Thomson Reuters Market Share Reports

1. Thomson Reuters Market Share Reports WFE Workshop on statistics – 2nd December 2008

2. Reuters European Market Share Data Reports available from reuters.com/mifid

3. Reuters European Market Share Data Reports available from reuters.com/mifid

4. Current Methodology • The accumulated volume data (number of shares) from each of the European based exchanges or other venue Is stored against each Reuters Instrument Code (RIC) each day.

5. Current Methodology • A turnover value for each day is calculated by multiplying the number of shares traded on each RIC each day with the VWAP price or average of the opening and closing prices. • These turnover values per day are converted into Euros using the appropriate FX rate for that day. • The daily accumulated volumes & turnover for about 150,000 RICs is compiled for each month • All inactive RICs are filtered out • All RICs are mapped to an ISIN security identifier. • All ISINs with non European Country Codes are filtered out • This leaves about 35,000 RICs mapping into about 12,000 unique ISINs • We are then able to calculate the totals per ISIN and the share of this attributed to each exchange or other venue for whose RICs map into those ISINs. • We then use the two letter country code that begins each ISIN to group stocks by country and produce the country reports by totaling the volume and turnover for each exchange/venue for all stocks with that country code. • We also map ISINs into the Index constituents for the major Indices and produced market share for these in the same way.

6. Current Methodology - Limitations • That the volume figures used in the calculation of these statistics are based upon trades executed and reported on the same day. Where trades are reported later than trade date they are not included. • In the majority of cases the volumes are 'official' figures published by the Exchanges themselves. For venues that do not provide official volume data, such as MarkitBOAT, Reuters has calculated the daily volume data on the same basis as described above. • There are variations between exchanges on what types of trades get included in the accumulated volume numbers and it has proved difficult to reconcile these volumes in analysis of Tick data. • We do not currently differentiate trades reported as executions on an exchange from trades that were executed "OTC" and reported through an exchange or other reporting venue like MarkitBOAT. • There is considerable distrust of the data published through the pure OTC reporting services with little monitoring of quality of the data and suspicion of significant duplicate reporting by firms of trades already executed on exchange.

7. New Methodology for 2009 • We will be introducing a new methodology which leverages on the technology developed for our Thomson Transaction Analytics, TCA & Best Execution Compliance monitoring service. • The volume & turnover per stock will be calculated using Thomson Reuters unrivalled historic tick data across all markets. • This allows us to split the reports into “All reported trades” and “All Non OTC Reported trades”. • All trades reported later than trade date will be included. • The coverage can be expanded to other markets outside Europe where fragmentation is occurring. • The relaunch of the service will be accompanied by the launch of a new Equity Market Share Reporter which will allow users to run bespoke reports for individual stocks and groups of stocks, for the date range of their choice.