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Chi-X Japan Monthly Report

October, 2019

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Markets operated by Chi-X Japan

PTS Trading ToSTNeTReporting

Continuous Matching Periodic Matching

Chi-Alpha

Main PTS8:00-16:00

Chi-Select

Retail & DMM8:00-16:00

Chi-Match

TSE VWAP CrossingPre-Market Open

Kai-X

Broker NeutralDarkpool

9:00-15:00

Chi-Alpha & Select

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Overview - Chi-Alpha & Chi-Select

Chi-Alpha is the largest and longest operating among venues run by Chi-X Japan

Chi-Select is catered to retail focused brokers with features allowing them to provide their clients with better best execution

Key Features Continuous matching between 8am to 4pm for stocks listed on TSE Various order types – Pegged, Post-only, Iceberg, IOC/FOK Robust, resilient, stable, low latency platform

Values Price Improvement opportunities, esp. Mid/Small Caps Market making / Order posting opportunities Faster / higher execution opportunities

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Statistics - Chi-Alpha & Chi-Select

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

4.0%

0

20

40

60

80

Feb-1

8

Mar-

18

Apr-

18

May-1

8

Jun-1

8

Jul-

18

Aug-1

8

Sep-1

8

Oct-

18

Nov-1

8

Dec-1

8

Jan-1

9

Feb-1

9

Mar-

19

Apr-

19

May-1

9

Jun-1

9

Jul-

19

Aug-1

9

Sep-1

9

Oct-

19

JPY b

illion

Average Daily Execution Market Share - All Large Mid Small

Average PI (bps)

MarketShare

Large 0.7 0.9%

Mid 2.6 3.2%

Small 4.3 3.8%

T2/J/M 10.2 1.9%

ETF/REIT 4.4 1.7%

Overall 3.8 2.1%

Large

16%

Mid

49%

Small

23%

T2/J/M

5%

ETF/REIT

7%

Execution Value Breakdown

Market share: Chi-X’s 2 markets among lit markets (TSE, Chi-Alpha, Chi-Select, JNX-J, JNX-X)PI (Price Improvement): it compares the trade price vs. TSE's best bid for sell or best offer for buy at each point of trade and is calculated from the perspective of the Taker of the trade. The average calculation includes trades at TSE price.

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Statistics - Chi-Alpha & Chi-Select

Top Symbols by Execution

JPY Market Share

4689 ZHD 12,786,652,370 5.6%

1570 NIKKEILV 11,950,430,460 0.5%

7974 NINTEND 10,545,891,700 1.0%

6857 ADVNTST 10,373,676,620 2.6%

9983 FASTRET 9,831,625,900 1.0%

3436 SUMCO 9,805,403,990 1.7%

9984 SOFTBNKG 9,612,317,970 0.7%

9684 SQENIXHD 7,680,793,500 4.1%

6861 KEYENCE 7,406,961,600 1.5%

1357 NKDOUBLE 7,206,410,008 1.2%

Chi-Alpha & Chi-Select combinedMarket share of Chi-X’s 2 markets among lit markets (TSE, Chi-Alpha, Chi-Select, JNX-J, JNX-X)

Top Symbols by Market Share

JPY Market Share

1699 NMR OIL 355,857,819 12.3%

6325 TAKAKTA 16,517,900 12.1%

2769 VILAGEV 36,333,770 9.1%

8524 NORTHPBK 528,480,230 9.0%

7908 KIMOTO 37,394,550 8.9%

2353 NP-PARK 334,876,310 8.7%

3593 HOGYMED 836,318,990 8.5%

3282 COMFORIA 1,255,166,130 8.5%

8955 JPN-PRI 1,896,085,550 8.3%

3097 MONOGATA 445,565,400 8.3%

Average Daily Execution JPY 55,751,440,382

Monthly Total Value JPY 1,170,780,248,022

Monthly Total Volume 775,116,836 Shares

Chi-Match

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Overview – Chi-Match

Chi-Match allows participants to find counterparties to trade at TSE’s VWAP before the market open, hence offload the trading risk in the continuous matching hours.

How does it work?

Order acceptance (from 8 to each pre-matching time)

• Order Type: Full-day VWAP / PM VWAP / AM VWAP

Pre-matching time / Sessions

• Full-day VWAP : 8:33, 8:45, 8:52, 8:56

• PM VWAP : 12:15, 12:25

• AM VWAP : 8:45, 8:52

Trade execution (after market close)

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Chi-Match - Execution Value Trend

Spikes on major index rebalance days (MSCI, TOPIX, N225) and SQ days

0.0

5.0

10.0

15.0

20.0

25.0

Sep-18 Oct-18 Nov-18 Nov-18 Jan-19 Feb-19 Mar-19 Apr-19 May-19 Jun-19 Jul-19 Aug-19 Sep-19 Oct-19

JPY b

illion

Record High(9 July 2019)

22.2 billion yen

Execution value is double-sided

October, 2019

Average Daily Execution JPY 2,142,034,035

Max Daily Execution (Oct 4) JPY 7,984,446,926

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Chi-Match Statistics

By Session

8:33 2.1%

8:45 2.1%

8:52 1.5%

8:56 0.2%

12:15 14.3%

12:25 8.4%

Execution Ratio (Trade Lot/Order Lot)

By Market Cap

Large 10.4%

Mid 4.5%

Small 1.5%

TSE2/J/M 0.1%

ETF/REIT 8.0%

0

100

200

300

Large Mid Small TSE2/J/M ETF/REIT

Lot

Average Order Size & Trade Size

Order Trade

0

10

20

30

40

50

Large Mid Small TSE2/J/M ETF/REIT

JP

Y m

illion

Order Trade

0

20,000

40,000

60,000

80,000

100,000

8:33 8:45 8:52 8:56 12:15 12:25

Order Lot by Session (Daily Average)

Kai-X

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Overview - Kai-X

Kai-X is a broker neutral ToSTNet cross system where participating brokers bring together non-displayed orders and anonymously cross.

It enables brokers to source additional liquidity from others without disclosing their order flows. It also serves as “outsourcing” of dark pool for brokers who wish to reduce system development and maintenance cost.

The same trading hours as that of TSE.

Crossing at a better than TSE price (especially Mid-point of TSE spread) is pursued.

It is designed to equalize the latency gap among participants.

MEQ (Minimum Execution Quantity; single counter party) and Self-Cross Prevention (among the same brokers; among the same institutional investors) available.

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Kai-X Execution Snapshot

0.0

1.0

2.0

3.0

4.0

5.0

May-18 Sep-18 Jan-19 May-19 Sep-19

JPY b

illion

Average Daily Execution Value

Avg PI (bps)

Avg PI (spread)

Avg Order Resting Time (s)

Large 2.0 44.6% 104

Mid 5.1 49.7% 76

Small 9.8 48.4% 136

TSE 2/J/M 16.0 46.8% 229

ETF/REIT 3.8 49.4% 80

Overall 5.6 49.1% 100

Large

10%

Mid

53%

Small

8%

TSE2/J/M

5%

ETF/REIT

24%

Execution Value Breakdown

PI compares the trade price vs. TSE's best bid for sell or best offer for buy at each point of trade and is calculated from the perspective of the Taker of the trade. The average calculation includes trades at TSE price.

Average Daily Execution JPY 2,722,955,216

Average Trade Size 1.6 Lot

% of Mid-point Trade 93.4%

* Execution value is double-sided

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Kai-X Order Snapshot

* Order size is weighted by resting time

0

10

20

30

40

Average Order Size (Lot)

0

200

400

600

800

1000

1200

1400

Average Daily Active Symbol Count

Large

Mid

Small

TSE2/J/M

ETF/REIT

0

20

40

60

80

100

120

140

160

180

200

Aug-18 Oct-18 Dec-18 Feb-19 Apr-19 Jun-19 Aug-19 Oct-19

JPY b

illion

Average Daily Order Value

(Marketable Mid-Pegged orders)

Top Symbols by Avg Order Lot Size (Large)

1605 INPEX 336

2502 ASAHIGHD 286

6326 KUBOTA 259

8411 MIZUHO 244

7201 NISSAN 179

4901 FUJIFILM 153

8309 SMTRUST 137

3407 ASA-KSI 112

4503 ASTELLAS 83

8591 ORIX 82

Top Symbols by Avg Order Lot Size (Mid)

2181 PERSOLHD 5923291 IIDAGHD 234

4912 LION 148

2371 KAKAKU 148

6845 AZBIL 136

8729 SONY FH 134

7732 TOPCON 133

5463 MARUITI 103

5105 TOYOTIRE 103

4732 USS 97

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Disclaimer

© 2019, Chi-X Japan Limited. All rights reserved. Chi-X is a registered trademark.

Chi-X Japan operates PTSs (proprietary trading systems) to match equity orders from participants who are registered broker-dealers in Japan. Chi-X Japan does not provide its services for persons other than Professional Investors. The information provided here (the “Information”) is intended for Professional Investors only. Under no circumstances may the Information be used or relied upon, or otherwise considered as an offer to purchase or sell any security, or as a solicitation or recommendation of the purchase, sale, or offer to purchase or sell any security.

Redistribution or reproduction of this information is prohibited. The copyright of the Information shall be retained by Chi-X Japan, in principle, and redistribution or reproduction of the Information without Chi-X Japan’s permission is prohibited by the Copyright Act.

Chi-X Japan has taken care to ensure that the Information is correct at the time of its preparation, but shall not be liable for any loss or damage arising out of reliance on the contents thereof.

Chi-X Japan Limited.A Financial Instruments Firm registered with the Director of the Kanto Local Finance Bureau of the Ministry of Finance (Kin-sho) No. 2426

Association Memberships: Japan Securities Dealers Association