Two broker-dealers have disclosed the value of trading in their European internal crossing engines in Q2, both reporting greater activity than the dark pools operated by multilateral trading facilities (MTFs).
In Q2 2010, Credit Suisse's dark pool traded €19.63 billion, over €3 billion more than its Q1 total of €16.31 billion. Citi Match, the internal crossing engine operated by Citi, traded €16.3 billion, a 36% increase over Q1's total of €12 billion. Both Citi and Credit Suisse single count their figures.
Citi attributed its rise in part to the variety of liquidity on offer in Citi Match, which combines flow across its retail, institutional, principal and broker-dealer divisions. Citi Match can only be accessed via a selection of Citi's proprietary algorithms.
By comparison, Chi-X Europe's Chi Delta, the largest MTF operated dark pool in Q2, traded €14.62 billion, while Turquoise's mid-point dark book traded €10.42 billion. SmartPool, the dark MTF operated by exchange group NYSE Euronext traded €5.65 billion, BATS Europe's dark pool traded €4.05 billion in the same period and NX, the Nomura operated dark pool which was reclassified as an MTF from an internal crossing engine in January this year, traded €5.43 billion.
Broker dark pools have come under increasing scrutiny in recent months from some market participants who claim that they are subject to less onerous regulatory requirements than MTFs but provide similar functionality. The quality of post-trade data from brokers' dark pools has also been under the spotlight in recent months.
To try and stave off more onerous regulation of their crossing engines, brokers including Citi and Credit Suisse have committed to publishing country-specific, aggregated dark pool data in conjunction with Markit BOAT, the trade reporting facility.