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Analysis | Market fragmentation Spreads & EBBO liquidity


10 11 12


6 7 8 9


01-Jan-12 01-Apr-12


Best Bid/Offer spreads across Europe widened fairly signifi cantly over the summer from around 8bps in April to over 10bps in June. During the same period there was a drop in liquidity. In addition for a few weeks in August there is a sharp widening of spreads accompanied with a slight drop in liquidity.


European market breakdown


The following tables provide some detail on what is happening on each of the individual markets. We have taken the FTSE, CAC, DAX, SMI, MIB, OMX-S and IBEX as representative indices for Europe.


The table below shows market share on Primary


Primary CHIX BATE TRQX BURG QMTF XEQT XHFT


Market share Q3 2012 (change on Q2 2012) 1


FTSE 100


2 28.31% -1.51 21.22% -2.80 23.61% 6.63% -0.36 4.11% -0.36 4.11% 3


57.73% 2.24 67.12% 2


1 3 6.92% -0.46 5.77% -0.52 4.88% -0.22 3 0.13% -0.02 0.11%


0.21% 0.12 1.68% 0.06% -0.01


-0.11


0.13 0.18% 0.01%


0.08% -0.03 0.09 0.00


CAC


3.65 67.14% -0.57 2


1


0.09 0.63


DAX 01-Jul-12


Spread (BPS)


Q2 2012 Q3 2012


9.16 9.32


Avg 10BPS


liquidity (€’000) €682.02


€608.46 Change +0.16 -€73.56 Based on European fragmented stocks


200 400 600 800 1000 1200


0


Major European indices


markets against each MTF for the third quarter in 2012. Recent market uncertainty has led to mixed results with some Primary venues benefi ting (LSE, Euronext, Borsa Italiana), but others (Xetra, SIX Swiss, OMX, Bolsa Madrid) losing a small % of their fl ow.


SMI


1 66.79% 2 21.05% 3


-0.44 83.68% 2


1


6.68% 5.23%


-1.56 11.77% 3


0.25% -0.10 MIB 1.28 -1.19


1.69 2.36% -0.19 0.40 1.99%


0.13 -0.02 OMX-S


1 62.27% 2 23.23% 3


-1.73


6.77% 4.15% 3.42%


0.01%


LiquidMetrix are pioneers in the measurement of European fragmented markets, and provide research, best execution and TCA analysis for fi nancial market participants and regulators – www.liquidmetrix.com


Best Execution | Autumn 2012 65 IBEX


0.84 6.58% -0.05 1.47 0.01


1 90.72% -0.33 2


3 1.77% -0.51


0.03% -0.02 0.16% -0.05 0.16%


-0.02


0.93% -0.01 0.40


Best bid offer spread


10BPS liquidity in € 000’s


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