ESMA publishes data for the systematic internaliser calculations for equity, equity-like instruments, bonds and other non-equity instruments

ESMA has published, on a voluntary basis, the total number of trades and total volume over the period January-June 2020 for the purpose of the systematic internaliser (SI) calculations under MiFID II for:

• 20,204 equity and equity-like instruments;
• 121,040 bonds; and
• as announced on 9 April 2020, for 5,896 sub-classes of derivatives (including equity derivatives, interest rate derivatives, commodity derivatives, C10 derivatives, emission allowance and derivatives thereof and contracts for difference (CFDs)) and

The SI test shall be performed by:

• 15 August 2020 for equity and equity-like instruments;
• 15 August 2020 for bonds;
• 15 September 2020 for all other non-equity instruments, including those for which ESMA has not published the SI data due to data-related issues.

The data is made available through the SI register in excel files and for equity, equity-like instruments and bonds also through FITRS in the XML files with publication date 31 July 2020 (see here).

The scope of assessed bonds decreased for this publication as a result of a change in reporting practice from a trading venue in the UK whose effects where already visible in the previous bond liquidity assessment. This change does not affect the quality of the calculations on the bonds that are published.

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.

In order to ensure a timely and convergent application of the quarterly non-equity SI data by investment firms, on 28 April ESMA published the templates that is used for the publication of the SI results.

However, despite ESMA’s support to the industry, market participants made ESMA aware that a number of technical issues for the implementation and performance of the SI test for derivatives still exist independently from the availability of such templates (e.g. the fact that RTS 2 reference data is not publicly available makes it difficult to easily classify instruments for the SI test).

ESMA acknowledges the difficulties that market participants will have to face and is working to find feasible solutions to such problems. ESMA will continue to collaborate with market participants and plans on the technical side to include the classification of the instrument in FITRS and on the policy side to review Commission Delegated Regulation (EU) 2017/583 (RTS 2).