The TRADE 61 - Q3 2019 | Page 96

[ D ATA ] Spreads at touch Q3 2019 (change on Q2 2019) FTSE CAC DAX MIB OMX-S Primary 1 4.61 0.37 1 3.68 0.04 1 3.49 -0.11 1 5.11 0.13 1 4.61 0.21 CHIX 2 6.25 1.10 2 7.89 3.53 2 4.87 -0.13 2 6.92 0.39 2 5.71 0.48 BATE 3 9.88 1.30 3 12.62 5.96 7.83 -0.19 3 11.00 1.91 3 9.45 1.61 TRQX 3 9.88 1.98 13.62 7.35 7.73 -0.76 14.15 2.61 12.43 1.50 3 The trend on spreads was consistent across most markets with an effective widening on all venues. This is probably due to a reduction in liquidity across venues, The exception to the trend was DAX, where spreads narrowed on all venues. Spreads at €25,000 Q3 2019 (change on Q2 2018) FTSE CAC DAX MIB OMX-S Primary 1 6.76 0.43 1 4.53 0.09 1 4.20 -0.11 1 6.52 0.19 1 6.78 0.34 CHIX 2 14.23 0.42 2 7.89 0.14 2 8.18 -0.28 2 12.11 0.49 2 12.46 1.93 BATE 3 23.00 -0.35 3 12.62 0.18 3 14.39 -0.90 3 20.43 2.75 3 24.47 1.67 13.62 0.75 14.54 -1.48 24.61 4.81 TRQX The trend for depth weighted spreads in Q3 2019 was similar the touch spreads where spreads, widened for the majority of markets. However, there was a 21.25 2.50 28.68 3.88 narrowing of depth spread for Bats Europe on FTSE. The one market exception was the DAX, where they narrowed on all venues. 10BPS Liquidity in €000's Q3 2019 (change on Q2 2019) FTSE Primary 1 CHIX 2 BATE TRQX 3 CAC €253.00 11.60 DAX 1 €683.50 -13.00 MIB 1 €1027.90 38.90 OMX-S 1 €325.40 -32.30 1 €232.60 1.50 €65.50 -7.70 2 €134.10 -14.20 2 €164.70 -17.50 2 €60.80 -16.60 2 €73.50 -18.30 €35.80 -6.20 3 €79.20 -12.90 3 €85.90 -10.00 3 €36.50 3 €37.70 -8.40 €40.70 -8.30 €77.70 -17.00 €22.70 -7.00 €85.20 In Q3, the view on liquidity is similar to the other measures, as we can see available liquidity reduced significantly on all MTF venues. Most primary venues 96 // TheTrade // Fall 2019 -14.60 -19.00 €28.90 -18.10 increased in liquidity, with only the MOB losing value equivalent to the MTFs.