ESMA publishes the annual transparency calculations for non-equity instruments, bond liquidity data and quarterly SI calculations

Annual transparency calculations for non-equity instruments

The results for the liquid and illiquid sub-classes will be published in XML format from 29 April 2023 (here) and related instructions on their download can be found in the Transparency System downloading instructions. The results at ISIN level will also be available through the Financial Instruments Transparency System (FITRS) in the XML files also from 29 April 2023 (see here) and through the Register web interface (see here). 

The transparency requirements based on the results of the annual transparency calculations for non-equity instruments apply from 1 June 2023 until 31 May 2024. From 1 June 2024, the results of the next annual transparency calculations for non-equity instruments, to be published by 30 April 2024, will become applicable.

Bonds quarterly liquidity assessment 

ESMA has published the latest quarterly liquidity assessment for bonds available for trading on EU trading venues. For this period, there are currently 1,137 liquid bonds subject to MiFID II transparency requirements. The transparency requirements for bonds deemed liquid will apply from 16 May 2023 to 15 August 2023.

The results at ISIN level are available through the Financial Instruments Transparency System (FITRS) in the XML files from 28 April 2023 (see here) and through the Register web interface (see here). 

ESMA is also publishing two completeness indicators related to bond liquidity data. 

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 the FITRS, which shall be applicable the day following publication. 

Data for the systematic internaliser quarterly calculations

The data covers the total number of trades and total volume over the period 1 October 2022 to 31 March 2023 and includes:

• 25,146 equity and equity-like instruments;
• 128,304 bonds; and
• 5,799 sub-classes of derivatives (including equity derivatives, interest rate derivatives, commodity derivatives, emission allowance).

Investment firms are required to perform the SI test by 15 May 2023.

The data is made available through FITRS in the XML files from 28 April 2023.

The results for equity and equity-like instruments 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.