8 April 2022
The European Securities and Markets Authority (ESMA), the EU’s securities markets regulator, has today started to make available the results of the annual transparency calculations for equity and equity-like instruments. This was previously communicated by ESMA on 1 March and supplemented on 31 March.
Calculations include:
- the liquidity assessment as per Articles 1 to 5 of CDR 2017/567;
- the determination of the most relevant market in terms of liquidity as per Article 4 of CDR 2017/587 (RTS 1);
- the determination of the average daily turnover relevant for the determination of the pre-trade and post-trade large in scale thresholds;
- the determination of the average value of the transactions and the related the standard market size; and
- the determination of the average daily number of transactions on the most relevant market in terms of liquidity relevant for the determination of the tick-size regime.
This publication includes 1,163 equity and equity-like instruments, of which 331 liquid shares:
- 5 shares designated as liquid as foreseen in accordance with Article 1(6) of Delegated Regulation 2017/567 by the Slovenian authority;
- results for 825 shares and 4 ETFs reported by Polish trading venues; and
- results for 329 shares that were not published on 1 March and new results for certain ISINs that were already included in the publication from March.
The transparency parameters published today 8 April should apply no later than 14 April.
Market participants are invited to:
- monitor the release of the transparency calculations for equity and equity-like instruments on a daily basis to obtain the estimated calculations for newly traded instruments and the four-weeks calculations applicable to newly traded instruments after the first six-weeks of trading; and
- refer to Q&A #3 in Section 3 Equity transparency, for the temporary parameters to be applied in the case of one or more of the transparency parameters is not published.
ESMA’s annual transparency calculations are based on the data provided to Financial Instruments Transparency System (FITRS) by trading venues and approved publication arrangements in relation to the calendar year 2021.
This additional list of assessed equity and equity-like instruments will be available through ESMA’s FITRS in the XML files with publication date from 8 April 2022 (here) and through the Register web interface (here).
Next steps
The transparency requirements based on the additional results of the annual transparency calculations published today, 8 April 2022, for equity and equity-like instruments will apply from no later than 14 April 2022 until 31 March 2023. From 1 April 2023 the next annual transparency calculations for equity and equity-like instruments will become applicable.