TABB Group Equities LiquidityMatrix 2/21/2020

Equities LiquidityMatrix™
Exchange Activity ATS Activity TABB Indicative

ELM Overview Navigation Guide

Tabb December Indicative Volumes and % Change

Max (37%)
Average (16%)
Min (-21%)

ATS
SDP

Exchange Data through Jan-2020

ATS, SDP Data through Dec-2019
Tabb Indicative Data through Jan-2020

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TABB Group Equities LiquidityMatrix 2/21/2020

SUM ATS BLKS NBBO ELM Jan-2020

ATS Indicative Summary

Status Type Dec Actual Jan Indicative ATS #
Reported ATS 452M 546M 17
SDP 167M 188M 4
DNR ATS 295M 14
Grand total 915M 734M 34

Indicative vs. Actual ADV

Dec Actual
Jan Indicative
Lines and curves:

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TABB Group Equities LiquidityMatrix 2/21/2020

IND ATS BLKS NBBO ELM Jan-2020

ATS Dec Actual Jan Indicative % Chg

Barclays LX 43M 53M 22%
BIDS 41M 50M 20%
Citadel Connect 78M 86M 10%
CODA 6M
Crossstream / BLOX 12M 15M 31%
Deutsche Bank SuperX 13M 16M 27%
Goldman Sachs Sigma X2 69M 86M 24%
Instinet Blockcross 10M 13M 26%
Instinet CBX 11M 11M 7%
Instinet Crossing 1M 1M 11%
Intelligent Cross 9M 10M 8%
ITG Posit 19M 22M 17%
Jane Street (JX) 31M 35M 12%
LeveL 49M 57M 16%
Liquidnet H2O 12M 15M 26%
Liquidnet Negotiation 5M 5M -6%
Luminex 4M 5M 37%
UBS 137M 162M 19%
VEQ 4M 3M -21%
VEQ-Link 54M 64M 18%
Virtu Matchit 18M 19M 9%
Grand total 620M 734M 16%

Did Not Report ATS Reporting Status

ATS Dec Actual
Reported
Aqua 240k
DNR
CitiBLOC 1M
CODA 6M
Credit Suisse Crossfinder 74M
Dealerweb 14M
Interactive Brokers 14M
J.P. Morgan JPB-X 16M
J.P. Morgan JPM-X 53M
Merrill Lynch Instinct X 24M
MS Pool 4 54M
MS Retail Pool 6 13M
MS Trajectory Cross 1 24M
Pro Securities 31k
Ustocktrade 735k

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TABB Group Equities LiquidityMatrix 2/21/2020

SUM ATS BLK $ NBBO ELM Jan-2020

Indicative Blocks & Demi Blocks #

2K to <10K
10K +

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TABB Group Equities LiquidityMatrix 2/21/2020

SUM ATS BLKS MCAP ELM Jan-2020

Midpoint and NBBO Rankings

ATS MIDP Rank NBBO Rank
Liquidnet Negotiated 1 2
Liquidnet H2O 2 3
CitiBLOC 11 12
Liquidnet Negotiated 19 28
ITG Posit 22
Intelligent Cross 27 27
Liquidnet Negotiation 30 30
Virtu Posit 36
Liquidnet H2O 62 76
Virtu Matchit 63
Instinet Blockcross 93 25
Crossstream / BLOX 109 101
BIDS 139 126
Citi Cross 149 107
Goldman Sachs Sigma X2 174 166
UBS 194 75
Barclays LX 244 208
LeveL 261 220
Instinet CBX 275
Deutsche Bank SuperX 291 234

% Executed at Midpoint & Inside NBBO

MIDP
NBBO

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TABB Group Equities LiquidityMatrix 2/21/2020

ELM Home
Equities LiquidityMatrix™
TABB's Equities LiquidityMatrix™ is a Fintech application consolidating metrics from
Exchanges, Trade Reporting Facilities (TRFs), Alternative Trading Systems (ATSs) and
Single-Dealer Platforms (SDPs).

The Equities LiquidityMatrix™ includes monthly SRO market share and the following self-
reported statistics from ATSs and Single Dealer Platforms (SDPs): (1) average daily
volume; (2) average trade size; (3) stock capitalization distribution %; (4) block and demi-
block % (shares); (5) block and demi-block % (notional); (6) Midpoint % (shares).

Analytic Views
Exchange Activity includes Industry Market Share and Monthly Exchange Volume Views. ATS
Activity includes Average Daily Volume (ADV), Average Trade Size, Block Summary and
Block Distribution Views. Tabb Group Preliminary Indicative Activity is also included.

Fintech Analytics by

TABB reports indicative metrics from 18 ATSs and 4 Single-Dealer Platforms (SDPs). For non-reporting
firms, see the “Tabb Indicative > Sum” view. While we strive to provide timely and accurate information,
portions of the Equities LiquidityMatrixTM content are "as reported" by respective ATSs and SDPs. There
may be inadvertent inaccuracies and errors. Please contact equitiesliquiditymatrix@tabbgroup.com to
report an issue.

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