[ D ATA ]
Spreads at touch Q2 2017 (change on Q1 2017)
FTSE
CAC
DAX
SMI
Primary 1 4.69 -0.53 1 3.09 -0.84 1 3.58 -0.32
CHIX 2 4.89 -0.28 2 3.46 -0.37 2 3.97 6.67 -0.24 5.31 -0.36 4.97 5.7 -0.28 4.02 -0.33 4.67 -0.04
BATE
TRQX
3
3
3
As we mentioned earlier, spreads in general have
continued to tighten in Europe in Q2 2017, with
spreads lower on all markets and venues However,
the tightening has been relatively greater on certain
primary markets (FTSE and CAC) which also recorded
significant increases in market share.
MIB
1 5.63 -0.55
-0.33 2 5.89 -0.69 3 6.16 6.39 -0.62
OMX-S
1 7.78 -1.10
1 6.22 -0.80
-0.64 2 8.95 -0.53 3 10.55 -3.38 2 6.91 -0.60
-2.81 3 7.65 -0.67
11.49 -1.92
8.01 -0.28
An exception is MIB where the MTFs tightened their
spreads much more than the primary venue. Note,
that MIB was the only primary venue that lost sig-
nificant market share, highlighting the relationship
between market share and venues offering better
liquidity, i.e. tighter spreads.
Spreads at €25,000 Q2 2017 (change on Q1 2017)
FTSE
CAC
DAX
SMI
MIB
OMX-S
Primary 1 5.97 -0.97 1 3.69 -0.97 1 4.17 -0.33 1 5.70 -0.61 1 8.32 -1.30 1 7.06 -0.87
CHIX 2 7.79 -0.32 2 5.17 -0.50 2 5.27 -0.59 2 6.41 -0.96 2 12.08 -4.79 2 9.12 -0.80
12.09 -0.80 9.46 -1.02 7.54 -1.41 3 6.64 -0.74 16.38 -4.03 3 10.26 -1.34
10.6 -0.50 6.32 -0.48 6.69 0.16 7.32 -0.94 15.68 -3.63 11.12 -0.51
BATE
TRQX
3
3
3
The trend for depth-weighted spreads in Q2 2017
was like that of Top of Book spreads with a general
tightening.
As for Top of Book spreads, MIB was somewhat dif-
3
ferent in that the MTF venues tightened their spreads
considerably compared to the primary market. Howev-
er, even with this change the primary market €25,000
spread is still much more competitive.
10BPS Liquidity in €000’s Q2 2017 (change on Q1 2017)
FTSE
CAC
DAX
SMI
MIB
OMX-S
Primary 1 € 394.70 35.50 1 € 953.70 57.20 1 € 1,421.00 139.60 1 € 2,300.80 669.90 1 € 389.30 79.00 1 € 426.90 18.10
CHIX 2 € 152.60 2.80 2 € 238.80 14.20 2 € 349.60 35.20 2 € 519.20 180.00 2 € 85.50 29.40 2 € 167.10 18.40
BATE 3 € 91.70 10.40 € 121.70 17.70 3 € 207.60 34.80 3 € 521.40 199.50 3 € 53.30 13.20 3 € 117.20 14.30
€ 206.70 1.60 € 289.90 75.70
TRQX
€ 91.10
3.70
3
€ 164.60 8.40
As we noted earlier, resting liquidity within 10 basis
points of mid-price increased across Europe.
This is also seen above with resting liquidity in all
significant European markets increasing. A general
point to make is that the primary venues continue to
78
TheTrade
Summer 2017
€ 42.10
5.80
€ 90.70 -5.20
offer substantially more liquidity than the MTFs. In
Q2 2017, liquidity on primary venues was greater than
combined liquidity of all 3 MTFs for all indices that we
measure.