The TRADE 56 - Page 96

[ D ATA ] Spreads at touch Q2 2018 (change on Q1 2018) FTSE CAC DAX SMI Primary 1 4.19 -0.06 1 3.56 0.25 1 3.2 -0.14 CHIX 2 4.7 0.00 2 4.04 0.12 2 4.1 6.53 -0.21 5.27 0.17 5.34 5.69 -0.09 4.6 0.07 5.13 0.37 BATE TRQX 3 3 3 MIB OMX-S 1 3.62 -1.04 1 4.59 -1.98 0.01 2 4.23 -1.09 2 5.37 0.39 3 4.46 -1.14 7.22 4.76 -0.94 6.94 -2.60 3 1 4.05 -0.97 -1.48 2 4.90 -1.36 -0.85 3 5.67 -1.24 6.43 -1.15 The exception to the trend was again CAC where spreads widened on all venues, and DAX where spreads widened on all MTFs, matching characteristics seen in Q1. The trend on spreads continues to narrow on most markets, including FTSE, DAX, SMI, MIB and OMX-S. Spreads at €25,000 Q2 2018 (change on Q1 2018) FTSE CAC DAX SMI MIB OMX-S Primary 1 5.62 0.02 1 4.16 0.21 1 3.7 -0.18 1 3.85 -0.96 1 5.20 -1.87 1 5.41 -0.71 CHIX 2 9.51 0.03 2 6.17 -0.11 2 6.07 -0.07 2 5.27 -0.88 2 8.36 -1.96 2 8.18 -1.76 14.09 0.25 8.76 0.01 8.97 0.74 3 5.58 -0.86 11.08 -1.28 3 10.58 -0.48 12.38 -0.46 7.19 -0.10 8.04 0.55 6.14 -0.54 10.88 -4.54 12.40 -0.90 BATE TRQX 3 3 3 The trend for depth weighted spreads in Q2 2018 dif- fered from those at touch. Spreads widened on FTSE and CAC on the primary venues and narrowed on DAX, SMI, MID and OMX-S. 3 The largest change on a primary in the period was on MIB, narrowing by 1.87 bps, with similar figures on the MTFs. 10BPS Liquidity in €000’s Q2 2018 (change on Q1 2018) FTSE CAC DAX SMI MIB OMX-S Primary 1 € 339.40 -19.20 1 € 765.90 -0.30 1 € 1,337.40 95.20 1 € 1,548.20 -149.80 1 € 697.50 210.50 1 € 350.60 -53.70 CHIX 2 € 87.60 1.10 2 € 175.00 0.98 2 € 224.50 9.80 2 € 311.60 -78.60 2 € 101.00 12.40 2 € 125.00 2.00 € 136.00 -25.20 3 € 315.20 -59.70 3 € 109.50 33.00 3 € 81.80 -16.30 € 159.00 -1.40 € 216.30 -40.70 BATE TRQX € 58.30 -0.10 3 € 66.50 3.40 € 123.30 -4.00 3 € 155.40 2.90 3 In Q2, there is a very different view from that seen in Q1 in that liquidity increased on several markets, including all venues for MIB, with primary and CHI-X on DAX. 96 // TheTrade // Summer 2018 € 75.20 23.40 € 59.00 -13.70 CHI-X and Turquoise also increased liquidity on FTSE and CAC.