Scheduled publication dates for data relevant for MIFID II / MiFIR transparency and systematic internalisers regime

Background

Please find below detailed description of the publications contained in the previous table.

• Annual transparency calculations for equity and equity-like instruments (“Annual transparency calculations for equity”) using the data reported during 2019 including:
  • the liquidity assessment as per Articles 1 to 5 of CDR 2017/567;
  • the determination of the most relevant market in terms of liquidity (MRM) as per Article 4 of CDR 2017/587 (RTS 1);
  • the determination of the average daily turnover (ADT) relevant for the determination of the pre-trade and post-trade large in scale (LIS) thresholds;
  • the determination of the average value of the transactions (AVT) and the related standard market size (SMS); and,
  • the determination of the average daily number of transactions on the most relevant market in terms of liquidity (ADNT) relevant for the determination of the tick-size regime.
• Semi-annual update for equity and equity-like instruments of the determination of the average daily number of transactions on the most relevant market in terms of liquidity (ADNT) relevant for the determination of the tick-size regime (“Update of tick size calculations for equity”) including updates provided by NCAs.
• Annual publication of transparency calculations for bonds including large in scale (LIS) and size specific to the instruments (SSTI) by bond type (“Annual transparency calculations for bonds”) using data reported during 2019.
• Annual publication of transparency calculations for derivatives (“Annual transparency calculations for derivatives”): Assessment of liquidity of derivatives at sub-asset class level and related parameters (LIS, SSTI) (“Annual transparency calculations for derivatives”) using data reported during 2019.
• Quarterly bond liquidity transparency calculations (“Quarterly liquidity assessment for bonds”) including individual assessment of liquidity for bonds based on quarterly assessment of liquidity criteria relevant for pre-trade and post-trade transparency using data reported in the previous calendar quarter.
• Quarterly systematic internalisers calculations: ESMA, upon request of market participants, decided to compute, on a voluntary and best effort basis, the total volume and number of transactions executed in the EU in order to help market participants in the performance of the SI test; using the data reported in the previous 2 calendar quarters.