The TRADE 54 | Page 80

[ D ATA ]
Spreads at touch Q4 2017 (change on Q3 2017)
FTSE
CAC
DAX
Primary 1 4.66 -0.08 1 2.94 -0.16
CHIX 2 4.84 -0.22 2 3.47 6.88 -0.26 4.76 6.17 0.00 4.11 -0.15
BATE
TRQX
3
3
SMI
1 3.38 -0.36
-0.28 2 3.8 -0.73 3 4.58 4.75 -0.40
The trend on spreads appears to have reversed again
in Q4 with most spreads narrowing on the majority of
markets across all venues.
MIB
1 5.64 -0.16
-0.42 2 6.04 -0.35 3 6.24 6.62 -0.05
OMX-S
1 7.55 -0.10
1 6.08 -0.14
-0.16 2 8.60 -0.10 3 9.45 -0.01 2 6.86 -0.25
-0.23 3 7.66 -0.27
11.70 0.28
8.68 -0.25
The exception is MIB where spreads widened on
Turquoise.
The narrowing of spreads on the DAX was the most
dramatic in the period ranging from 0.36 to 0.4 bps
across the venues.
Spreads at €25,000 Q4 2017 (change on Q3 2017)
FTSE
CAC
DAX
SMI
MIB
OMX-S
Primary 1 5.88 -0.24 1 3.51 -0.20 1 3.87 -0.48 1 5.74 -0.15 1 8.06 -0.23 1 6.97 -0.20
CHIX 2 8.24 -0.14 2 5.34 -0.30 2 5.15 -0.53 2 6.77 -0.14 2 11.96 -0.05 2 9.54 -0.23
BATE 3 12.69 -0.02 8.18 -0.98 7.56 -0.28 3 6.89 -0.05 3 14.23 -0.24 3 10.99 -0.27
12.78 0.75 6.61 0.03 7.17 -0.51 7.61 0.00 18.07 1.90 13.73 -0.13
TRQX
3
3
The trend for depth weighted spreads in Q4 2017 was
similar to that of Top of Book spreads with a general
narrowing of spreads.
There was a slight widening of spreads on Turquoise
for FTSE,CAC and MIB.
10BPS Liquidity in €000’s Q4 2017 (change on Q3 2017)
FTSE
CAC
DAX
SMI
MIB
OMX-S
Primary 1 € 369.90 2.20 1 € 977.60 -8.20 1 € 1,500.80 90.00 1 € 1,882.90 2.10 1 € 466.80 94.50 1 € 413.90 46.60
CHIX 2 € 121.00 -12.00 2 € 239.00 16.30 2 € 337.10 23.30 2 € 394.20 2.70 2 € 83.50 6.30 2 € 144.10 8.60
BATE 3 € 74.90 -7.30 € 150.40 25.80 3 € 218.50 17.00 3 € 405.20 2.20 3 € 60.50 8.10 3 € 100.10 3.30
€ 199.10 22.30 € 242.40 0.80
TRQX
€ 68.10 -10.20
3
€ 170.10 9.30
In the Q4 period there was an increase in resting
liquidity across the majority of markets. The excep-
tions were the MTFs on FTSE and the Primary market
80
TheTrade
Winter 2017
€ 39.30 0.40
€ 72.20 3.80
on CAC. There were significant increases on Primary
venues for DAX and MIB.