Data for the systematic internaliser calculations

According to Article 4(1)(20) of Directive 2014/65/EU (MiFID II) investment firms dealing on own account when executing client orders over the counter (OTC) on an organised, frequent, systematic and substantial basis are subject to the mandatory systematic internaliser (SI) regime.

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 since that data is essential for the operation of the SI regime and is not otherwise easily available.

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Current data for the systematic internaliser calculations

Asset class File Observation period start Observation period end Date by when the assessment has to be performed and the IF has to comply with the obligations Last update published
Equity NA 01 April 2022 30 September 2022 15 November 2022 28 October 2022
Bonds (*) NA NA NA NA NA
Non-equity NA 01 April 2022 30 September 2022 15 November 2022 28 October 2022
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As communicated, the publication of the excel files ended with the current publication of 1 August 2022. Therefore, from 1 November 2022 the SI data is only provided through FITRS in the XML files.

(*) As announced on 19 October 2022, due to data quality issues ESMA is not publishing today the SI regime data for bonds. The non-publication of this data means the mandatory SI regime will not apply from 15 November to 14 February 2023, and investment firms will not need to perform the SI-test for bonds. However, investment firms can continue to opt into the SI-regime in the interim period. The SI-calculations for bonds will resume on 1 February 2023.

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Information on the publication and legal background

Commission Delegated Regulation (EU) No 2017/565 specifies thresholds determining what constitutes frequent, systematic and substantial OTC trading. In particular, investment firms are required to assess whether they are SIs in a specific instrument (for equity and equity-like instruments, bonds, ETCs and ETNs and SFPs) or for a (sub-) class of instruments (for derivatives, securitised derivatives and emission allowances) on a quarterly basis based on data from the previous six months. For each specific instrument/sub-class, an investment firm is required to compare the trading it undertakes on its own account compared to the total volume and number of transactions executed in the European Union (EU). If the investment firm exceeds the relative thresholds it will be deemed an SI and will have to fulfil the SI-specific obligations.

The source for publishing aggregated EU-wide data is data submitted by trading venues and Approved Publication Arrangements (APAs) to the Financial Instruments Reference Database (FIRDS) and the Financial Instruments Transparency System (FITRS) covering a reference period of six months (e.g. the publication of 1 August 2018 is for the reference period January to June 2018).

The publication includes aggregated EU-wide data for equity and equity-like instruments, bonds and other non-equity instruments.

For all equity and non-equity instruments not included in this publication, investment firms which, based on data from other sources, receive an indication that they pass the relevant threshold for an instrument should register as an SI.

ESMA is aware that a high level of data quality is crucial to ensure that investment firms can perform the assessment with confidence. Therefore, this publication includes only instruments which passed various data quality measures to ensure a high level of completeness and data quality. In particular, ESMA publishes only data for instruments for which trading venues submitted reports for at least 95% of the trading days in the relevant reference period. Furthermore, ESMA performed additional quality checks when relevant regulatory information was at its disposal.

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Template for non-equity publications from 1 August 2020

File Last Update Published
[LINK] 28 April 2020
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Disclaimer

The publication of the information on this website does not prejudice the results of verifications on the completeness and correctness of the transposition of EU law into national law.

This database contains also data related to European Economic Area (EEA) / European Free Trade Association (EFTA) States based on the submissions received by ESMA, the publication of which does not affect the status of incorporation of relevant EU law into the EEA Agreement and any related legal consequences.

ESMA publishes the information with utmost care and to the best of its ability. Given the scope and complexity of this project, and in particular the dependence on complete and accurate submissions by NCAs, trading venues and APAs, ESMA is not able to provide any representation or warranty that the available content is complete, accurate or up to date.

In addition to the above provisions, attention is also drawn to the Legal Notice on the ESMA website.

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.

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Historical data for the systematic internaliser calculations

Asset class File Observation period start Observation period end Date by when the assessment has to be performed and the IF has to comply with the obligations Last update published
Equity  [LINK 01 January 2018 30 June 2018 01 September 2018 01 August 2018
Bonds  [LINK]  01 January 2018 30 June 2018 01 September 2018 02 August 2018
Equity  [LINK] 01 April 2018 30 September 2018 15 November 2018 31 October 2018
Bonds  [LINK] 01 April 2018 30 September 2018 15 November 2018 31 October 2018
Equity  [LINK] 01 July 2018 31 December 2018 15 February 2019 01 February 2019
Bonds  [LINK] 01 July 2018 31 December 2018 15 February 2019 01 February 2019
Equity  [LINK] 01 October 2018 31 March 2019 24 May 2019 10 May 2019
Bonds  [LINK 01 October 2018 31 March 2019 24 May 2019 10 May 2019
Equity  [LINK] 01 January 2019 30 June 2019 15 August 2019 1 August 2019
Bonds  [LINK] 01 January 2019 30 June 2019 15 August 2019 1 August 2019
Equity  [LINK] 01 April 2019 30 September 2019 15 November 2019 8 November 2019
Bonds  [LINK] 01 April 2019 30 September 2019 15 November 2019 8 November 2019
Equity  [LINK] 01 July 2019 31 December 2019 15 February 2020 31 January 2020
Bonds  [LINK] 01 July 2019 31 December 2019 15 February 2020 31 January 2020
Equity  [LINK] 01 October 2019 31 March 2020 15 May 2020 30 April 2020
Bonds  [LINK] 01 October 2019 31 March 2020 15 May 2020 30 April 2020
Equity [LINK] 01 January 2020 30 June 2020 15 August 2020

 

31 July 2020
Bonds [LINK] 01 January 2020 30 June 2020  15 August 2020 31 July 2020
Non-equity [LINK] 01 January 2020 30 June 2020 15 September 2020 31 July 2020
Equity  [LINK] 01 April 2020 30 September 2020 15 November 2020 30 October 2020
Bonds  [LINK ] 01 April 2020 30 September 2020 15 November 2020 30 October 2020
Non-equity [LINK ] 01 April 2020 30 September 2020 15 November 2020 30 October 2020
Equity [LINK] 01 October 2020 31 March 2021 15 May 2021 30 April 2021
Bonds [LINK] 01 October 2020 31 March 2021 15 May 2021 30 April 2021
Non-equity [LINK] 01 October 2020 31 March 2021 15 May 2021 30 April 2021
Equity [LINK] 01 January 2021 30 June 2021 15 August 2021 30 July 2021
Bonds [LINK] 01 January 2021 30 June 2021 15 August 2021 30 July 2021
Non-equity [LINK] 01 January 2021 30 June 2021 15 August 2021 30 July 2021
Equity [LINK] 01 April 2021 30 September 2021 15 November 2021 29 October 2021
Bonds [LINK] 01 April 2021 30 September 2021 15 November 2021 29 October 2021
Non-equity [LINK] 01 April 2021 30 September 2021 15 November 2021 29 October 2021
Equity [LINK] 01 July 2021 31 December 2021 15 February 2022 1 February 2022
Bonds [LINK] 01 July 2021 31 December 2021 15 February 2022 1 February 2022
Non-equity [LINK] 01 July 2021 31 December 2021 15 February 2022 1 February 2022
Equity [LINK] 01 October 2021 31 March 2022 15 May 2022 29 April 2022
Bonds [LINK] 01 October 2021 31 March 2022  15 May 2022 29 April 2022
Non-equity [LINK] 01 October 2021 31 March 2022  15 May 2022 29 April 2022
Equity [LINK] 01 January 2022 30 June 2022 15 August 2022 1 August 2022
Bonds [LINK] 01 January 2022 30 June 2022  15 August 2022 1 August 2022
Non-equity NA(*) 01 January 2022 30 June 2022  15 August 2022 1 August 2022

(*) Data was not published

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