Australian Block Market Share report – September
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.
Overall Block Market Share (September 2024 versus 12-month rolling average)
Liquidnet internal data. As of September 2024. 12-month rolling average October 2023 – September 2024, post new entrants launching. Source: Refinitiv, ASIC. Note: Only above ASIC tier blocks included. All blocks were traded between 10am and 4:11pm. Blocks at open/prev. close prices were excluded. ETF trades are excluded.
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The ASX200 returned 2.20% in September but not without some volatility and some pivotal changes at play. Fundamental money was being put to work with post earnings rotation in full swing as well as divs hitting accounts, while at the macro level, the Fed cutting by 50bps was digested, comprehensive and coordinated Chinese stimulus was announced and the rotation back into China/ Chinese derivatives began. This imitated the big rotation out of banks into resources as LO buyers competed with fast money accounts covering. After the volatility in early August, the ASX200 VIX (av daily value) dropped back to 12.1 (from 13 in August).
The backdrop proved fertile ground for blocks, it was a huge month of block activity (largest on a rolling 12 months) as well as turnover (also largest in rolling 12 months) with futures expiry and S&P/FTSE rebalance both in the mix.
A huge $755m/day of blocks vs 12-month average of $604m/day
Blocks as a % of notional traded at 7.9% vs 12-month average of 7.5%
181 blocks/day vs 12-month average of 164/day
$1.09B of blocks on Sep 10 equating to 13% of notional traded
Jefferies came out swinging in September – finishing number one with 16.1% market share ( vs 12-month average of 7.7%) as the new personnel really made their presence felt, Barrenjoey were close behind with 15%. In mid-caps, Barrenjoey and Jefferies exerted their dominance while in small caps interesting to note Morgans and then some third-party clearers (Third Party Platform and Finclear) rounded out the top three – implying shadow brokers were busy. Agency venues had a huge month with $1.045B trading – the largest in 24 months by some 36%.
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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