Australian Block Market Share report – December
With the expertise of our Quantitative Analytics team, we compile a monthly report on Australian block market share – to give consistent and transparent data to share key insight in the Australian market.
The ASX200 returned -3.28% in December in largely a one way grind with a backup in rates the primary driver with a hawkish cut from the Fed catching the market wrong footed, as well as US political, fiscal and foreign policy uncertainty being discounted. Domestically we saw a dovish hold from the RBA offset by strong November employment data. Despite the move lower, volatility fell with the ASX200 VIX (av daily value) down to 10.6 vs 11.2 in November.
As is ever the case in December – a tale of two halves (evident in the chart) as folks get set before liquidity dries right up, and then ex rebal when the summer doldrum volumes set in. On balance, a very quiet month of turnover and blocks across many metrics:
Blocks as a % of notional traded was 5.7% vs 12mth average of 7.5% ( ~inline with Dec 2023 of 5.8%)
$ value of blocks/day down 32% to $407m vs 12mth average of $600m (vs $460m/day in Dec 23)
Blocks per day off 27% to 118 vs 12mth av of 162/day
Some shuffling amongst the top ten brokers of note in December although mkt share amongst them steady at 84.2%, while UBS had a particularly strong month with 17.4%. Is of note that had Citi’s three GMG trades been included it would have seen them with 33% mkt share and heavily skewed the data. Barrenjoey of note for number one in mid, small and micro caps. After a particularly active finish to the year, agency venue turnover was back to inline with average in December with BIDS having a stronger month.
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Methodology
We have used ASIC definitions of a block (according to Tiers) instead of an arbitrary dollar value, and then cleaned the data by only incorporating blocks between 10:00 - 16:11. Any blocks done at PDC or open prices are also excluded. ETF trades are excluded.
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