Data for the systematic internaliser calculations

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.

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.

(*) Data was not published