ESMA makes new bond liquidity data available and publishes data for the systematic internaliser calculations

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 513 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 1 February 2022 (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 February 2022 to 15 May 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 July to December 2021 for the purpose of the systematic internaliser (SI) calculations under MiFID II for:

• 24,200 equity and equity-like instruments;
• 113,464 bonds; and
• 5,028 sub-classes of derivatives (including equity derivatives, interest rate derivatives, commodity derivatives, emission allowance).

The SI test shall be performed by 15 February 2022.

The data is made available through:

• the SI register in excel files;
• as usual, for equity, equity-like instruments, bonds also through FITRS in the XML files with publication date 1 February 2022 (see here);
• from today’s publication, for non-equity instruments also through FITRS in the XML files with publication date 1 February 2022 (link available here). However, the results in the SI register excel files remain the official publication during the whole transition period, which it is expected to end with the publication of 1 August 2022 included.

The systematic internaliser files now include information to identify the sub-class of each ISIN.

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.

Data for the consolidated tape provider (CTP)

The data which is published today on a voluntary basis covers the total number of trades and total volume for the asset classes of bonds and emission allowances over the period July to December 2021 to support CTPs in their compliance with the Regulation. In order to allow an operator wishing to enter this business to be able to perform the required test.

Further information:

Dan Nacu-Manole

Communications Officer

✆   +33 (0)1 58 36 52 06

@   [email protected]