The European Securities and Markets Authority (ESMA), the EU’s securities markets regulator, has today published the results of the annual transparency calculations for equity and equity-like instruments, which will apply from 1 April 2022.
The calculations made available 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.
Currently, there are 1,200 liquid shares and 976 liquid equity-like instruments other than shares, subject to MiFID II/MiFIR transparency requirements.
Due to technical and data quality issues in the data reported for the liquidity assessment, ESMA could not validate the transparency calculations for certain shares. The impact is limited and ESMA intends to complement today’s publication on 8 April 2022 for a maximum of 250 shares.
The transparency parameters that will be published on 8 April should apply from 11 April 2022.
For all equity instruments subject to the annual transparency calculations but for which the results were not published today, as per Q&A #3 in Section 3 Equity transparency, the following temporary parameters should be applied until the publication for all parameters is available:
- the instrument should be deemed not to have a liquid market;
- the pre-trade and post-trade LIS thresholds should be those related to the smallest ADT band, i.e. ADT < 50 000 provided in:
- Tables 1 and 4 of Annex II of RTS 1 for shares and depositary receipts;
- Tables 2 and 6 of Annex II of RTS 1 for certificates and other similar financial instruments;
- the standard market size (SMS) is not applicable since it should be determined only for instruments having a liquid market
- any trading venue on which the instrument is admitted to trading can be considered to be the most relevant market in terms of liquidity under Article 4 of MiFIR.
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.
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.
The full list of assessed equity and equity-like instruments will be available through ESMA’s FITRS in the XML files with publication date from 1 March 2022 (see here) and through the Register web interface (see here).
Next steps
The transparency requirements based on the results of the annual transparency calculations published from 1 March 2022 for equity and equity-like instruments will apply from 1 April 2022 until 31 March 2023. From 1 April 2023 the next annual transparency calculations for equity and equity-like instruments, to be published by 1 March 2023, will become applicable.