January 2021 APAC Market Structure Monthly

Average Daily Turnover (Notional USD) Country Group Developed Markets Developing Markets

KOR JPN 37.9B 30.7B CHN 282.6B IND TWN 10.6B HKG15.0B THA 54.3B 5.9B

SGP 1.1B

AUS 5.0B

Country Breakdowns

Hong Kong Taiwan China India Japan Thailand Australia New Zealand South Korea Singapore January 2021 Hong Kong Market Structure News Record Turnover due to Southbound Trading HKEX Includes STAR Market Stocks into Stock Connect On 19 January 2021, the Stock Exchange of Hong Kong (HKEX) saw On 22 January 2021, HKEX announced the addition of eligible a record high in daily turnover totaling US$38.9B, in line with an A-shares listed on the Shanghai Stock Exchange (SSE) STAR already elevated YTD average of US$30.8B (for the period of 4 Market, to be included into the Stock Connect program with effective January to 8 February 2021). date 1 February 2021.

This is due in part by HK-China Stock Connect’s Southbound Trading, The eligibility criteria for SSE STAR Market-listed stocks to be which also peaked on 19 January 2021 at US$12.86B (combined buy included into Stock Connect Northbound trading is consistent with and sell flow notional) and accounted for 16.4% of HKEX’s executed SSE/HKEX Stock Connect-listed securities, SSE STAR Market-listed turnover. Southbound Trading accounted for 17% of HKEX’s shares that are: “constituent stocks of the SSE 180 Index and SSE executed turnover, another record high, on the previous day. 380 Index, or have corresponding H-shares listed on HKEX for A+H companies”. On 25 January 2021, the Hang Seng Index (HSI) closed at 30,159.01, Similar to Shenzhen Stock Exchange’s ChiNext investor criteria, only surpassing the 30,000 threshold for the first time in the previous 20 institutional investors are eligible to trade SSE STAR Market-listed months. According to the source below, HSI is described as “the shares via the Stock Connect Northbound trading. world's cheapest major index” with Chinese southbound net inflow playing a notable role in the recent rally. On the launch date (1 February 2021), 14 SSE STAR Market-listed stocks were added to Stock Connect Northbound trading. Below is an https://asia.nikkei.com/Spotlight/Market-Spotlight/Hong-Kong-stocks-roar-into-2021-on-surge- of-investment-from-China. extract of this list:

Data source: Virtu Financial, Stock Connect Northbound & Southbound flow monitoring

HKEX Launches Mini USD/CNH Futures HKEX announced on 21 January 2021, plans to launch Mini USD/CNH (US dollar/offshore Renminbi, or RMB) futures in the first half of 2021. The contract will be cash-settled with a contract size of US$20,000.

According to the source below, the new FX futures product was developed in response to market demand from smaller corporates and individuals to allow for more precise risk management. The new Mini USD/CNH offering is a smaller-sized contract which complements other existing HKEX RMB currency derivatives products. https://www.hkex.com.hk/News/News-Release/2021/210121news?sc_lang=en

https://www.hkex.com.hk/News/News-Release/2021/210122news?sc_lang=en

https://www.hkex.com.hk/Mutual-Market/Stock-Connect/Eligible-Stocks/View-All-Eligible-Securi- ties?sc_lang=en

Page 1 Hong Kong Average Daily Turnover (Notional USD)

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

2018 2019 40.0B 2020 2021

20.0B

0.0B Trade Size Distribution by Market Cap and %ADT (Notional USD) >=300% 200-300%

1500M 100-200% 50-100% 25-50% 1000M 10-25% Large 5-10%

500M

1500M

1000M Mid

500M

1500M

1000M Small

500M

0M l r r t c v y n n b g p u c a p e a o e e a u u J J O J A F D S A N M M

Source data: Virtu Financial

Page 2 Hong Kong Market Microstructure Observations · Historic record high monthly T/O recorded at US$54.3B, up 150%+ compared to January 2019 and 2020 levels. Also up ~80% compared to 2020 monthly average T/O. · January close auction contributed 5% of full day volume, down 1% compared to the 2020 average · One Minute Volatility in the first half hour was up 40% from December, (Previous high was 21.3bps in March 2020)

Volume Curve Intraday Spread (bps)

20 0 5 0 5 0 5 0 5 0 5 0 5 0 5 0 e n 0 5 0 1 3 4 0 1 0 1 3 4 0 1 3 4 0 s e                3 4 o   p l 0 0 0 0 1 1 3 3 3 3 4 4 4 4 5 9 9 o c 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 10 e

m 0.15 u l o v 0.10 s '

y 0 a

d 0.05 10 AM 11 AM 12 PM 1 PM 2 PM 3 PM 4 PM %

Intraday Quotesize (Shares) Intraday Volatility (bps)

100K 30

50K 10

0K 0

10 AM 11 AM 12 PM 1 PM 2 PM 3 PM 4 PM 10 AM 11 AM 12 PM 1 PM 2 PM 3 PM 4 PM

2020 January

Spread Bps

20 Q2 20 Q3 20 Q4 21 Q1 Apr 20 May 20 Jun 20 Jul 20 Aug 20 Sep 20 Oct 20 Nov 20 Dec 20 Jan 21 firstHalfHour 16.5 16.1 16.3 17.6 16.7 17.0 17.3 16.8 16.2 16.9 midday 13.5 13.6 13.6 13.9 13.5 13.3 13.3 13.0 12.9 13.4 lastHalfHour 12.9 13.1 12.9 13.4 12.8 12.9 13.0 12.6 12.7 12.5 One Minute Volatility Bps

firstHalfHour 14.1 13.9 14.1 15.9 13.6 11.7 11.6 13.6 12.1 17.6 midday 7.5 7.8 7.5 7.2 7.3 6.6 6.4 6.8 6.0 8.1 lastHalfHour 7.5 8.5 7.7 9.2 6.4 6.8 6.8 7.3 6.7 6.9

Quotesize in Shares

firstHalfHour 31,448 37,444 34,006 30,895 29,501 29,248 29,429 35,285 28,860 29,369 midday 50,803 72,786 62,092 50,675 54,851 52,922 59,646 67,190 59,993 52,420 lastHalfHour 94,215 120,128 103,136 85,097 88,503 86,562 92,522 112,401 93,657 80,787

Median used for all metrics One minute volatility is calculated using the difference between the high and low price within a one minute time bin, divided by that bin’s VWAP Source data: Virtu Financial

Page 3 January 2021 China Market Structure News

US Executive Order Ban on China Stocks, Status Update China Loosens Capital Account Restrictions As noted in previous Market Structure Monthly editions, on 12 November The Chinese central government announced the loosening of key capital 2020, former US President Trump issued an Executive Order (EO) restricting account restrictions, alongside new measures to facilitate cross-border US investors from transacting in certain Chinese securities with alleged renminbi transactions. military ties. On 4 January 2021, a notice on “Further Optimizing Cross-border Renminbi Policy and Supporting the Stabilization of Foreign Trade and Foreign While the restriction list continued to grow, on 28 December 2020, the US Investment” was jointly issued by the Chinese central bank, the Ministry of Office of Foreign Asset Control (OFAC) released its first FAQ to help Commerce, the China Banking, the Insurance Regulatory Commission, the address questions around the applicability of the EO, followed by an update State Administration of Foreign Exchange and the National Development on 8 January, which provided additional clarity. and Reform Commission. Key specific measures include:

On 4 January 2021, the New York Stock Exchange (NYSE) initiated the • The capital account renminbi revenue of domestic institutions—including delisting process for three China Telco companies, on 5 January 2021 they funds from offshore—can be used within the business scope approved by reversed their decision and cancelled the delisting, and on 6 January 2021 authorities and under the specified conditions they changed course a final time and restarted the delisting process. • Cancelation of specialist account requirements for foreign direct Similarly, the Depository Trust & Clearing Corporation (DTCC) provided investment. initial guidance on withdrawing support for the impacted securities after 8 According the notice published, the measures came into effect on 4 January 2021, then relaxed the handling by supporting transactions until 13 February 2021. January 2021, and then subsequently began supporting the divesture of the impacted securities. https://www.chinabankingnews.com/2021/01/05/china-loosens-capital-account-restrictions-for- renminbi-revenue-usage/ https://www.safe.gov.cn/shanghai/2021/0108/1439.html At the close on 8 January 2021 (the Friday before the EO’s effective date), MSCI index stakeholders began to liquidate their China Mobile and other Relaunch of Ant Group IPO Possible Chinese telco positions. The heightened turnover on the HKEX was driven On 3 November 2020, the IPO of Ant Group, valued at US$34B, was pulled by the impacted stocks’ transaction volume and high volatility—heavily the day before its listing on both the SSE and the HKEX. skewing intraday volume distribution in the affected names towards the closing auction. On 27 January 2021, the head of the People’s Bank of China (PBOC), Yi Gang, spoke at the World Economic Forum in Davos and hinted at the On 11 January 2021, the EO’s effective date, further purchases in restricted possibility of resurrecting the Ant Group IPO by stating: “as long as we Chinese securities became prohibitive for US investors. That same day, the uphold all legal frameworks and procedures, and [Ant] engage in HKEX-listed tracker fund, 2800.HK, confirmed it would cease further and widespread consultation with the public”. He also added the PBOC “will new investments in the sanctioned entities. However, on 14 January 2021, they too reversed course, stating they would resume investing in the return to the right path with regard to the resolution of problems”. impacted entities once again. Yi Gang’s comments were supported by news on 3 February 2021, that Ant On 20 January 2021, US President Biden assumed office and his had agreed to a restructuring plan that will transform the fintech giant into a administration delayed the ban (details on affected entities in DTCC press financial holding company—and make it subject to capital requirements release below) until 27 May 2021. Following the update, the OFAC also similar to those of banks. issued a general license confirming the delay in effective date. https://www.bloomberg.com/news/articles/2021-02-03/ant-is-said-to-reach-agreement-with-china-regulators-on-overhaul Department of Treasury: https://www.chinabankingnews.com/2021/01/27/chinese-central-bank-chief-flags-possibility-of- https://home.treasury.gov/policy-issues/financial-sanctions/faqs/topic/5671 good-results-for-relaunch-of-ant-group-ipo

OFAC: https://home.treasury.gov/system/files/126/ccmc_gl1a_01272021_1.pdf https://www.dtcc.com/-/media/Files/pdf/2021/1/27/B14641-21.pdf

NYSE Lists First STAR ETF KraneShares’ SSE STAR Market 50 Index ETF (KSTAR) is the first ETF outside of China to invest in the Shanghai’s Nasdaq-style STAR Market. Listed on NYSE (NYSE: KLSE) on 27 January 2021, with a US$13.66M AUM, this ETF provides exposure to China STAR 50 index-listed tech companies. KSTAR will test Wall Street’s appetite for China-listed tech companies amid geopolitical tensions, and if successful could pave way for future index inclusions by MSCI and other global index publishers. Other KSTAR ETF details include:

• The ETF’s underlying index is STAR 50 • On 1 February 2021, Qualified Foreign Institutional Investor (QFII) names can be invested via SSE/HKEX’s Northbound Stock Connect flow • KraneShares is the ETF manager and China International Capital Corporation is the majority owner https://www.reuters.com/article/idUSL4N2K222C

Page 4 China Average Daily Turnover (Notional USD)

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 80.0B 2018 60.0B 2019 China: 2020 Shanghai 40.0B 2021 20.0B

80.0B 60.0B China: Shenzhen 40.0B 20.0B

80.0B

SH-HK 60.0B Connect - 40.0B Northbound 20.0B

80.0B SHENZHEN- 60.0B HKG STOCKC ONNECT NO. 40.0B . 20.0B

Trade Size Distribution by %ADT (Notional USD) >=300% 200-300% China: Shanghai China: Shenzhen 100-200% 50-100% 12B 25-50% 10-25% 10B 5-10%

0B l l r r r r t t c c v v y y n n n n b b g g p p u u c c a a p p e e a a o o e e e e a a u u u u J J J J O O J J A A F F D D S S A A N N M M M M

Source data: Virtu Financial

Page 5 China Market Microstructure Observations · Shanghai, Shanghai-HK NB and Shenzhen-HK NB volumes were up 44%, 47%, 50% respectively compared to December 2020 · While January Intraday Spreads were consistently lower than 2020 average in Shanghai, spreads this month were mostly inline with December 2020 levels in Shenzhen. · Intraday volatility in Shanghai and Shenzhen were consistently higher than 2020 avg; Namely, volatility throughout first trading hour in Shenzhen was ~10bps higher Volume Curve Intraday Spread (bps) 0 5 0 5 0 5 0 5 0 5 0 5 0 5 e n 0 5 0 1 3 4 0 1 0 1 3 4 0 1 3 4 s China: Shanghai China: Shenzhen e 3 4               o   p l 0 0 0 0 1 1 3 3 3 3 4 4 4 4 9 9 o c 1 1 1 1 1 1 1 1 1 1 1 1 1 1

15% 10 China: 10% Shanghai 5% 5

15% China: 10% 0 Shenzhen 5% 11 AM 1 PM 3 PM 11 AM 1 PM 3 PM

Intraday Quotesize (Shares) Intraday Volatility (bps)

China: Shanghai China: Shenzhen China: Shanghai China: Shenzhen 60K 40

30 40K 20 20K 10

0K 0

11 AM 1 PM 3 PM 11 AM 1 PM 3 PM 11 AM 1 PM 3 PM 11 AM 1 PM 3 PM

2020 January 2021

Spread Bps

China: Shanghai China: Shenzhen 20 Q3 20 Q4 21 Q1 20 Q3 20 Q4 21 Q1 Jul Aug Sep Oct Nov Dec Jan Jul Aug Sep Oct Nov Dec Jan firstHalfHour 12.3 11.9 11.2 10.9 11.3 10.6 10.5 9.4 8.5 8.3 7.8 8.3 8.3 9.3 midday 10.8 10.0 10.2 10.1 10.3 9.5 9.1 6.9 6.4 6.6 6.3 6.7 6.5 6.9 lastHalfHour 10.2 9.5 9.9 9.6 9.6 8.9 8.5 6.0 5.9 6.1 5.7 5.9 5.9 6.0 One Minute Volatility Bps

firstHalfHour 22.2 18.1 15.5 13.6 16.3 16.5 23.8 31.2 24.8 22.4 19.3 22.7 22.3 31.4 midday 11.5 8.5 7.1 5.9 7.4 8.0 11.8 15.2 11.8 10.9 9.6 11.2 11.0 14.9 lastHalfHour 10.1 7.3 6.7 5.7 6.6 7.5 9.7 12.2 10.0 9.8 8.3 8.8 9.0 11.8 Quotesize in Shares

firstHalfHour 37K 33K 26K 30K 31K 23K 20K 10K 8K 7K 8K 8K 7K 8K midday 39K 38K 31K 33K 35K 26K 22K 10K 9K 8K 9K 9K 8K 8K lastHalfHour 54K 50K 42K 44K 47K 36K 32K 14K 12K 11K 12K 12K 12K 12K

Page 6 January 2021 Japan Market Structure News

TSE Launches API Services Japan Exchange Launches J-Quants to Promote Data On 1 February 2021, the Tokyo Stock Exchange (TSE) launched a Science for Retail Traders web application programming interface (API) service to facilitate the On 25 January 2021, JPX announced the launch of J-Quants, a proof disclosure of stock price and timely information of all listed companies of concept project that promotes the use of data science in trading. nationwide. According to the source below, the TSE API services aims According to the source, this initiative comes after more retail to improve market data distribution and expects that fintech companies investors, overseas and domestic, increasingly rely on data analysis will create new investment-related information services, financial and IT tools in their trading. institutions will digitize business processes and research institutes will revitalize analytical operations. JPX plans to provide free-of-charge financial API data and learning materials to J-Quants testing participants. In addition, the J-Quants In addition, the TSE also introduced a pay-as-you-go fee schedule for testing group are required to participate in a data analysis competition the external distribution of Last Sales Information (which includes the in which they will analyze stock prices and more, using the supplied TSE, Fukuoka Stock Exchange, and Sapporo Securities Exchange) by data sets and tech tools. Depending on the program’s results, JPX will information vendors. This service will be provided via the internet, consider creating an environment conducive to retail investors using directly from TSE’s information distribution system. Fees will be data analysis and IT in their trades. determined by number and frequency of service usage. The detailed pricing policy can be found at the source. Official: https://www.jpx.co.jp/english/corporate/news/news-releases/0010/20210125-01.html https://www.jpx.co.jp/english/corporate/news/news-releases/0060/20210122-01.html The Second Japan-China Capital Markets Forum Held JPX and SZSE Collaborates to Establish Japan-China Online ETF Connectivity On 25 January 2021, the second Japan-China capital markets forum Japan Exchange Group (JPX) and SZSE have agreed to actively was hosted online. The initiative behind this forum serves to collaborate to encourage ETF creation and investment in a bid to strengthen the multi-layered cooperation between securities promote Japan-China securities markets to investors. The exchanges regulators and related industry organizations of both countries. About will also collaborate on promotion activities to support small and 400 online participants heard reports of recent achievements of medium-sized enterprises in both countries. collaboration between the two countries’ capital markets, as well as discussions on capital market restructuring, the future of Japan-China https://www.jpx.co.jp/english/corporate/news/news-releases/0070/20210125-02.html collaboration in the capital markets, derivatives market development and the role of capital markets in an aging society.

https://www.jpx.co.jp/english/corporate/news/news-releases/0070/20210126-01.html

Page 7 Japan Average Daily Turnover (Notional USD) 2018 2019 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2020 2021

30.0B

20.0B

10.0B

0.0B Trade Size Distribution by Market Cap and %ADT (Notional USD)

4B Large

>=300% 0B 200-300% 100-200% 1000M 50-100% 25-50% 10-25% Mid 5-10% 500M

100M

Small

50M

0M l r r t c v y b n n g p u c a p e a o e e a u u J J O J A F D S A N M M

Source data: Virtu Financial

Page 8 Japan Market Microstructure Observations · Volumes were up 10% from December to US$30.7B and up 30% YoY · January close auction contributed 10% of full day volume, down 2% compared to the 2020 average · One Minute Volatility was at its lowest and Quotesize was at its highest since April 2020 · Intraday spreads were consistently lower than 2020 avg. Volume Curve Intraday Spread (bps) 0 5 0 5 0 5 0 5 0 5 0 5 0 5 0 5 e n

0 5 0 5 30 0 1 3 4 0 1 3 4 0 1 3 4 0 1 3 4 s e 0 1 3 4                 o     p l 0 0 0 0 1 1 2 2 3 3 3 3 4 4 4 4 9 9 9 9 o c 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 20 . .

l 10 o 10% v

s ' 0 y

a 5% d 9 AM 10 AM 11 AM 12 PM 1 PM 2 PM 3 PM

% 0% Intraday Quotesize (Shares) Intraday Volatility (bps)

3K 30

2K 20

1K 10

0K 0

9 AM 10 AM 11 AM 12 PM 1 PM 2 PM 3 PM 9 AM 10 AM 11 AM 12 PM 1 PM 2 PM 3 PM

2020 January

Spread Bps

20 Q2 20 Q3 20 Q4 21 Q1 Apr 20 May 20 Jun 20 Jul 20 Aug 20 Sep 20 Oct 20 Nov 20 Dec 20 Jan 21 firstHalfHour 37.5 32.3 30.0 30.5 30.9 29.5 29.7 32.0 29.6 29.3 midday 27.8 24.7 24.0 24.2 23.3 23.0 23.2 24.1 23.2 22.9 lastHalfHour 26.3 23.5 23.2 23.2 22.6 22.2 22.1 23.4 21.9 21.7 One Minute Volatility Bps

firstHalfHour 28.0 21.5 19.6 19.0 18.8 15.2 16.1 18.8 14.9 15.1 midday 12.6 9.9 9.9 8.3 7.5 6.6 6.8 7.8 6.6 6.8 lastHalfHour 13.7 9.8 9.2 7.3 7.1 6.5 7.0 7.3 6.9 7.3

Quotesize in Shares

firstHalfHour 650 825 957 1,009 990 1,091 1,089 988 1,146 1,202 midday 1,028 1,385 1,498 1,673 1,754 1,896 1,940 1,774 2,092 2,260 lastHalfHour 1,147 1,700 1,917 2,195 2,435 2,468 2,548 2,214 2,693 2,814

Page 9 January 2021 Australia Market Structure News

POSIT Alert, Australia Sets New Record for Largest Top Super Funds Target Growth as Best Antidote to Recorded Single Print Pandemic On 25 January 2021, Virtu Financial’s POSIT Alert, Australia recorded Australian super funds continue to see exceptional growth as its largest cross with a single trade value of AUD$87M (US$67M) on economic conditions improve and opportunities arise due to the each side. Comparatively, the average trade size in 2020 was COVID-19 pandemic. AustralianSuper had net inflows of US$15B last AUD$1.6M (US$1.2M). financial year compared to US$12B for the previous year. It has also started to rebuild weightings in infrastructure, potentially in private In addition, this trade was the largest single trade matched between a equity and selectively in debt, according to Chief Information Officer, POSIT Alert front-end user and an electronic conditional order in Mark Delaney. POSIT Alert in Asia Pacific. https://thenewdaily.com.au/finance/superannuation/2021/01/22/superannuation-funds-returns- 2020-year/ https://ir.virtu.com/press-releases/press-release-details/2021/POSIT-Alert-Australia-Sets-New- Record-for-Largest-Recorded-Single-Print/default.aspx

Major Banks to Stop Accepting COVID-19 Mortgage Holiday Applications In April 2020, at the height of the COVID-19 pandemic, an emergency decision was made to help homeowners facing foreclosure and arrears. Lenders like National Australia Bank, Westpac, the Commonwealth Bank of Australia and ANZ agreed to give widespread holidays (loan deferrals) from payments.

After 20 January 2021, National Australia Bank will cease to allow mortgage holidays to homeowners struggling due to the impacts of COVID-19 and will be contacting customers who have yet to make payments towards their loans. https://www.smh.com.au/politics/federal/major-banks-to-stop-accepting-covid-19-mortgage- holiday-applications-20210119-p56v5m.html

Page 10 Australia Average Daily Turnover (Notional USD)

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2018 2019 2020 6.0B 2021

4.0B

2.0B

0.0B Venue Market Share (Notional USD)

100%

ASX CHI-X 84.0% 83.6% 87.5% 87.4% 85.1% 84.5% 84.4% 84.4% 85.0% 84.1% 83.6% 84.1% 50%

0% 16.0% 16.4% 12.5% 12.6% 14.9% 15.5% 15.6% 15.6% 15.0% 15.9% 16.4% 15.9% Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Trade Size Distribution by Market Cap and %ADT (Notional USD)

3B >=300% 200-300% 2B Large 100-200% 50-100% 1B 25-50% 0B 10-25% 3B 5-10%

2B Mid

2B Small

1B 0B l r r t c v y b n n g p u c a p e a o e e a u u J J O J A F D S A N M M

Source data: Virtu Financial

Page 11 Australia Market Microstructure Observations · Venue market share remains steady with Chi-X representing 15% of the market · Volume in the closing auction remains significant at 17% of daily turnover and is up on the YTD average · January spreads were inline with 2020 Q4 levels Volume Curve Intraday Spread (bps) 0 5 0 5 0 5 0 5 0 5 0 5 0 5 0 5 0 5 0 5 0 5 0 5 0 5 e n 0 1 3 4 0 1 3 4 0 1 3 4 0 1 3 4 0 1 3 4 0 1 3 4 0 1 s e

                          20 o p l 0 0 0 0 1 1 1 1 2 2 2 2 3 3 3 3 4 4 4 4 5 5 5 5 6 6 o c 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1

10 15%

10% 0 5% 10 AM 11 AM 12 PM 1 PM 2 PM 3 PM 4 PM

Intraday Quotesize (Shares) Intraday Volatility (bps)

10K 30

20 5K

0K 0 10 AM 11 AM 12 PM 1 PM 2 PM 3 PM 4 PM 10 AM 11 AM 12 PM 1 PM 2 PM 3 PM 4 PM

2020 January

Spread Bps

20 Q2 20 Q3 20 Q4 21 Q1 Apr 20 May 20 Jun 20 Jul 20 Aug 20 Sep 20 Oct 20 Nov 20 Dec 20 Jan 21 firstHalfHour 29.5 24.8 23.4 21.9 20.8 20.8 19.9 19.5 18.7 19.8 midday 21.2 18.6 17.4 16.8 16.5 16.9 15.2 16.0 15.3 15.0 lastHalfHour 21.1 18.8 17.7 17.5 17.2 17.8 16.8 16.7 15.7 15.0 One Minute Volatility Bps

firstHalfHour 36.3 28.7 28.3 22.9 22.6 21.5 17.7 18.4 15.2 14.4 midday 12.0 7.5 7.7 5.9 5.5 5.5 5.0 5.1 4.3 4.1 lastHalfHour 11.0 6.0 5.9 5.1 4.3 5.3 4.4 4.3 3.7 3.7

Quotesize in Shares

firstHalfHour 2,016 2,725 2,888 3,002 3,135 3,551 3,258 3,208 2,917 2,583 midday 3,607 5,150 5,272 5,034 6,228 6,892 6,767 7,424 6,268 5,358 lastHalfHour 6,698 9,919 10,262 11,468 13,092 14,938 15,112 15,132 13,233 11,014

Page 12 South Korea Average Daily Turnover (Notional USD) 2018 2019 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2020 2021

30.0B

20.0B

10.0B

0.0B

Trade Size Distribution by %ADT (Notional USD) >=300% 200-300% 100-200% 3B 50-100% 25-50% 2B 10-25% 5-10%

0B l r r t c v y b n n g p u c a p e a o e e a u u J J O J A F D S A N M M

Market Structure News Korean Exchange Launches KRX BBIG K_New Deal Risk Korean Stock Markets Features and Performances Control 12% Index • Fast market recovery: The Korean Composite Stock Price Index On 18 January 2021, The Korea Exchange (KRX) launched the KRX BBIG (KOSPI) is at an all-time high, setting a new record eight months after its K_New Deal Risk Control 12% Index. The underlying index, K_New Deal COVID-19 induced low, in March 2020. Index, was introduced in September 2020. The K_New Deal Risk Control 12% Index is designed to provide protection in bear markets by adopting a • The trading value record: The Korean stock markets ranked third among target volatility strategy that limits risk exposure. G20 countries. The average daily trading value of KOSPI hit a record high of US$1.1B in 2020. https://global.krx.co.kr/contents/GLB/02/0203/0203000000/GLB0203000000.jsp#ab8758eced047 5769e200e7e309baf77=1&view=20586 • Active participation of individual investors: Factors which contributed to this are an increase in trading size, investors becoming savvier and Improvements in Special Listing System of the KOSDAQ changing their approach and focus (versus the last financial crisis), and an Market increase in equity accounts. On 1 January 2021, KRX implemented enhancements to its technology evaluation processes to increase efficiency for the special listing in the • IPO subscription fever for future growth industries: Fueled by more KOSDAQ market. than 100 special listings for technology corporations. https://global.krx.co.kr/contents/GLB/02/0203/0203000000/GLB0203000000.jsp#ab8758eced047 5769e200e7e309baf77=1&view=20590 After collecting opinions from evaluation agencies and investment banks, the evaluation indicators for technology and marketability have been clarified, expanded and re-organized, and key content and cautious matters for each evaluation indicator were prepared. See the source below for more details.

https://global.krx.co.kr/contents/GLB/02/0203/0203000000/GLB0203000000.jsp#ab8758eced047 5769e200e7e309baf77=1&view=20584

Source data: Virtu Financial

Page 13 South Korea Market Microstructure Observations · Turnover at US$37.9B was up 15% MoM, 230% YoY and 70% compared to 2020 avg · Volume curve remains heavily skewed towards the morning with 25% of the day’s volume executing in the first 30 minutes of the day · Intraday volatility and spreads were similar to 2020 averages Volume Curve Intraday Spread (bps)

0 5 0 5 0 5 0 5 0 5 0 5 0 5 0 5 0 5 0 5 0 5 20 e n 0 5 0 5 0 1 3 4 0 1 3 4 0 1 3 4 0 1 3 4 0 1 3 4 0 1 s e 0 1 3 4                       o     p l 0 0 0 0 1 1 1 1 2 2 2 2 3 3 3 3 4 4 4 4 5 5 9 9 9 9 o c 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1

10% 10

5% 0

0% 9 AM 10 AM 11 AM 12 PM 1 PM 2 PM 3 PM Intraday Quotesize (Shares) Intraday Volatility (bps)

3K 30

2K 20

1K 10

0K 0 9 AM 10 AM 11 AM 12 PM 1 PM 2 PM 3 PM 9 AM 10 AM 11 AM 12 PM 1 PM 2 PM 3 PM

2020 January

Spread Bps

20 Q2 20 Q3 20 Q4 21 Q1 Apr 20 May 20 Jun 20 Jul 20 Aug 20 Sep 20 Oct 20 Nov 20 Dec 20 Jan 21 firstHalfHour 20.1 18.6 18.9 18.8 18.3 18.1 17.9 17.6 17.4 18.0 midday 18.3 17.5 17.5 17.6 16.8 17.0 17.0 16.3 15.4 15.9 lastHalfHour 18.5 17.6 17.5 17.6 16.8 17.1 17.1 16.3 15.6 15.8 One Minute Volatility Bps

firstHalfHour 20.7 15.9 18.0 16.1 19.3 16.8 15.2 15.6 13.9 20.9 midday 12.1 11.2 11.7 10.9 12.0 11.0 11.0 10.8 10.6 11.4 lastHalfHour 12.7 13.3 13.0 13.8 15.1 13.3 14.2 15.3 14.3 11.4

Quotesize in Shares

firstHalfHour 993 1,382 1,341 1,305 1,359 1,196 1,069 1,368 1,607 1,353 midday 1,602 2,319 2,203 2,439 2,353 2,254 2,043 2,618 3,044 2,399 lastHalfHour 1,798 2,778 2,707 2,771 2,918 2,670 2,400 3,099 3,574 2,928

Page 14 Taiwan Average Daily Turnover (Notional USD)

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 15.0B 2018 2019 2020 10.0B 2021

5.0B

0.0B Trade Size Distribution by Market Cap and %ADT (Notional USD)

2000M 1500M

Large 1000M >=300% 500M 200-300% 100-200% 2000M 50-100% 1500M 25-50% Mid 1000M 10-25% 500M 5-10%

2000M 1500M Small 1000M 500M

Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan

Market Structure News Taiwan Stock Exchange Plans to Launch Taiwan First 2021 Investment Event, Following the Financial Innovation Board in Q3 Supervisory Commissions’ Capital Market Roadmap The Taiwan Stock Exchange (TWSE) will launch a Taiwan Innovation Board On 20 January 2021, the TWSE and Masterlink Securities successfully (TIB) in a bid to boost innovative industries like the internet of things (IoT), co-hosted the "GREAT RESET - New Industry Landscape after COVID 19" artificial intelligence (AI) and Big Data. Unlike its Emerging Stock Board, TIB event. This is noteworthy because it is the first time that physical and online will be considered as a parallel to the main board and is expected to have meetings were combined to attract and benefit numerous domestic and the same trading mechanism. Companies listed on TIB for over two years foreign institutional investors. will be able to transfer to the main board, if listing requirements are met. See the source below for more details. https://www.twse.com.tw/en/news/newsDetail/ff8080817698e3d4017738202cad0193

https://www.twse.com.tw/en/news/newsDetail/ff8080817698e3d4017724155a610179

First 2021 Investment Event, Following the Financial Supervisory Commissions’ Capital Market Roadmap On 20 January 2021, the TWSE and Masterlink Securities successfully co-hosted the "GREAT RESET - New Industry Landscape after COVID 19" event. This is noteworthy because it is the first time that physical and online meetings were combined to attract and benefit numerous domestic and foreign institutional investors.

https://www.twse.com.tw/en/news/newsDetail/ff8080817698e3d4017738202cad0193

Source data: Virtu Financial

Page 15 Taiwan Market Microstructure Observations · Turnover at US$15B was up 27% MoM and 138% YoY. (2020 peak was December at US$11.8B) · Intraday spread levels match closely with the 2020 averages · Quotesize throughout the second half of day traced below 2020 averages Volume Curve Intraday Spread (bps) 0 5 0 5 0 5 0 5 0 5 0 5 0 5 e n 0 5 0 5 0 1 3 4 0 1 3 4 0 1 3 4 0 1 s e s 0 1 3 4               30 o     p p l 0 0 0 0 1 1 1 1 2 2 2 2 3 3 9 9 9 9 o b c 1 1 1 1 1 1 1 1 1 1 1 1 1 1

d a e

15% r 20 p s

n a 10% i d 10 e m 5% 0

0% 9 AM 10 AM 11 AM 12 PM 1 PM Intraday Quotesize (Shares) Intraday Volatility (bps) s p

b 20K s

p e z b

i 20 s y t e l t v

o n u a q i

d n 10K e a 10 i m d e m

0K 0 9 AM 10 AM 11 AM 12 PM 1 PM 9 AM 10 AM 11 AM 12 PM 1 PM

2020 January

Spread Bps

20 Q2 20 Q3 20 Q4 21 Q1 Apr 20 May 20 Jun 20 Jul 20 Aug 20 Sep 20 Oct 20 Nov 20 Dec 20 Jan 21 firstHalfHour 30.4 28.7 28.4 29.4 29.4 31.0 29.0 28.0 27.8 28.5 midday 25.3 24.7 24.0 24.4 24.6 25.7 24.7 23.8 24.0 24.0 lastHalfHour 25.4 24.8 23.8 24.2 24.0 25.1 24.9 23.4 23.6 24.1 One Minute Volatility Bps

firstHalfHour 15.5 13.6 12.6 14.5 15.4 15.4 12.6 12.4 13.7 15.5 midday 7.2 7.0 6.5 6.9 7.4 7.4 6.6 6.3 6.8 7.2 lastHalfHour 7.5 7.6 8.6 7.5 9.2 10.2 10.3 11.0 11.3 7.7

Quotesize in Shares

firstHalfHour 10,140 11,812 12,992 12,340 12,131 12,498 13,333 14,756 14,647 12,798 midday 17,000 19,599 23,257 20,536 21,179 21,893 24,798 26,988 25,017 20,042 lastHalfHour 16,473 19,203 23,096 21,248 21,921 22,480 23,059 27,157 25,049 20,321

Page 16 India Average Daily Turnover (Notional USD) 2018 2019 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2020 10.0B 2021

5.0B

0.0B Venue Market Share (Notional USD) BSE NSE 100%

50% 94.1% 93.5% 93.5% 95.4% 95.2% 94.2% 94.5% 93.3% 94.8% 95.4% 95.2% 93.5%

0% >=300% Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 200-300% 100-200% Trade Size Distribution by Market Cap and %ADT (Notional USD) 50-100% 6B 25-50% 10-25% 4B Large 5-10% 2B 0B

300M Mid 200M 100M

200M

Small 100M

0M Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Market Structure News Transfer of Excess Contribution Made by Stock Exchanges from Core SGF of One Clearing Corporation to the Core SGF of Another Clearing Corporation. Effective 8 January 2021, under the issued circular “SEBI/HO/MRD2/DCAP/CIR/P/2021/03”, the Securities and Exchange Board of India (SEBI) will allow transfers of excess contributions from the stock exchanges into Core-SGFs from one clearing corporation to another due to a change in inter-operational frameworks. However, stock exchanges and clearing corporations are advised to ensure that the necessary requirements are met before they can act. For the list of requirements, see the source below and refer to page 1, section 3, subsection A and B.

https://www.sebi.gov.in/legal/circulars/jan-2021/transfer-of-excess-contribution-made-by-stock-exchanges-from-core-sgf-of-one-clearing-corporation-to-the-core-sgf- of-another-clearing-corporation_48698.html

Source data: Virtu Financial

Page 17 India Market Microstructure Observations · January turnover at US$10.6B was up 18% MoM and 93% YoY · Volume curve remains heavily skewed towards the morning with 20% of the day’s volume executing in the first hour of the day · While spreads and volatility for January fell versus the YTD averages, quote size also fell consistently since July 2020 Volume Curve Intraday Spread (bps) 0 5 0 5 0 5 0 5 0 5 0 5 0 5 0 5 0 5 0 5 0 5 e

n 4 5 0 5 0 1 3 4 0 1 3 4 0 1 3 4 0 1 3 4 0 1 3 4 0 1 s e 1 3 4                       o    p l 0 0 0 0 1 1 1 1 2 2 2 2 3 3 3 3 4 4 4 4 5 5 9 9 9 o c 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 3 10% 2

5% 1 0

0% 9 AM 10 AM 11 AM 12 PM 1 PM 2 PM 3 PM Intraday Quotesize (Shares) Intraday Volatility (bps)

20 1000

500 10

0 0

9 AM 10 AM 11 AM 12 PM 1 PM 2 PM 3 PM 9 AM 10 AM 11 AM 12 PM 1 PM 2 PM 3 PM

2020 January

Spread Bps

20 Q2 20 Q3 20 Q4 21 Q1 Apr 20 May 20 Jun 20 Jul 20 Aug 20 Sep 20 Oct 20 Nov 20 Dec 20 Jan 21 firstHalfHour 5.2 4.0 3.6 3.5 3.3 3.6 3.4 3.4 3.2 3.1 midday 4.1 3.4 3.1 3.0 2.8 3.0 3.0 2.7 2.7 2.7 lastHalfHour 3.6 3.2 2.9 2.8 2.7 2.9 2.7 2.6 2.5 2.5 One Minute Volatility Bps

firstHalfHour 30.0 24.1 20.7 17.2 15.5 19.1 16.9 16.6 15.6 17.3 midday 13.9 10.9 10.4 7.6 6.4 8.4 7.4 7.3 6.4 7.8 lastHalfHour 16.2 12.1 12.0 9.7 8.8 11.7 9.5 9.4 9.1 10.1

Quotesize in Shares

firstHalfHour 675 826 954 1,089 1,039 877 860 814 789 684 midday 847 996 1,065 1,238 1,119 960 947 892 876 781 lastHalfHour 1,125 1,250 1,368 1,449 1,427 1,246 1,157 1,220 1,239 1,080

Page 18 Thailand Average Daily Turnover (Notional USD) 2018 2019 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2020 6.0B 2021

4.0B

2.0B

0.0B Trade Size Distribution by %ADT (Notional USD) >=300% 200-300%

800M 100-200% 50-100% 25-50% 600M 10-25% 5-10%

400M

200M

0M l r r t c v y b n n g p u c a p e a o e e a u u J J O J A F D S A N M M

Market Structure News

Hong Kong And Thailand Regulators Sign A Memorandum of Understanding for the Mutual Recognition of Funds On 20 January 2021, the Hong Kong Securities and Futures Commission (SFC) and the Securities and Exchange Commission of Thailand (SEC) entered into a memorandum of understanding (MoU) to allow eligible Hong Kong and Thai public funds to be distributed in each other’s market through a streamlined process. The MoU establishes a framework for exchange of information, regular dialogue as well as regulatory cooperation in relation to the cross-border offering of eligible Hong Kong and Thai funds. In addition, the two regulators have agreed to:

• Expedite the approval process of a local feeder fund investing in an MRF-eligible Thai or Hong Kong master fund, creating a streamlined system for the transfer of funds.

• A deeper economic cooperation between Hong Kong and Thailand in addition to promoting the competitiveness of local intermediaries in the international arena while enriching the types of fund products offered to investors.

https://apps.sfc.hk/edistributionWeb/gateway/EN/news-and-announcements/news/doc?refNo=21PR7

Source data: Virtu Financial

Page 19 Thailand Market Microstructure Observations · Turnover at US$5.9B was up 5% MoM and 64% YoY · Volume curve remains heavily skewed towards the morning with 18% of the day’s volume executing in the first 30 minutes of the day · Spreads throughout the continuous trading session were at their lowest January 2020 Volume Curve Intraday Spread (bps)

60 0 5 0 5 0 5 0 5 0 5 5 0 5 0 5 0 5 0 5 e n 5 0 1 3 4 0 1 3 4 0 1 1 3 4 0 1 3 4 0 1 s e                    4 o  p l 0 0 0 0 1 1 1 1 2 2 4 4 4 5 5 5 5 6 6 9 o c 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 40

10% 20

5% 0

0% 10 AM 11 AM 12 PM 1 PM 2 PM 3 PM 4 PM Intraday Quotesize (Shares) Intraday Volatility (bps)

200

400K

100 200K

0K 0 10 AM 11 AM 12 PM 1 PM 2 PM 3 PM 4 PM 10 AM 11 AM 12 PM 1 PM 2 PM 3 PM 4 PM

2020 January

Spread Bps

20 Q2 20 Q3 20 Q4 21 Q1 Apr 20 May 20 Jun 20 Jul 20 Aug 20 Sep 20 Oct 20 Nov 20 Dec 20 Jan 21 firstHalfHour 64.8 62.7 62.1 63.2 62.7 64.5 66.0 64.9 60.3 59.5 midday 64.1 62.1 61.9 62.8 62.1 63.7 65.5 64.3 59.7 58.8 lastHalfHour 64.5 62.3 62.1 62.9 62.5 64.6 66.0 64.5 60.3 59.5 One Minute Volatility Bps

firstHalfHour 36.2 186.1 163.7 177.5 200.0 203.2 182.9 48.1 43.7 163.6 midday 175.6 174.2 180.9 180.5 185.2 191.7 186.6 169.5 163.1 229.8 lastHalfHour 30.0

Quotesize in Shares

firstHalfHour 181,870 252,338 281,291 322,489 295,460 262,933 249,775 304,860 281,362 329,239 midday 291,686 408,834 473,118 494,657 479,032 441,342 410,387 519,714 469,149 511,597 lastHalfHour 306,812 424,516 450,694 502,118 498,373 431,692 423,223 502,252 486,137 524,220

Page 20 New Zealand Average Daily Turnover (Notional USD) 2018 2019 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2020 2021

0.1B

0.0B Trade Size Distribution by Market Cap and %ADT (Notional USD) >=300% 200-300% 100-200% 100.. 50-100% 25-50% 800M 10-25% 5-10% 600M

400M

200M

0M l r r t c v y b n n g p u c a p e a o e e a u u J J O J A F D S A N M M

The Financial Markets Authority Review Finds New Chief Information Officer Appointed by NZX Technology Capability Lacking New Zealand’s Exchange The Financial Markets Authority (FMA) has found that the New NZX recently appointed Robert Douglas as Chief Information Zealand Exchange (NZX) failed in its technology requirements Officer, to oversee the Information Technology function across as a licensed market operator. These failures contributed to the NZX Group as part of steps to stabilize the trading outages in April 2020 and a denial-of-service (DDoS) attack in infrastructure after the issues and outages that occurred in 2020. August 2020, causing the market to close for four days straight. NZX CEO, Mark Peterson said: “Robert’s background spans the banking, capital markets and According to news sources, the FMA’s report, due to be payments sectors, and he has a proven track-record in leading released in June 2021, will outline that the NZX, “did not have operations and delivering change across critical and complex adequate technology capability across its people, processes and environments—dealing with real-time systems, systems platform to comply with market operator obligations and integration, risk and security”. especially in the context of its systemic importance”. The report echoes sentiments expressed by FMA’s CEO, Rob Everett, who https://mondovisione.com/media-and-resources/news/nzx-appoints-chief-infor- commented: “The feedback from market participants mirrors our mation-officer/ own observations and is a major concern that needs to be addressed by the NZX Board and Executive”.

https://www.stuff.co.nz/business/124076220/blunt-review-of-nzx-failings-in-line- with-its-importance-fma

Source data: Virtu Financial

Page 21 New Zealand Market Microstructure Observations · Volume between 10:45a.m-11:00am. contributed 5% of full day volume, up 3% from 2020 average. · Volume continues to be skewed towards the second half of the day with the closing auction representing 0.5% of full day volume (0.8% is the 2020 average) · Spreads and volatility were in line with December 2020 levels Volume Curve Intraday Spread (bps)

0 5 0 5 0 5 0 5 0 5 0 5 0 5 0 5 0 5 0 5 0 5 0 5 0 5 0 40 e n 0 1 3 4 0 1 3 4 0 1 3 4 0 1 3 4 0 1 3 4 0 1 3 4 0 1 3 s e                            o p l 0 0 0 0 1 1 1 1 2 2 2 2 3 3 3 3 4 4 4 4 5 5 5 5 6 6 6 o c 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 30

6% 20

4% 10 0 2% 0% 11 AM 1 PM 3 PM Intraday Quotesize (Shares) Intraday Volatility (bps)

6K 30

4K 20

2K 10

0K 0 11 AM 1 PM 3 PM 11 AM 1 PM 3 PM

2020 January

Spread Bps

20 Q2 20 Q3 20 Q4 21 Q1 Apr 20 May 20 Jun 20 Jul 20 Aug 20 Sep 20 Oct 20 Nov 20 Dec 20 Jan 21 firstHalfHour 43.2 39.8 34.9 32.4 29.9 29.1 33.0 31.6 30.9 33.6 midday 25.7 24.9 22.2 17.5 16.9 18.3 20.2 20.4 21.4 22.0 lastHalfHour 27.5 25.1 22.8 18.3 17.3 19.2 19.0 19.3 18.4 22.0 One Minute Volatility Bps

firstHalfHour 10.7 10.6 10.1 8.4 6.8 8.3 7.2 6.8 8.2 6.0 midday 5.0 4.3 5.1 4.7 4.2 4.1 3.4 3.7 3.5 3.7 lastHalfHour 5.2 5.1 5.9 4.5 3.8 3.0 3.8 3.5 4.4 4.7

Quotesize in Shares

firstHalfHour 4,440 4,306 3,387 3,585 3,668 2,707 3,225 3,302 3,465 2,934 midday 5,330 5,870 4,894 4,238 4,456 3,922 4,023 4,341 4,878 4,261 lastHalfHour 6,643 6,814 6,095 4,882 5,193 5,462 4,548 5,448 6,196 5,198

Page 22 Singapore Average Daily Turnover (Notional USD) Year of Date 2018 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2019 1.5B 2020 2021

1.0B

0.5B

0.0B Trade Size Distribution by Market Cap and %ADT (Notional USD) >=300%

400M 200-300% 100-200% Large 50-100% 200M 25-50%

0M 10-25% 5-10% 400M

Mid 200M

400M

Small 200M

0M l r r t c v y b n n g p u c a p e a o e e a u u J J O J A F D S A N M M

Market Structure News Singapore Exchange Accelerates Sustainability Drive with Launch of Environment, Social and Governance Derivatives On 25 January, Singapore Exchange (SGX) accelerated its SGX FIRST sustainability agenda with the launch of its pioneering suite of Environment, Social and Governance (ESG) derivatives. SGX developed the new contracts in partnership with FTSE Russell to offer investors more choice in promoting the integration of ESG. This is backed by major pension funds and will look to expand in the coming year.

https://www.sgx.com/media-centre/20210125-sgx-accelerates-sustainability-drive-launch-esg-derivatives

Source data: Virtu Financial

Page 23 Singapore Market Microstructure Observations · Volumes were up 37.5% MoM and YoY at US$1.1B · Intraday spreads in January were back to pre-COVID levels at ~25bps · Intraday volatility continued to fall though remains elevated versus Jan/Feb 2020 levels Volume Curve Intraday Spread (bps)

30 0 5 0 5 0 5 0 5 5 0 5 0 5 0 5 0 5 0 5 0 5 0 5 0 5 e n 0 5 0 5 0 1 3 4 0 1 3 4 4 0 1 3 4 0 1 3 4 0 1 3 4 0 1 3 4 s e                          0 1 3 4 o     p l 0 0 0 0 1 1 1 1 2 3 3 3 3 4 4 4 4 5 5 5 5 6 6 6 6 9 9 9 9 o c 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 20

8% 10 6%

4% 0 2% 10 AM 12 PM 2 PM 4 PM

Intraday Quotesize (Shares) Intraday Volatility (bps)

200K 20

100K 10

0K 0 10 AM 12 PM 2 PM 4 PM 10 AM 12 PM 2 PM 4 PM

2020 January

Spread Bps

20 Q2 20 Q3 20 Q4 21 Q1 Apr 20 May 20 Jun 20 Jul 20 Aug 20 Sep 20 Oct 20 Nov 20 Dec 20 Jan 21 firstHalfHour 34.1 33.7 28.4 28.2 27.6 28.6 28.0 25.5 25.0 23.4 midday 33.4 33.7 28.4 29.1 28.7 29.5 28.4 25.3 24.7 24.4 lastHalfHour 33.1 33.5 28.0 28.9 28.6 29.3 28.2 25.4 24.5 24.3 One Minute Volatility Bps

firstHalfHour 11.2 10.1 7.1 7.2 7.3 5.4 5.8 8.7 6.6 7.1 midday 5.8 6.6 5.6 5.8 5.1 4.9 5.2 5.3 6.0 5.4 lastHalfHour 7.8 8.8 6.2 2.4 5.0 5.0 5.0 5.2 6.3 5.7

Quotesize in Shares

firstHalfHour 53,452 86,640 64,925 59,611 57,709 64,203 64,266 60,875 66,394 59,630 midday 114,700 232,793 157,728 167,527 168,396 168,251 210,740 196,271 177,331 161,583 lastHalfHour 136,111 244,692 166,862 160,036 172,302 161,722 211,276 221,777 179,991 180,964

Page 24 Glossary

Volume curve - average of value traded during the month, per 15-minute time bin. Intraday volatility - Median of difference between the high and low price within a one minute time bin, divided by that bin’s VWAP Spread - median of bid-ask spread of the index. Quotesize - Median bid and ask size of all stocks in the index. Average daily turnover - average daily value traded in the market.

Indices used:

Australia: ASX 200 Japan: TOPIX China: CSI 300 Hong Kong: Hang Seng Index Taiwan: TWSE India: NIFTY 50 Korea: MSCI Korea 25-50 Index New Zealand: MSCI New Zealand IMI 25/50 Index Singapore: MSCI Singapore Index Thailand: MSCI Thailand IMI 25/5 Index

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