ESMA publishes annual bond transparency calculations, systematic internalisers calculations and new bond liquidity data

Annual transparency calculations of the large in scale (LIS) and size specific to the instruments (SSTI) thresholds for bonds

ESMA has published the results of the annual transparency calculations of the large in scale (LIS) and size specific to the instruments (SSTI) thresholds for bonds.

The results are published on a per bond-type basis in excel format in the Annual transparency calculations for non-equity instruments register. The results on a per ISIN basis will be published through the Financial Instruments Transparency System (FITRS) in the XML files (link available here) and through the Register web interface (link available here) starting on 30 April 2020.

ESMA will publish until 31 May 2020 two records with this type of calculation for each ISIN (the one applicable until that date, and the one applicable starting on 1 June). To avoid any misinterpretation of the results, users of the calculations are kindly invited to review the FIRDS Transparency System downloading instructions document in particular paragraph 28.

As communicated on 9 April 2020, the annual transparency calculations for the other non-equity instruments have been postponed.

Next steps

The transparency requirements based on the results of the annual calculations of the large in scale (LIS) and size specific to the instruments (SSTI) thresholds for bonds shall apply from 1 June 2020 until 31 May 2021. From 1 June 2021, the results of the next annual calculations of the LIS and SSTI thresholds for bonds, to be published by 30 April 2021, will become applicable.

Systematic internaliser calculations for equity, equity-like instruments and bonds

ESMA has published data for the systematic internaliser calculations for equity, equity-like instruments and bonds under the Markets in Financial Instruments Directive (MiFID II) and Regulation (MiFIR).

ESMA has published the total number of trades and total volume over the period October 2019-March 2020 for the purpose of the systematic internaliser (SI) calculations for 24,940 equity and equity-like instruments and for 316,894 bonds.

The results 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 also for instruments which are no longer available for trading on EU trading venues at the end of December.

The publication of the data for the SI calculations for derivatives and other instruments has been delayed until August 2020, as announced on 9 April. The SI-assessment for those asset classes does not need to be performed until September 2020.

New bond liquidity data available

ESMA has started today to make available the latest quarterly liquidity assessment for bonds available for trading on EU trading venues. For this period, there are currently 745 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 include the daily average trading activity (trades and notional amount) and 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 scope of assessed bonds decreased for this publication as a result of a change in reporting practice from a trading venue in the United Kingdom. This change does not affect the quality of the calculations on the bonds that are published

The full list of assessed bonds will be available through FITRS in the XML files with publication date from 30 April 2020 (link available here) and through the Register web interface (link available here).

As communicated on 27 September 2018, ESMA is also publishing two completeness indicators related to bond liquidity data.

Next steps

The transparency requirements for bonds deemed liquid today will apply from 16 May 2020 to 15 August 2020

Compliments of European Securities and Markets Authority.