ESMA releases data for systematic internaliser calculations for equity, equity-like instruments, bonds and other non-equity instruments

ESMA has published today, on a voluntary basis, the total number of trades and total volume over the period October 2020-March 2021 for the purpose of the systematic internaliser (SI) calculations under MiFID II for:

• 22,409 equity and equity-like instruments;
• 105,011 bonds; and
• 7,934 sub-classes of derivatives (including equity derivatives, interest rate derivatives, commodity derivatives, C10 derivatives, emission allowance and derivatives thereof and contracts for difference (CFDs)).

The SI test shall be performed by 15 May 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 30 April 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.

In consequence of Brexit, from 30 April 2021 the publication files for bonds and equity instruments, do not contain ISINs admitted to trading or traded only on UK trading venues. However, ISINs admitted to trading or traded both on EEA and UK trading venues are included. Last but not least, as communicated in the Public Statement on the Use of UK data in ESMA databases and performance of MiFID II calculations following the end of the UK transition period on 31 December 2020, the UK data reported before Brexit is used to perform the calculations.