Liquidity Landscape June 3, 2020

Although it appears that European volumes and market share have now bedded down to a new normal, all eyes are on forthcoming changes to the MiFID II Review, particularly post the AMF statement last week on SI performance in the midst of Brexit negotiations (see full report for further details).

Top of Book Liquidity continues to improve in Europe and in the UK but the recent tightening of spreads is now reversing; the UK and Europe are now 44% and 43% wider respectively, increasing the cost of trading and making the ability to find a natural block critical to improving execution performance. The UK now appears to be the most expensive market to trade at 112% more expensive versus the January average and the STOXX 600 is 92% more expensive.

Read the report here

The report has been compiled by Rebecca Healey, Charlotte Decuyper and Lara Jacobs of the Liquidnet Global Market Structure team, Rafik Khelifi from Liquidnet’s Investment Analytics team and Gareth Exton and Joe Fields from Execution & Quantitative Services team.