29 October 2021
The European Securities and Markets Authority (ESMA), the EU’s securities markets regulator, has today made available new data for bonds subject to the pre- and post-trade requirements of MiFID II and MiFIR through its data register.
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 448 liquid bonds subject to MiFID II transparency requirements.
ESMA’s liquidity assessment for bonds is based on a quarterly assessment of quantitative liquidity criteria, which includes the daily average trading activity (trades and notional amount) and the percentage of days traded per quarter. 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 ESMA’s Financial Instruments Transparency System (FITRS), which shall be applicable the day following publication.
The full list of assessed bonds will be available through FITRS in the XML files with publication date from 29 October 2021 (see here) and through the Register web interface (see here).
ESMA is also publishing two completeness indicators related to bond liquidity data.
The transparency requirements for bonds deemed liquid today will apply from 16 November 2021 to 15 February 2022.
Data for the systematic internaliser quarterly calculations
The data which is published today on a voluntary basis covers the total number of trades and total volume over the period April to September 2021 for the purpose of the systematic internaliser (SI) calculations under MiFID II for:
- 22,243 equity and equity-like instruments;
- 112,560 bonds; and
- 4,973 sub-classes of derivatives (including equity derivatives, interest rate derivatives, commodity derivatives, emission allowance).
The SI test shall be performed by 15 November 2021.
The data is made available through the SI register in excel files and for equity, equity-like instruments and bonds also through FITRS in the XML files with publication date 29 October 2021 (see here).
The results for equity and equity-like instruments and bonds 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.