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


The European Securities and Markets Authority (ESMA), the EU’s securities markets regulator, has today made available the new quarterly liquidity assessment for bonds as well as the data for the systematic internaliser quarterly calculations for equity, equity-like instruments and bonds under MiFID II and MiFIR.

Bonds quarterly liquidity assessment

ESMA published the latest quarterly liquidity assessment for bonds available for trading on EU trading venues. For this period, there are currently 838 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 August 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 August 2022 to 15 November 2022.

Data for the systematic internaliser quarterly calculations

The data covers the total number of trades and total volume over the period 1 January 2022 to 30 June 2022 for the purpose of the systematic internaliser (SI) calculations under MiFID II for:

  • 24,552 equity and equity-like instruments; and
  • 128,876 bonds.

Investment firms are required to perform the SI test by 15 August 2022.

The data is made available through:

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.

As announced on 28 June 2022, due to operational constraints ESMA is not publishing today the SI regime data  for non-equity instruments other than bonds. The non-publication of this data means the mandatory SI regime will not apply from 15 August to 14 November 2022, and investment firms will not need to perform the SI-test for non-equity instruments other than bonds. However, investment firms can continue to opt into the SI-regime in the interim period. The SI-calculations for non-equity instruments other than bonds will resume on 1 November 2022.


Further information:

Dan Nacu-Manole

Communications Officer

   +33 (0)1 58 36 52 06


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