European Equities LiquidityMatrix June 2018

MiFID II has now passed the six-month mark and the changes ushered in by the new rulebook finally showed some signs of settling down. From a record level in May, block trades fell back slightly, accounting for just less than half of Europe’s dark market, and around €1.1bn on a daily basis. The rapid growth of periodic auction books continued, but at a slower rate, accounting for 2.6% of order book volumes and average daily notional of €1.3bn. For dark venues, June was another record low, accounting for 4.7% of activity and €2.5bn on a daily basis. All these changes and more are covered in the June version of TABB Group’s European Equities LiquidityMatrix™ which provides the industry with breakdowns of market share for each major equity execution channel, including lit venues, dark MTFs, block venues, periodic auction books and systematic internalisers.