BMLL MARKET LENS: EUROPEAN LIQUIDITY MAPS - April 18, 2024

BMLL Market Lens: European Liquidity Maps provides insight into the fragmentation of European equity markets via a view of all Cboe Europe All Companies index constituents across the major European trading and execution venues over a rolling 12-month period. The charts are updated monthly and show both a consolidated view and a granular breakdown of liquidity on all trading mechanisms.

Part 1 - Fragmentation of Liquidity across Europe

Figure 1 - A consolidated view of European liquidity

A consolidated view of the European Trading Landscape is essential to truly understand where both addressable and non-addressable liquidity resides. A granular breakdown of liquidity fragmentation and market share across the last 12 -months allows market participants to gain this vital insight.

Part 2 - Analysing liquidity across different trading mechanisms

Figure 2.1 - What are the key trends across SIs?

Systematic internalisers (SIs) are widely regarded as effective liquidity discovery tools for market participants. BMLL provides an overview of SI market share and a clear breakdown of volumes traded across its constituent parts.

Figure 2.2 - Where can end-of-day liquidity be found?

Offered to enhance liquidity discovery after the price formation at the close, Trade At Last and Closing Auction mechanisms have become more prevalent. A clear view of the volumes traded through these mechanisms enables participants to effectively interact with the closing price.

Note: the y-axis is logarithmic.

Figure 2.3 - How critical is off-exchange trading to a consolidated view of liquidity?

Over-The-Counter (OTC) trading plays an important function in the European capital markets as a mechanism by which securities are traded. However, unlike trading on a lit order book, not all trading is addressable to all participants. Therefore, it is crucial to understand Europe's true addressable liquidity profile.

Figure 2.4 - What are the key patterns in LIS trading?

The Large-In-Scale (LIS) threshold reduces the market impact of large orders by allowing participants to waive and defer pre- and post-trade reporting. Understanding the trend in above LIS volumes across different trading mechanisms enables market participants to improve liquidity discovery and achieve optimal execution strategy.