AlphaFlash now available in Sao Paulo data center

The fastest machine-readable
economic and corporate news
AlphaFlash®
January 2012

Deutsche Börse – Market Data & Analytics

Agenda
AlphaFlash®

 Algo trading today
 Overview AlphaFlash®
 Macroeconomic data
 Chicago PMI
 Treasury auctions
 Data centres and coding
 About us
 Contact details
AlphaFlash®
The fastest machine-readable
economic and corporate news

2


ALGO TRADING TODAY

3


Algo Trading Survey 2011*
Automated Trader

Data and inputs
 42% buyside use real time data from instruments
from other asset classes in systematic algos
 21% buyside use event or machine readable
news in systematic algos
 14% buyside use sentiment or other derived data
 9.7% use social media, tweets or other public
internet sources
 7% use weather or geo-sensory data
 72% of buyside firms use corporate action data
 63% of sellside firms use latency metrics for
execution algos, but only 36% of buyside

Published in Q4 2011, Automated Trader. More than 500 survey respondents. 4


AlphaFlash®

OVERVIEW

5


AlphaFlash®
Key benefits

 Market moving U.S., Canadian, European, Australian, Chinese and Japanese
macroeconomic data straight from the original news sources
 U.S. and global treasury auction announcements and results
 Unscheduled corporate financial data covering around 100 of the most liquid
stocks listed in Germany
 Optimised network topology for ultra fast direct and easy integration into algo
trading applications
 Dedicated team of IT experts and financial reporters support customers with
product integration and are accessible for customer feedback

6


AlphaFlash®
Available data packages

Macroeconomic Releases Treasury Auctions Corporate News

AlphaFlash® AlphaFlash® AlphaFlash®
USA Feed US Treasury Feed Corporate News Germany

AlphaFlash® AlphaFlash®
Canadian Feed Global Treasury Feed

AlphaFlash®
European Feed

AlphaFlash®
Asia-Pacific Feed

AlphaFlash®
Chicago PMI

7


AlphaFlash® Macroeconomic Releases and Treasury Auctions
Global sources
Data is provided by Need to Know News (NTKN) and Market News International (MNI), both wholly
owned subsidiaries of Deutsche Börse Group. Both news agencies are accredited by all relevant
news sources for immediate access to news that moves the financial markets.

North America Europe

 US Department of Labor  European Central Bank
 US Department of Treasury  Bank of England
 US Department of Commerce  Office for National Statistics
 The Conference Board  ZEW
 National Association of Realtors  Institute for Economic Research Ifo
 USDA  German Economy Ministry
 Statistics of Canada  German Bundesbank
 Bank of Canada  Swiss Federal Department of Finance
 And more  Eurostat
 And More

8


AlphaFlash® Macroeconomic Releases and Treasury Auctions
Global sources (cont.)

Australia Japan

 Australian Bureau of Statistics  Ministry of Finance
 Australian Office of Financial Management  Bank of Japan
 Bank of Australia  Cabinet Office
 Ministry of Economy, Trade and Industry
China  Ministry of Health, Labour and Welfare
 Ministry of Internal Affairs and Communication
 National Bureau of Statistics  Ministry of Land, Infrastructure and Tourism
 People’s Bank of China  And more
 Ministry of Finance
 Ministry of Commerce
 National Development and Reform
Commission

9


AlphaFlash®

MACROECONOMIC DATA

10


AlphaFlash® USA Feed
Selection of events
Labour Market Federal Reserve Data
 Nonfarm Payrolls  FOMC Rate Decisions
 Initial Jobless Claims  FOMC Details
 Employment Cost Index  Industrial Production

Manufacturing Data Growth & Income
 Empire Fed Manufacturing Index  Gross Domestic Product
 Philly Fed Manufacturing Index  Personal Income/Consumption
 ISM Manufacturing Index
Trade Data
Housing Market Data  Retail Sales
 Existing Home Sales  Durable Goods Orders
 Pending Home Sales Index  Wholesale Trade
 New Home Sales
Price Data
Energy  Consumer Price Index
 DOE Crude Inventories  Producer Price Index
 EIA Natural Gas Storage  PCE Price Index

As at March 2011 11


AlphaFlash® Canada Feed
Selection of events
Labour Market Trade Data
 Payrolls  Retail Sales
 Labour Force Survey  Wholesale Trade
 New Motor Vehicle Sales
Housing Market Data
 CMHC Housing Starts Growth & International Trade Data
 Building Permits  Gross Domestic Product
 International Merchandise Trade
Bank of Canada Data  International Transaction Securities
 BoC Rate Announcement
Price Data
Manufacturing Data  Consumer Price Index
 Monthly Manufacturing Survey  Industrial Product & Raw Material Price Index
 YVEY Purchasing Managers Index

As at March 2011 12


AlphaFlash® European Feed
Selection of events (UK)
BOE Data GDP & OECD Data
 BOE Rate Decision  GDP (1st, 2nd & 3rd Estimates)
 Quantitative Easing  NIESER Monthly GDB Estimate
 BOE MPC Minutes Details  Quarterly National Accounts
 Housing Equity Withdrawal  Composite Leading Indicator

Trade Data CBI & BBA Data
 Retail Sales  CBI Distributive Trades
 Shop Sales  CBI Industrial Trends
 BBA Mortgage Activity
Price Data
 Consumer Price Index Labour & Manufacturing
 BOE Gfk NOP Inflation Report  Labour Report
 BRC Monthly Shop Price Index  Industrial Production

As at March 2011 13


AlphaFlash® European Feed
Selection of events (EU)
Germany European Central Bank (ECB)
 ZEW Economic Sentiment  Sentix EZ Economic Index

 Gross Domestic Product  EZ Current Account
 EZ Quarterly GDP
 Producer Prices
 ECB Interest Rate Decision
 Retail Sales
 IFO Business Climate
France
 Industrial Orders
 Bank of France Survey
 Consumer Sentiment
Euro Area  GDP
 Construction Output  HICP CPI
 Final HICP Inflation Rate  MFG Sentiment
 Flash Inflation Estimate
 Unemployment Rate Belgium
 Retail Trade  BNB Business Sentiment

As at March 2011 14


AlphaFlash® Asia-Pacific Feed
Selection of events (China)
Manufacturing & Confidence Data Housing & Investment Data
 Industrial Output  Fixed Asset Investment
 CFLP Manufacturing Index  Money Supply
 Consumer Confidence Index  FX Reserves
 Foreign Direct Investment
Price Data  Real-Estate Investment
 Producer Price Index  Commercial Building Sales
 Consumer Price Index  Bank Lending
 Retail Price Index
 Corporate Goods Price Index Growth & International Trade Data
 Housing Sales Price Index  GDP
 Macro-Economic Climate Index
Sector Data  International Trade
 Retail Sales  Volume of Transportation
 CFLP Non-Manufacturing Index

As at March 2011 15


Selection of events (Japan)
Sentiment Growth & Spending Data
 Tankan  GDP
 Consumer Confidence  Household Spending
 Economy Watchers Survey  Money Stock

Sector Data International Trade Data
 Machinery Orders  International Trade
 Retail Sales  Balance of Payments

Labour & Price Data Manufacturing & Housing Market Data
 Labour Force Survey  Industrial Production
 General Employment Situation  All Industry Activity Index
 Producer Price Index  Housing Starts
 Consumer Price Index  Construction Orders
 Corporate Goods Price Index

As at March 2011 16


Selection of events (Australia)
Labour Market Data Growth Data
 Labour Force  GDP
 Job Vacancies
Price Data
Sector Data  International Trade Price Indices
 Retail Trade  Producer Price Index
 New Motor Vehicle Sales  Consumer Price Index
 Lending Finance  Labour Price Index

Housing & Credit Market Data International Trade Data
 Housing Finance  International Trade
 Building Approvals  Balance of Payments
 Dwelling Unit Commencements

As at March 2011 17


Trading opportunity
IBOVESPA future contract reacts to US weekly jobless claims
(05 January 2012)

11:30 h Brasilia Summer Time IBOVESPA future up +34 ticks (170 index points)
US Initial Jobless Claims: 372 k immediately after release
Consensus: 375 k

Strong news reversal pushing
IBOVESPA future down -60
ticks (300 index points)

Source: Bloomberg Market Data 18


Trading opportunity
(Mini) IBOVESPA futures rise upon US non-farm payrolls
(06 January 2012)
11:30 h Brasilia Summer Time
Mini IBOVESPA future up +20
US non-farm Payrolls: + 200 k
ticks (100 index points) to 59,590
Consensus: + 155 k

Strong correlation due to same underlying Bovespa Index
=> arbitrage opportunities after macro economic data
IBOVESPA future up +24 ticks
(120 index points) to 59,610



Trading opportunity
BRL / USD spot quotation falls after US non-farm payrolls
(06 January 2012)

US non-farm Payrolls: + 200 k BRL / USD spot down -50 pips straight after release
Consensus: + 155 k



Trading opportunity
Mini IBOVESPA future plunges after US weekly jobless claims
(12 January 2012)

Mini IBOVESPA future down -56 ticks
(230 index points)
163 trades: 11:30:00 – 11:30:03

US Initial Jobless Claims: 399 k
Consensus: 375 k



Trading opportunity
BRL / USD future spikes after US weekly jobless claims
(12 January 2012)

US Initial Jobless Claims: 399 k
Consensus: 375 k

USD BRL future spikes 60 pips



AlphaFlash®

CHICAGO PMI

23


AlphaFlash®
The Chicago Report (‘Chicago PMI’)

 The Chicago Report delivers the number for the composite Chicago Business Barometer
(commonly referred to as ‘Chicago PMI’) from the Institute for Supply Management (ISM)
Chicago in machine-readable format
 The Chicago PMI (based on a survey of purchasing professionals) reports the extent of
expanding or contracting economic activity; it is closely tracked by traders and analysts for
clues to the national ISM index numbers which follow it by a day
 The Chicago PMI is published on the last working day of each month at 8:45 am CT
(Chicago time)
 A subscription to AlphaFlash® gives access to the Chicago PMI 3 minutes before public
release

As at November 2011 24


Trading opportunity
EUROSTOXX future reacts to release of Chicago PMI
(30 Sept. 2011)

Chicago PMI Sept 11 at 60.4
Consensus was 55.4



Trading opportunity
DAX future reacts to release of Chicago PMI
(30 Sept. 2011)

Chicago PMI Sept 11 at 60.4
Consensus was 55.4



AlphaFlash®

TREASURY AUCTIONS

27


AlphaFlash® US Treasury Feed
Events
Treasury Bills Treasury Notes
 4-week bill  2-year note
 3-month bill  3-year note
 6-month bill  5-year note
 52-week bill  7-year note
 10-year note
TIPS & Cash Management Bills
 5-year note Treasury Bonds
 10-year note  30-year bond
 20-year bond
 30-year bond

As at March 2011 28


AlphaFlash® Global Treasury Feed
Countries and sources

 Australia: Australian Office of Financial Management (AOFM) / The
Reserve Bank of Australia (RBA)
 Austria: Austrian Federal Financing Agency (AF-FA)
 Belgium: Belgian Debt Agency
 Canada: Bank of Canada
 Germany: Deutsche Bundesbank
 Italy: Department of Treasury (Dipartimento del Tesoro)
 New Zealand: New Zealand Debt Management Office (NZDMO)
 Poland: Ministry of Finance - Public Debt Department
 Russia: MICEX Market Data & Indices Department
 Sweden: Swedish National Debt Office (Riksgälden)
 Switzerland: Federal Department of Finance (FDF)
 United Kingdom: UK Debt Management Office (DMO)

As at November 2011 29


Trading opportunity
Bund future reacts to Italy’s BTP auction
(14 November 2011)

Official Release: 11:09:15 CET
Scheduled Release: 11:15 CET

Italy sells EUR 3.0 bn
BTP 4,75% Sep 2016
Target : EUR1.5 bn – EUR 3.0 bn
Average Yield: 6.29 %
Bid-to-Cover: 1.469

= better than expected

BUND future down -15 ticks / 1st minute



Trading opportunity
Gilt future selloff after UK 10-year Gilt auction
(1 December 2011)
Official Release: 11:35:06 CET

UK sells GBP 3 bn Gilt 3.75%
Sep 2021 Jan 2022
Average Yield: 2.391 %
Bid-to-Cover: 1.61

= price tail of 8 ticks was a sign of
poor quality demand
GILT future trades
1 at 113.97 before
release

GILT future
immediately drops to
2 113.80 after release of
auction results and
further down to 113,42



AlphaFlash®

DATA CENTRES AND CODING

32


AlphaFlash®
Fast data distribution

 Lines and equipment selected for lowest latency possible
 Custom engineered telecommunication lines and equipment
 Proximity hosting near trading centres or news sources
 Chicago
 Washington D.C.
 Secaucus (New Jersey)
 London
 Frankfurt
 Sydney
 Tokyo
 Singapore

33


AlphaFlash®
Coding

 Proprietary binary format that is easy to integrate
 Documentation spec in XML
 Example programs in Java, C++ and C#
 Test message generator
 Easy access to development and IT staff
 Calendar of scheduled events in XML for simple integration

34


AlphaFlash®

ABOUT US

35


About us

Deutsche Börse Group
 As one of the world’s leading exchange organizations with more than 3000 employees, Deutsche Börse Group provides investors,
financial institutions and companies access to global capital markets
 Germany’s leading stock market and pan-European electronic trading platform Xetra® as well as one of the world’s leading
derivatives market Eurex® are operated by Deutsche Börse Group
 The Group’s business covers the entire process chain from securities and derivatives trading, clearing, settlement and custody, the
development of electronic trading systems, to providing high quality market data.

MNI
 Market News International (MNI), a wholly owned subsidiary of Deutsche Börse Group, is a leading real-time news agency dedicated
to providing global capital markets with trading relevant information
 Founded in 1983, MNI is one of the few real-time financial news agencies with press credentials recognized by the White House,
both US houses of Congress, the Fed, the Bundesbank, the ECB, as well as by the governments and central banks of all G-7 nations
 Market News International has 90 employees in offices across Europe, Asia and the United States
 MNI was acquired by Deutsche Börse Group in December 2008

Need to Know News
 Need to Know News (NTKN), a business entity of Deutsche Börse Group, is a US financial news agency and leading provider of
algorithmic news
 Founded in 2004, NTKN is currently accredited to report from key economic institutions in the US, Canada, Germany, UK and various
other European countries
 NTKN was acquired by Deutsche Börse Group in November 2009

36

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