Cboe reaps benefits of MiFID II while bond trading tumbles on day one

Cboe’s Periodic Auction order book recorded trading volumes of €189.9 million on the first day of MiFID II.

Cboe European Equities’ Periodic Auction order book, the exchange group’s alternative to dark pool trading venues, had recorded €189.9 million in trading volumes on the first day of the new MiFID II regime in Europe.

The daily record eclipses the order book’s average daily notional value (ADNV) figure of €37.5 million for December 2017, which itself was a new record and an increase of over 40% month-on-month.

“We’re very pleased with the performance of our Periodic Auctions book and the response we’re seeing from customers,” said Dave Howson, chief operator officer for Cboe Europe. “With the broker crossing networks closed and the double volume caps coming into play now that MiFID II is in effect, market participants are looking for solutions like our Periodic Auctions book that enable them to trade with minimal market impact. We expect to see some additional flow to the Periodic Auctions book when the double volume caps come into effect on 12th January.”

Alasdair Haynes, founder and chief executive of London-based Aquis Exchange, says the operator’s trading volumes are “largely in-line” with the rest of the equities market and that “teething problems” are to be expected within the first few days of the regulatory upheaval.

The Periodic Auction book was originally launched in 2015 by Bats Europe prior to its acquisition by Cboe Global Markets, designed to offer low market impact for large orders traditionally placed in dark books, as well as lit liquidity-seeking orders.

CBOE’s figures have bucked an industry-wide trend of lower than expected trading volumes on MiFID II’s first day of operation.

Meanwhile Europe’s bond markets suffered the greatest decline in trading, in which euro-denominated government bonds fell by a quarter compared to the 30-day average, while UK government bonds also dropped by 11%, according to data from MarketAxess’ Trax business.

The decrease in volumes was widely expected to occur within the early stages of MiFID II, particularly in the bond market with significantly higher levels of trading data now be required to be captured, as opposed to the equities markets which experienced similar upheaval with the arrival of the initial MiFID regulations.