ESMA publishes the annual transparency calculations for non-equity instruments, bond liquidity data and quarterly SI calculations
As indicated in the public statement of 27 March 2024, the quarterly liquidity assessment of bonds as well as the data for the quarterly systematic internalisers will continue to be published by ESMA. Further details are provided in the relevant webpages of the calculations.
Annual transparency calculations for non-equity instruments
The results of the annual transparency calculations for non-equity instruments will apply from 3 June 2024. The calculations include the liquidity assessment and the determination of the pre- and post-trade size specific to the instruments and large in scale thresholds.
The results for the liquid and illiquid sub-classes will be published in XML format from 30 April 2024 (here) and related instructions on their download can be found in the Transparency System downloading instructions. The results at ISIN level will be available through the Financial Instruments Transparency System (FITRS) in the XML files also from from 30 April 2024 (see here) and through the Register web interface (see here).
The transparency requirements based on the results of the annual transparency calculations for non-equity instruments apply from 3 June 2024 until 1 June 2025.
Bonds quarterly liquidity assessment
ESMA has published the latest quarterly liquidity assessment for bonds available for trading on EU trading venues. For this period, there are currently 1,371 liquid bonds subject to MiFID II transparency requirements. The transparency requirements for bonds deemed liquid will apply from 20 May 2024 to 18 August 2024.
The results at ISIN level are available through the Financial Instruments Transparency System (FITRS) in the XML files from 30 April 2024 (see here) and through the Register web interface (see here).
ESMA is also publishing two completeness indicators related to bond liquidity data.
ESMA updates the bond market liquidity assessments quarterly. However, additional data and corrections submitted to ESMA may result in further updates within each quarter, published in the FITRS, which shall be applicable the day following publication.
Data for the systematic internaliser quarterly calculations
The data covers the total number of trades and total volume over the period 1 October 2023 to 31 March 2024 and includes:
- 25,244 equity and equity-like instruments.
- 137,480 bonds; and
- 6,530 sub-classes of derivatives (including equity derivatives, interest rate derivatives, commodity derivatives, emission allowance).
Investment firms are required to perform the SI test by 15 May 2024.
The data is made available through FITRS in the XML files from 30 April 2024.
The results for equity and equity-like instruments are published only for instruments for which trading venues submitted data for at least 95% of all trading days over the 6-month observation period. The data publications also incorporate OTC trading to the extent it has been reported to ESMA. The publication includes data for instruments traded or available for trading during the reference period considered.
Further information:
Cristina Bonillo
Senior Communications Officer
press@esma.europa.eu
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