news/30/b7gje60000015trg-att/20121101EN.pdf
Sources www.fsa.go.jp http://www.yomiuri.co.jp www.tse.or.jp http://www.foxbusiness.com www.en.japannext.co.jp http://www.4-traders.com www.fincad.com Deutsche Bank Equities Global Market Structure South Korea Newsletter Issue 22
South Korean Market Structure Update Fig 1: Equities Chinese market monthly ADT (lit, auction & non-displayed order types) 12.00
Total (USD$) %loss/gain 10.00 2011 2012 Monthly ADT (Oct 2012) USD$7.45bn 13.64% 8.00 Source: Thomson Reuters, 2012 6.00
Korean Regulator might limit stock short sales (USD bn) With rising short positions in the market, South Korean regulators are 4.00 discussing plans to put a limit on short sale of individual stocks. Short 2.00 sale balance on Korean names rose to 5.6 trillion won ($5.1 billion) since markets started the downward trend in Sept this year. The increase in 0.00 short sale has been primarily led by foreign investors targeting exporters JanFeb Mar Apr May Jun Jul AugSep OctNov Dec and companies with deteriorating earnings. Source: Thomson Reuters, 2012 Fig 2: Equities Daily Turnover per venue - October 2012
Tightened stock movement monitoring ahead of elections in Korea 6.00 Korea KOSDAQ Ahead of presidential elections scheduled later this year, South Korea’s 5.00 financial regulator FSC will tighten the monitoring on thematic stocks as the political theme-based stocks might show an irrational movement 4.00 during this period. Thematic sticks tend to be of primary concern 3.00
to regulators as they rapidly move up or down based on rumors (USD bn) and expectations. 2.00
Along with price movements, FSC will also look at stocks with irregular 1.00 price movement, volatility and volumes to indentify the overpriced ones. FSC is setting the numerical benchmark ranges such as over 30% higher 0.00
price than 40-day moving average, daily volatility of over 50% and ratio 01-Oc t 02-Oc t 03-Oc t 04-Oc t 05-Oc t 08-Oc t 09-Oc t 10-Oc t 11-Oc t 12-Oc t 15-Oc t 16-Oc t 17-Oc t 18-Oc t 19-Oc t 22-Oc t 23-Oc t 24-Oc t 25-Oc t 26-Oc t 29-Oc t 30-Oc t 31-Oc t of trading volume to market cap staying above 500 percent to categorise Source: Thomson Reuters, 2012 the stocks as overpriced. Fig 3: Futures KFE KOSPI monthly ADT
60.00 Venue News 2010 2011 2012 50.00
40.00 Newer Faster Expanded connectivity in Korea 30.00 Koscom, technology arm of the Korean Stock Exchange (“KRX”), (USD bn) struck a deal with communications and turrets provider IPC whereby, 20.00 Koscom will use its Connexus extranet and Direct Connect data service to upgrade their operations in Busan. Following this deal, Koscom can 10.00 now make use of IPC’s newly laid cable path from Tokyo, which allows electronic trading clients to route via the KRX’s Busan derivatives engine 0.00 JanFeb Mar Apr May Jun Jul AugSep OctNov Dec without going through Seoul, providing lower latency. Source: Bloomberg, 2012
Top 10 Korean companies account for 54% of Capital Stock Total market cap weighted share of top 10 listed firms on Korea Exchange (KRX) together adds up to 54%, 649.32 trillion won (US584.7 billion). The gain leader was Samsung Group with a 17.48% increase in market cap that can be attributed to the growing android market. Next in lead is Hyundai Motor Group, the world’s fifth-largest automotive firm, posted a market cap of 140.3 trillion won, up 5.95% from same time last year. Contact Sources Email: [email protected] www.krx.co.kr http://www.globaltimes.cn Tel: +852 2203 5710 www.fsc.go.kr http://www.waterstechnology.com +44 207 547 5552 +1 212 250 4170 http://www.menafn.com http://www.reuters.com Source: Thomson Reuters, 2012 Deutsche Bank Equities Global Market Structure Australian Newsletter Issue 22
Australian Market Structure Update Fig 1: Equities Australian market monthly ADT (lit, auction & non-displayed order types) 6.00 Monthly ADT (Oct 2012) Total (AUD$) %loss/gain 2010 2011 2012 Total market ADT AUD$3.35bn 19.10% 5.00 Lit ADT AUD$3.06bn 20.30% 4.00
Dark ADT AUD$0.16bn 0.29% 3.00 (USD bn) OTC ADT AUD$0.12bn 7.77% 2.00 Source: Thomson Reuters, 2012 ASIC to come out with rules for Automated Trading 1.00
0.00 ASIC is reported to have finalised the proposed rules for automated JanFeb Mar Apr May Jun Jul AugSep OctNov Dec trading which intend to insulate the Australian markets from “flash Source: Thomson Reuters, 2012 crash” like situations by introducing “kill switches” at the broker end to protect against sudden and untoward market movements caused Fig 2: Equities Daily Turnover per venue - Oct 2012 by automated trading by turning off the corresponding programs. The 80.00 rules are also set to introduce certification and direct oversight of trading Oct 25: All Individual Equity Normal 70.00 Derivatives Expiration system filters and controls. CentrePoint 60.00 Crossing Automated trading especially High Frequency Trading has been getting 50.00 ETF Special Trades Oct 18: All Equity Index a lot of flak recently as it is believed to provide undue advantage to Options 40.00 Derivatives Expiration the traders owing to the speed at which the orders are sent to and (USD bn) Other 30.00 executed at the exchanges. Local and US fund managers, alongside Special Crossing 20.00 industry super fund representatives, who collectively oversee more Auction-Close than $1 trillion, have called on the Australian Securities & Investments 10.00 Auction-Open Commission to level the playing field for investors by limiting the Unknown 0.00 advantages from lightning fast trading. 01-Oct 02-Oct 03-Oct 04-Oct 05-Oct 08-Oct 09-Oct 10-Oct 11-Oct 12-Oct 13-Oct 16-Oct 17-Oct 18-Oct 19-Oct 20-Oct 23-Oct 24-Oct 25-Oct 26-Oct 29-Oct 30-Oct 31-Oct A number of solutions are being proposed to curb HFT that include Source: Thomson Reuters, 2012 minimum time gap between consecutive orders, charging HFTs for each order and execution and slowing down the orders at exchange end. Fig 3: Equities Daily % Order Type - Oct 2012 % Lit % Dark % Real-Time Off-Exchange 120.00 ASIC is expected to publish its proposed rules shortly. OTC 100.00
ASIC investigates into Oct 18th opening spike in ASX 80.00
On the morning of 18th October, many stocks including Australia and 60.00
New Zealand Banking Group (ANZ), gaming group Aristocrat Leisure, % AGL Energy and pallets distributor Brambles jumped as much as 7 40.00 percent just as the market opened at 10 a.m. local time. ASIC had 20.00 launched an informal investigation into the same and has found out that the disruption was probably caused because an order worth $ 200mn 0.00 3-Oc t 1-Oc t 2-Oc t 4-Oc t 5-Oc t 6-Oc t 7-Oc t 8-Oc t 9-Oc t 13-Oct 23-Oct 31-Oct 30-Oct 10-Oc t 11-Oc t 12-Oc t 14-Oc t 15-Oc t 16-Oc t 17-Oc t 18-Oc t 19-Oc t 20-Oc t 21-Oc t 22-Oc t 24-Oc t 25-Oc t placed by UBS was modified to $ 50mn just seconds before trading 26-Oc t 27-Oc t 28-Oc t 29-Oc t began. However ASIC has ruled out the hand of HFT in this incident. Source: Thomson Reuters, 2012 “The market experienced some dislocation for slightly less than a minute. We are looking to see whether a party or parties might have Fig 4: Equities Spreads (bps) - Oct 2012 profited as a consequence of the trading, so we are looking at whether 43 there was deliberate actions that caused the events and whether there 38 was some illegal action in that context.” - ASIC deputy chair Belinda S&P ASX 33 Gibson said. All Ords (AUD) 28 S&P ASX300 23 (AUD) Spreads (bps) 18 S&P ASX20 13 (AUD) 8
3 01-Oc t 02-Oc t 03-Oc t 04-Oc t 05-Oc t 08-Oc t 09-Oc t 10-Oc t 11-Oc t 12-Oc t 15-Oc t 16-Oc t 17-Oc t 18-Oc t 19-Oc t 22-Oc t 23-Oc t 24-Oc t 25-Oc t 26-Oc t 29-Oc t 30-Oc t 31-Oc t
Source: Thomson Reuters, 2012 Australian Market Structure Monthly Newsletter 17
Venue News Fig 5: Equities Volatility - October 2012 12.00 ASX issues draft rules on continuous disclosures 10.00 THE Australian Securities Exchange has released draft revisions to its 8.00 continuous disclosure rules. The Australian Securities and Investments % 6.00 S&P ASX Commission had welcomed the draft revisions, saying it had worked All Ords (AUD) 4.00 S&P ASX300 closely with the ASX to develop them. (AUD)
2.00 S&P ASX20 “ASIC views continuous disclosure by listed entities as the foundation (AUD) of market integrity and a central tenet of fair and efficient financial 0.00 markets. We recognise that listed entities need clear guidance about their continuous disclosure obligations, particularly in the age of instant 01-Oc t 02-Oc t 03-Oc t 04-Oc t 05-Oc t 08-Oc t 09-Oc t 10-Oc t 11-Oc t 12-Oc t 15-Oc t 16-Oc t 17-Oc t 18-Oc t 19-Oc t 22-Oc t 23-Oc t 24-Oc t 25-Oc t 26-Oc t 29-Oc t 30-Oc t 31-Oc t communication and social media. Source: Thomson Reuters, 2012
The major amendments especially to to the drafting of Listing Rule 3.1 Fig 6: Futures SFE-ASX SPI 200 monthly ADT are 8.00 — Material information - no “bright line” test, but ASX now looks to 2010 2011 2012 7.00 movements in share price rather than earnings by assessing whether information is likely to be material to the entity’s share price, and 6.00 therefore within the scope of Listing Rule 3.1 5.00
4.00 — Immediately - ASX recognises commercial reality, and “immediate” (USD bn)
now means “promptly and without delay” 3.00
— Incomplete - negotiations are incomplete until the entity is legally 2.00
committed, but you can’t artificially delay signing to delay disclosure 1.00
— Confidentiality - if your share price moves, or trading volumes increase, 0.00 confidentiality has been lost. ASX confirms its position that it will JanFeb Mar Apr May Jun Jul AugSep Oct NovDec regard specific media or analyst comment or other market rumors Source: Bloomberg, 2012 about particular information or a significant movement in an entity’s market price or trading volume as evidence that confidentiality has been lost in respect of that information — Reasonable person - ASX is de-emphasising the importance of this limb of the exception - a reasonable person would not expect a matter to be disclosed just because it is material — Earnings guidance - focus is on the effect of variations on share price rather than a bright line test based on the magnitude of the variation. ASX has moved away from its current guidance that a variation of 10- 15% from earnings guidance, analysts’ consensus or the results for the prior corresponding period requires disclosure — Mandatory disclosure of specific information, including beneficial
ownership reports - ASX has amended Listing Rule 3 to require Source: Thomson Reuters, 2012 mandatory disclosure of some specific information, which may not otherwise be considered material for the purposes of Listing Rule 3.1, such as the beneficial ownership reports that many entities routinely compile based on responses to beneficial interest tracing notices The draft will be open for public consultation until 30th Nov. The ASX hopes to have it formally issued by early next year. The consultation paper can be accessed here http://www.asxgroup.com.au/media/CD_Listing_Rule_Amendments.pdf http://www.asxgroup.com.au/media/GN_8_Consultation_Paper.pdf http://www.asxgroup.com.au/public-consultations.htm
Source: Source: Thomson Reuters, 2012 www.asic.gov.au www.afr.com www.smh.com.au www.itg.com Contact www.treasury.gov.au Email: [email protected] www.4-traders.com Tel: +852 2203 5710 http://www.theaustralian.com.au +44 207 547 5552 +1 212 250 4170 Deutsche Bank Equities Global Market Structure ASEAN Newsletter Issue 22
ASEAN Market Structure Update Fig 1: Equities Singapore market monthly ADT (lit, auction & non-displayed order types) 1.60
Total (USD$) %loss/gain 1.40 2010 2011 2012 Monthly ADT (Oct 2012) USD$0.74bn 11.81% 1.20 Source: Thomson Reuters, 2012 1.00 Singapore brings in new regulations on disclosure of interests; 0.80 (USD bn) completes Companies Act review 0.60 The Monetary Authority of Singapore (MAS) has introduced new rules 0.40 to enhance disclosure requirements for listed companies which will 0.20 come into effect from 19th November. Under the new regime, the 0.00 reporting obligations pertaining to interests and changes in interest in JanFeb Mar Apr May Jun Jul AugSep Oct NovDec securities of listed companies have been extended to non-director chief Source: Thomson Reuters, 2012 executive officers (CEOs) and to interests in foreign companies with a Fig 2: Equities Daily % order type - October 2012 primary listing on the Singapore Exchange (SGX). 120 Currently, under the Securities and Futures Act (SFA), only the directors % Lit % Real-time on-exchange and substantial shareholders of listed companies are required to 100 report to SGX on their interests and changes in interest in Singapore incorporated listed securities. 80 The penalty for intentional or reckless breaches of the rules have also 60 (USD bn) been made more stringent with a fine of up to $250,000 which may 40 be accompanied by a prison term of up to 2 years. Additional civil penalties may also be imposed. 20
“Timely disclosure of interests is necessary for the proper functioning 0 of a fair, efficient and transparent securities market.” – MAS said 01-Oc t 02-Oc t 03-Oc t 04-Oc t 05-Oc t 08-Oc t 09-Oc t 10-Oc t 11-Oc t 12-Oc t 15-Oc t 16-Oc t 17-Oc t 18-Oc t 19-Oc t 22-Oc t 23-Oc t 24-Oc t 25-Oc t 26-Oc t 29-Oc t 30-Oc t 31-Oc t The Ministry of Finance has also said that it has completed the 4 Source: Thomson Reuters, 2012 year long exercise of reviewing the Companies Act which aims to Fig 3: Futures SGX MSCI Singapore monthly ADT maintain Singapore’s competitiveness as an international hub for both businesses and investors, reduce the regulatory burden for companies 1.20 and improve the city’s corporate governance landscape. A consultation 2010 2011 2012 paper seeking public feedback on a steering committee (SC) report 1.00 which had suggested a total of 217 changes to this effect was released 0.80 in Oct 2011. Following the public consultation, the MOF has accepted 0.60 192 and modified 17 recommendations of the SC while 8 others have (USD bn) been rejected. The changes are expected to be notified next year after the bill is presented and passed in the parliament. 0.40
0.20 Singapore consults on enhancement of transparency of clearing 0 and settlement processes JanFeb Mar Apr May Jun Jul AugSep Oct NovDec The SGX has released a public consultation to enhance the transparency Source: Bloomberg, 2012 of clearing and settlement processes. The following amendments have been proposed — Pr oposal to amend CDP Clearing Rules to shorten the period for buying- — SGX intends to incorporate already existing arrangements between The in of securities from 3 market days to 2 market days to reduce the period Central Depository (CDP) and Singapore Exchange Derivatives Clearing when a short position remains outstanding (SGX-DC) for the holding of Clearing Members’ collateral and Clearing — Amendments to SGX-DC Clearing Rules and Futures Trading Rules of Fund contributions into the rules, which would boost clarity and provide Singapore Exchange Derivatives Trading (SGX-DT) are proposed to clarify ease of reference for Clearing Members and their customers. the point at which trades are novated to SGX-DC for clearing, and the — Ne w CDP Clearing Rules are proposed which will formalise certain process of novation enhancing the legal certainty for SGX-DC participants processes and measures that may be taken in the management of a The discussion paper can be accessed here: Clearing Member’s default. http://www.sgx.com/wps/wcm/connect/839cc8004d34f1ed99d1bfccdc24f6ea/Enhan — Clarificat ions are proposed on the events for which CDP may declare a ce+Transparency+of+CDP+Processes+25+Oct+2012.pdf?MOD=AJPERES default of a Clearing Member along with the processes for customers
of the defaulting Member to settle their trades directly with CDP Source: Thomson Reuters, 2012 ASEAN Market Structure Monthly Newsletter 19
MAS approves banking licenses for BoC and ICBC on 1st November as it demonstrated “the strongest achievements and developments, across all asset classes and regional bank categories, with Two major Chinese banks, Bank of China Ltd and the Industrial & a forward-looking approach to clearing and firm commitment on risk Commercial Bank of China Ltd were granted full banking licenses by management”. MAS on 5th October. The MAS is also working towards allowing one of them to clear yuan trades enabling Singapore to compete with Hong SGX has also been awarded the “Asian Derivatives Exchange of the Kong as a center for yuan-denominated financial products. Year”, “Asian Clearing House of the Year” and “Professional Traders’ Asian Derivatives Exchange of the Year” recognitions earlier this year by “Implementation details on the RMB [yuan] clearing bank will be worked Futures & Options World 2012. out by the relevant agencies in Singapore and China in due course,” said a MAS representative. Trading infrastructure provider MarketPrizm has also joined SGX’s co- location facility and setup its low-latency infrastructure. This will enable MarketPrizm to provide ultra-high-speed data and managed trading Singapore signs Avoidance of Double Taxation (DTA) agreements solutions to its clients and improve connectivity performance and reduce with a host of countries trade execution speed. Within the past one month, Singapore has signed Avoidance of Double Taxation (DTA) agreements or added additional protocols to existing SGX’s MSCI Indonesia futures approved by US CFTC agreements with a number of countries including Poland, Italy, Bermuda, Jersey, Isle of Man, Vietnam and Bahrain. Singapore also agreed with The Singapore Exchange (SGX) has received the US CFTC’s (Commodity Germany to enter into a similar agreement. Futures Trading Commission) approval to market its MSCI Indonesia futures contracts to US clients enabling them to directly trade the SGX- Singapore has been working hard to change its image as a Tax Haven listed contracts from within US. The MSCI Indonesia futures contract is and wants to project itself as a clean and investor friendly state. based on the MSCI Indonesia equity index and is first offshore futures contract providing international investors easy and efficient access to the Bank Negara Malaysia (BNM) and Securities Commission Malaysia Indonesian market. (SC) Sign MOU In a bid to adapt to the changing financial landscape and the new SGX ties up with FIA Tech to automate fee processing international regulatory regime, Bank Negara Malaysia and the Securities in derivatives clearing Commission Malaysia (SC) have signed a new Memorandum of SGX has tied up with FIA Technology Services Inc, a wholly owned Understanding (MOU) to further strengthen the MOUs signed between subsidiary of the Futures Industry Association (FIA), to implement the two earlier. Below are the highlights of the new agreement the Electronic Give-Up Automated Invoicing System (eGAINS) for its — Focus on common areas of interest important to promote the financial derivatives clearing members which would bring in greater efficiency and sector and capital market stability cost-savings at their back office operations. — Reinforces the intention to collaborate, cooperate and share eGAINS enables system-wide efficiency in the billing and payment information to enable both regulatory agencies to effectively carry out process related to give-up transactions, and therefore allows automated their respective mandates electronic handling and reconciliation among SGX clearing members on a daily basis, reducing the mammoth effort required in the current — Formulates legislation/policies with regard to supervision of the manual process. This will increase operational productivity and reduce payment system, mutual recognition of financial planners/advisers and discrepancies resulting from manual processing thereby facilitating better the conduct of investigation/enforcement actions cash flow management and reduction in financial risk.
Securities Commission Malaysia (SC) adds two more types of Philippines, Indonesian, Malaysian and Thai Indices, BMD reach all Registered Persons time high The Securities Commission Malaysia (SC) has issued Guidelines for The Philippine Stock Exchange Index (PSEi) closed at its all time high level Registered Persons which adds two new classes of registered persons – of 5443.7 on the 3rd of October on the back of strong buying interest and — Trading Representative: persons who will be able to take orders and optimism about domestic growth. execute trades The Stock Exchange of Thailand index also reached its all time high levels — Introducing Representative: persons who can market and refer on 5th October (highest in 16 years) when it reached 1311.5 points. prospective clients to the stock broking companies The Indonesian Index JCI reached its all time high of 4364.6 points on The introduction of these new categories is aimed at widening the October 30th. opportunities for fresh talent to join the stock broking industry while While Bursa Malaysia breached its earlier all time high on 20th October ensuring sustainable growth of the industry. Detailed criteria have been by reaching the 1670.1 points mark, Bursa Malaysia Derivatives also issued with respect to the eligibility conditions, competency requirements reached a historical milestone by trading highest number of contracts and expected conduct of these professionals. Interested applicants (78,401) on 1st November reflecting the increasing importance of the are also required to successfully complete a two-day familiarisation local options exchange to global traders and investors. programme before submitting their application to the SC. Certain individual stocks in Malaysia and Indonesia also touched their all time high levels as the investment sentiment in the whole of ASEAN Venue News block remained positive. ASEAN Trading Link adds Stock Exchange of Thailand; launches an SGX wins “Exchange of the Year” award; adds MarketPrizm enhanced website to CoLo On 15th October, the Stock Exchange of Thailand (SET) became the The Singapore Exchange (SGX) was recognised as the “Exchange of third regional bourse to join the ASEAN trading link which was launched the Year 2012” at the Asia Risk Awards ceremony held in Hong Kong last month when SGX and Bursa Malaysia joined hands to facilitate ASEAN Market Structure Monthly Newsletter 20
seamless cross-border trading. Nine local brokers have already joined the The move is aimed to boost the falling daily trading volumes on the bandwagon and started offering cross border trading via the trading link. bourse. The plan has got the regulatory approval from Bappepam-LK. SET expects another six brokers to enroll by Jan 2013. With the addition of Thailand, the trading link now offers investors with access to over 2,200 listed companies with market value of $1.4 trillion, nearly 70% of New listings on Bursa Malaysia and Philippines Stock Exchange market capitalisation of companies listed in the 10-member Association create history of Southeast Asian Nations. Bursa Malaysia has surpassed its previous high in terms of total funds “Connecting to ASEAN Trading Link is the starting point of making raised through IPOs this year as it has so far helped companies raise US$ trading in the region faster and more convenient. For the first time ever, 7.3bn (RM 22.3bn) from the local markets. This accounts for 25% of the with Bursa Malaysia, Singapore Exchange and now SET connected, total funds raised in the whole of Asia-Pacific. The bourse is ranked 4th investors will have a single entry-point access to three of the largest globally behind Nasdaq, the New York Stock Exchange and Tokyo Stock equity markets in ASEAN.” SET president Charamporn Jotikasthira said. Exchange’s First Section. The Thai central bank has also announced that it will ease the rules Philippines Stock exchange has also succeeded in raising a record governing capital outflows from the country to encourage overseas P 174.97bn from the local capital markets with three IPOs and six investments by local investors. The central bank plans to ease regulations secondary listings so far this year crossing its previous best achieved in five areas in 2011. — Lifting of direct overseas investment limits for Thai individual investors currently US$100m per year Bursa launches Shariah-compliant small cap index; implements final phase of CDS STP — Allowing unlimited portfolio investment by Thai funds (current restriction of $50m per year) THE FTSE Bursa Malaysia Small Cap Shariah Index was launched on 8th October by the FTSE Group and Bursa Malaysia. It is designed — Allowing listed companies to freely invest in overseas securities with to provide investors with a precise benchmark for Shariah compliant no limit investment in Malaysian small cap companies and will complement the — Easing restrictions on foreign currency deposit holdings by Thai existing FTSE Bursa Malaysia Shariah indices. This new index forms individuals and companies a part of the FTSE Bursa Malaysia EMAS Shariah universe and will be calculated on an end-of-day basis. Subscribers to the FTSE Bursa — Easing regulations mandating foreign currency hedging for Malaysia Index Series will receive the new index as part of their existing investments and transfer limits for foreign currencies data package at no extra cost. “The central bank views that the time is appropriate to ease regulations Bursa also announced the complete implementation of the final phase to allow freer capital outflows,” Mrs Pongpen, Deputy Governor, Bank of of its CDS Straight Through Processing initiative. Market participants will Thailand said. now be able to automate voluminous depository related transactions The SET has generated returns of over 26% in the current year taking it to from their back office straight into CDS. the number 2 spot globally after Turkey. SET also said they expected to The Philippine Stock exchange is also in process of identifying the Shariah meet the target of new listings generating 100 billion baht by the year compliant stock in the local markets and hopes to complete the exercise end with 12 companies already in pipeline and 10 more expected to and create a corresponding index sometime next year in a bid to attract follow before year end. Muslim investors to the stock markets. The Indonesia Stock Exchange (IDX) has also announced that it will be joining the trading link no later than 2015 and is working hard to prepare Thailand eyes market-hub status in the Greater Mekong the bourse infrastructure to that end. Sub-region (GMS) The ASEAN exchanges have announced enhancements to its website www.aseanexchanges.org, which now provides aggregated ASEAN At the Thailand Investment Conference jointly hosted by CFA Society market data and analytics in a single location. Thailand, the capital market regulator SEC said that it has investment vehicles ready to facilitate the connectivity of stock markets in the Greater Mekong Subregion (GMS) and is ready to play the central hub role in its IDX launches a new index; expects new listings to continue development. The GMS comprises Thailand, Myanmar, Laos, Cambodia, Vietnam and China’s Yunnan province. Indonesia Stock Exchange (IDX) along with PT Infoarta Pratama (Infobank magazine publisher) launched a new index named InfoBank 15 on 7th SEC Secretary General Vorapol Socatiyanurak said “The available tools are October. This index measures the performance of 15 leading stocks the infrastructure fund, the real estate investment trust (REIT), listing of from banking companies listed on the Stock Exchange. The index will be holding companies in the Stock Exchange of Thailand, private equity fund, reviewed every six months in June and December each year. and securitization. These investment vehicles support the development of stock markets in the region and provide a channel for prospective investors The fundamental criteria for stock selection are the banks’ ratings and to make indirect investments in the regional markets.” their implementation of good corporate governance as reviewed by Infobank magazine. Other aspects such as transaction activities (value, frequency and days of trading), market capitalization, and free float rate Sources are also part of the consideration. www.channelnewsasia.com www.ft.com IDX also said that it expected another 11 companies to go public www.sgx.com www.biz.thestar.com.my before the end of this year. The next year’s target for 30 IPOs was also www.mas.org www.bworldonline.com announced. “The target of 30 IPOs will make the bourse work harder to www.reuters.com www.nationmultimedia.com attract new companies.” IDX president director Ito Warsito said. www.4-traders.com www.philstar.com www.bangkokpost.com www.waterstechnology.com IDX to start trading earlier in 2013 www.todayonline.com www.btimes.com IDX plans to start the trading sessions half an hour earlier from next year. www.online.wsj.com www.finextra.com IDX director Ito Warsito said that as of Jan 2nd, the exchange would start www.thejakartagloble.com trading 30 minutes earlier at 9 am (0200 GMT) instead of 9:30 am. www.en.acnnewswire.com Deutsche Bank Equities Global Market Structure APAC Quant Analysis Factsheet - Sep 2012
Below is a selection of quantitative metrics, which provides additional analysis of the markets and liquidity during September 2012. For further information, please contact:
Global Market Structure: Quantitative Analysis: email: [email protected] email: [email protected] tel: +44 207 547 4390 tel: +44 207 545 3129
Liquidity
The chart below shows the daily index primary spreads on APAC indices during October 2012:
33.0 33.0
28.0 28.0 MSCI Asia Pacic Ex JP 23.0 MSCI Asia Pacic Ex JP 23.0 S&P/ASX 200 Index S&P/ASX 200 Index 18.0 Hang Seng Composite Index 18.0 Hang Seng Composite Index Korea SE Kospi 200 Index
Spread(bps) 13.0 Korea SE Kospi 200 Index Spread(bps) 13.0 Taiwan TAIEX Index Taiwan TAIEX Index 8.0 FTSE Straits Time Index 8.0 FTSE Straits Time Index NSE S&P CNX Nifty 3.0 NSE S&P CNX Nifty 3.0 01-Oc t 02-Oc t 03-Oc t 04-Oc t 05-Oc t 08-Oc t 09-Oc t 10-Oc t 11-Oc t 12-Oc t 15-Oc t 16-Oc t 17-Oc t 18-Oc t 19-Oc t 22-Oc t 23-Oc t 24-Oc t 25-Oc t 26-Oc t 29-Oc t 30-Oc t 31-Oc t 01-Oc t 02-Oc t 03-Oc t 04-Oc t 05-Oc t 08-Oc t 09-Oc t 10-Oc t 11-Oc t 12-Oc t 15-Oc t 16-Oc t 17-Oc t 18-Oc t 19-Oc t 22-Oc t 23-Oc t 24-Oc t 25-Oc t 26-Oc t 29-Oc t 30-Oc t 31-Oc t
Sources:Deutsche Bank AG estimates and calculations
Historical Volatility
The chart below shows primary volatility of APAC indices during October 2012:
20.0 20.0 18.0 18.0 16.0 MSCI Asia Pacic Ex JP 16.0 MSCI Asia Pacic Ex JP S&P/ASX 200 Index 14.0 S&P/ASX 200 Index 14.0 Hang Seng Composite Index Hang Seng Composite Index 12.0 12.0 Korea SE Kospi 200 Index
Volatility Korea SE Kospi 200 Index
Volatility 10.0 Taiwan TAIEX Index 10.0 Taiwan TAIEX Index 8.0 FTSE Straits Time Index 8.0 FTSE Straits Time Index NSE S&P CNX Nifty 6.0 NSE S&P CNX Nifty 6.0 01-Oc t 02-Oc t 03-Oc t 04-Oc t 05-Oc t 08-Oc t 09-Oc t 10-Oc t 11-Oc t 12-Oc t 15-Oc t 16-Oc t 17-Oc t 18-Oc t 19-Oc t 22-Oc t 23-Oc t 24-Oc t 25-Oc t 26-Oc t 29-Oc t 30-Oc t 31-Oc t 01-Oc t 02-Oc t 03-Oc t 04-Oc t 05-Oc t 08-Oc t 09-Oc t 10-Oc t 11-Oc t 12-Oc t 15-Oc t 16-Oc t 17-Oc t 18-Oc t 19-Oc t 22-Oc t 23-Oc t 24-Oc t 25-Oc t 26-Oc t 29-Oc t 30-Oc t 31-Oc t
Sources:Deutsche Bank AG estimates and calculations
60.0% 60.0% 55.0% 55.0% 50.0% 50.0% MSCI Asia Pacic Ex JP 45.0% MSCI Asia Pacic Ex JP 45.0% S&P/ASX 200 Index 40.0% S&P/ASX 200 Index 40.0% 35.0% Hang Seng Composite Index 35.0% Hang Seng Composite Index 30.0% Korea SE Kospi 200 Index 30.0% Korea SE Kospi 200 Index 25.0% 25.0% Taiwan TAIEX Index 20.0% Taiwan TAIEX Index 20.0% FTSE Straits Time Index Intra-Index Correlation 15.0% FTSE Straits Time Index Intra-Index Correlation 15.0% NSE S&P CNX Nifty 10.0% NSE S&P CNX Nifty 10.0% 01-Oc t 02-Oc t 03-Oc t 04-Oc t 05-Oc t 08-Oc t 09-Oc t 10-Oc t 11-Oc t 12-Oc t 15-Oc t 16-Oc t 17-Oc t 18-Oc t 19-Oc t 22-Oc t 23-Oc t 24-Oc t 25-Oc t 26-Oc t 29-Oc t 30-Oc t 31-Oc t 01-Oc t 02-Oc t 03-Oc t 04-Oc t 05-Oc t 08-Oc t 09-Oc t 10-Oc t 11-Oc t 12-Oc t 15-Oc t 16-Oc t 17-Oc t 18-Oc t 19-Oc t 22-Oc t 23-Oc t 24-Oc t 25-Oc t 26-Oc t 29-Oc t 30-Oc t 31-Oc t 33.0
28.0 MSCI Asia Pacic Ex JP 23.0 S&P/ASX 200 Index
18.0 Hang Seng Composite Index Korea SE Kospi 200 Index
Spread(bps) 13.0 Taiwan TAIEX Index 8.0 FTSE Straits Time Index NSE S&P CNX Nifty 3.0 01-Oc t 02-Oc t 03-Oc t 04-Oc t 05-Oc t 08-Oc t 09-Oc t 10-Oc t 11-Oc t 12-Oc t 15-Oc t 16-Oc t 17-Oc t 18-Oc t 19-Oc t 22-Oc t 23-Oc t 24-Oc t 25-Oc t 26-Oc t 29-Oc t 30-Oc t 31-Oc t
20.0
18.0
16.0 MSCI Asia Pacic Ex JP S&P/ASX 200 Index 14.0 Hang Seng Composite Index 12.0 Korea SE Kospi 200 Index Volatility 10.0 Taiwan TAIEX Index
8.0 FTSE Straits Time Index NSE S&P CNX Nifty Quant6.0 Factsheet Monthly Newsletter 22 01-Oc t 02-Oc t 03-Oc t 04-Oc t 05-Oc t 08-Oc t 09-Oc t 10-Oc t 11-Oc t 12-Oc t 15-Oc t 16-Oc t 17-Oc t 18-Oc t 19-Oc t 22-Oc t 23-Oc t 24-Oc t 25-Oc t 26-Oc t 29-Oc t 30-Oc t 31-Oc t
Intra-Index Correlation
The chart below shows the correlation of movement within each index, calculated using the index and index constituents volatilities and weights:
60.0% 55.0% 50.0% MSCI Asia Pacic Ex JP 45.0% S&P/ASX 200 Index 40.0% 35.0% Hang Seng Composite Index 30.0% Korea SE Kospi 200 Index 25.0% Taiwan TAIEX Index 20.0% FTSE Straits Time Index
Intra-Index Correlation 15.0% NSE S&P CNX Nifty 10.0% 01-Oc t 02-Oc t 03-Oc t 04-Oc t 05-Oc t 08-Oc t 09-Oc t 10-Oc t 11-Oc t 12-Oc t 15-Oc t 16-Oc t 17-Oc t 18-Oc t 19-Oc t 22-Oc t 23-Oc t 24-Oc t 25-Oc t 26-Oc t 29-Oc t 30-Oc t 31-Oc t
Sources:Deutsche Bank AG estimates and calculations Sector Correlation Matrix
The matrix below shows the % correlation of movement between two sectors during the previous month:
80-100% 60-80% 25-60% <25% 1M Historical Correlations Bev. Res. Real Leis. Mat. Pers. Pers. Serv. Parts Tech. Basic Retail Banks Estate Media Goods Auto & & Serv. Food & Utilities Travel & Travel Ind. Gds Const. & Financial Chemical Telecoms Oil & Gas
Auto. & Parts 100.0% 71.2% 83.5% 79.4% 86.9% 72.4% 60.6% 76.1% 72.9% 79.9% 67.8% 62.6% 74.3% 70.2% 65.6% 58.9% 48.1%
Banks 71.2% ##### 91.3% 77.4% 87.3% 80.7% 74.3% 77.9% 77.3% 89.1% 75.0% 55.4% 74.7% 57.6% 72.0% 60.1% 57.2%
Basic Res. 83.5% 91.3% ##### 87.0% 94.3% 82.2% 72.1% 85.0% 79.9% 90.5% 79.2% 61.4% 82.3% 70.1% 77.9% 69.2% 61.9%
Chemicals 79.4% 77.4% 87.0% ##### 85.7% 71.7% 70.3% 81.2% 82.1% 84.5% 68.3% 66.1% 77.5% 72.9% 73.0% 77.4% 59.2%
Constr. & Mat. 86.9% 87.3% 94.3% 85.7% ##### 80.2% 68.3% 81.5% 74.6% 89.6% 75.6% 63.5% 78.6% 74.4% 78.0% 65.5% 64.7%
Financial Serv. 72.4% 80.7% 82.2% 71.7% 80.2% ##### 65.5% 84.6% 75.4% 75.2% 75.0% 70.4% 73.5% 69.2% 79.1% 57.4% 61.1%
Food & Bev. 60.6% 74.3% 72.1% 70.3% 68.3% 65.5% ##### 69.2% 60.0% 63.9% 78.0% 50.4% 74.4% 55.3% 55.3% 71.6% 50.0%
Ind. Gds & Serv. 76.1% 77.9% 85.0% 81.2% 81.5% 84.6% 69.2% ##### 80.0% 74.2% 76.9% 72.0% 84.0% 78.9% 76.8% 73.4% 65.2%
Media 72.9% 77.3% 79.9% 82.1% 74.6% 75.4% 60.0% 80.0% ##### 75.0% 70.3% 57.1% 74.3% 63.8% 61.2% 51.6% 36.7%
Oil & Gas 79.9% 89.1% 90.5% 84.5% 89.6% 75.2% 63.9% 74.2% 75.0% ##### 60.9% 58.5% 69.3% 61.1% 72.9% 62.5% 52.0%
Pers. Goods 67.8% 75.0% 79.2% 68.3% 75.6% 75.0% 78.0% 76.9% 70.3% 60.9% ##### 43.3% 84.0% 58.4% 70.7% 58.4% 43.6%
Real Estate 62.6% 55.4% 61.4% 66.1% 63.5% 70.4% 50.4% 72.0% 57.1% 58.5% 43.3% ##### 54.5% 77.4% 60.0% 60.4% 68.8%
Retail 74.3% 74.7% 82.3% 77.5% 78.6% 73.5% 74.4% 84.0% 74.3% 69.3% 84.0% 54.5% ##### 65.4% 69.8% 67.3% 51.8%
Technology 70.2% 57.6% 70.1% 72.9% 74.4% 69.2% 55.3% 78.9% 63.8% 61.1% 58.4% 77.4% 65.4% ##### 61.5% 64.1% 72.9%
Telecoms 65.6% 72.0% 77.9% 73.0% 78.0% 79.1% 55.3% 76.8% 61.2% 72.9% 70.7% 60.0% 69.8% 61.5% ##### 56.4% 64.4%
Travel & Leis. 58.9% 60.1% 69.2% 77.4% 65.5% 57.4% 71.6% 73.4% 51.6% 62.5% 58.4% 60.4% 67.3% 64.1% 56.4% ##### 59.4%
Utilities 48.1% 57.2% 61.9% 59.2% 64.7% 61.1% 50.0% 65.2% 36.7% 52.0% 43.6% 68.8% 51.8% 72.9% 64.4% 59.4% #####
Sources:Deutsche Bank AG estimates and calculations 23
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